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:

Relative Strength Spread

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?