Index Update 13.06.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-06-12 png

index momentum best 50 2015-06-12 png

index momentum worst 365 2015-06-12 png

index momentum worst 50 2015-06-12 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-12 png

Refactored Index Performance

50-day performance, from March 31, 2015 through June 12, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) -0.17% CNX ENERGY (CAP) +1.27%
CPSE INDEX (EQUAL) -0.70% CPSE INDEX (CAP) +0.09%
CNX PSE (EQUAL) -2.81% CNX PSE (CAP) -0.73%
CNX MNC (EQUAL) -3.08% CNX COMMODITIES (CAP) -1.45%
NV20 (EQUAL) -3.29% NV20 (CAP) -3.30%
CNX ENERGY (EQUAL) -4.23% CNX INFRA (CAP) -3.34%
CNX CONSUMPTION (EQUAL) -4.29% CNX CONSUMPTION (CAP) -3.50%
CNX MEDIA (EQUAL) -4.39% CNX BANK (CAP) -3.77%
CNX PHARMA (EQUAL) -4.82% CNX MNC (CAP) -4.09%
CNX COMMODITIES (EQUAL) -6.04% CNX METAL (CAP) -4.72%
CNX BANK (EQUAL) -6.17% CNX FMCG (CAP) -4.93%
NSE QUALITY 30 (EQUAL) -7.00% CNX MEDIA (CAP) -5.63%
CNX AUTO (EQUAL) -7.11% CNX FINANCE (CAP) -5.71%
CNX SERVICE (EQUAL) -7.43% CNX SERVICE (CAP) -6.04%
CNX FINANCE (EQUAL) -7.82% CNX PSU BANK (CAP) -7.07%
NI15 (EQUAL) -7.88% CNX AUTO (CAP) -7.36%
CNX IT (EQUAL) -8.06% LIX 15 (CAP) -8.12%
LIX 15 (EQUAL) -8.56% CNX IT (CAP) -8.22%
CNX INFRA (EQUAL) -10.30% NI15 (CAP) -8.34%
CNX PSU BANK (EQUAL) -10.51% NSE QUALITY 30 (CAP) -8.34%
CNX METAL (EQUAL) -10.77% CNX PHARMA (CAP) -11.36%
CNX REALTY (EQUAL) -15.20% LIX15 Midcap (CAP) -18.08%
LIX15 Midcap (EQUAL) -18.08% CNX REALTY (CAP) -19.31%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
13.13
2015-Jan-27
CNX BANK LONG
14.75
2015-Jan-27
CNX ENERGY SHORT
30.29
2008-Jan-14
CNX FMCG LONG
15.47
2015-Feb-25
CNX INFRA SHORT
49.72
2008-Jan-09
CNX IT LONG
88.43
2000-Feb-21
CNX MEDIA SHORT
29.56
2008-Jan-04
CNX METAL LONG
59.10
2008-Jan-04
CNX MNC LONG
8.01
2015-Mar-12
CNX NIFTY LONG
11.26
2015-Mar-03
CNX PHARMA LONG
18.09
2015-Apr-08
CNX PSE SHORT
26.34
2008-Jan-04
CNX REALTY LONG
90.71
2008-Jan-14
Given the state of the relative strength spread, good luck with trend following strategies! But it looks like there are some sectors where a positive trend is reasserting itself. Are we seeing green shoots in pharma, media and banks?