Index Update 20.06.2015

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 April 09, 2015 through June 19, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+7.13%	CNX ENERGY (CAP)	+2.16%
CNX MNC (EQUAL)	+4.50%	CNX MNC (CAP)	+0.78%
CNX MEDIA (EQUAL)	-1.96%	CPSE INDEX (CAP)	-0.72%
CPSE INDEX (EQUAL)	-2.20%	CNX COMMODITIES (CAP)	-1.77%
CNX FMCG (EQUAL)	-4.01%	CNX PSE (CAP)	-2.74%
CNX CONSUMPTION (EQUAL)	-4.22%	NV20 (CAP)	-3.26%
CNX PSE (EQUAL)	-4.46%	CNX CONSUMPTION (CAP)	-4.18%
NV20 (EQUAL)	-4.52%	CNX MEDIA (CAP)	-4.37%
CNX ENERGY (EQUAL)	-5.32%	CNX INFRA (CAP)	-4.53%
CNX AUTO (EQUAL)	-6.21%	CNX BANK (CAP)	-5.27%
NSE QUALITY 30 (EQUAL)	-7.12%	CNX FINANCE (CAP)	-5.59%
CNX COMMODITIES (EQUAL)	-7.33%	CNX SERVICE (CAP)	-6.43%
CNX FINANCE (EQUAL)	-8.10%	CNX AUTO (CAP)	-6.43%
CNX BANK (EQUAL)	-8.65%	CNX PHARMA (CAP)	-7.77%
NI15 (EQUAL)	-8.71%	CNX FMCG (CAP)	-8.29%
CNX SERVICE (EQUAL)	-8.86%	CNX IT (CAP)	-8.53%
CNX INFRA (EQUAL)	-10.17%	NI15 (CAP)	-9.17%
CNX IT (EQUAL)	-10.37%	NSE QUALITY 30 (CAP)	-9.30%
LIX 15 (EQUAL)	-11.35%	CNX METAL (CAP)	-9.70%
CNX PSU BANK (EQUAL)	-14.33%	CNX PSU BANK (CAP)	-10.74%
CNX METAL (EQUAL)	-14.68%	LIX 15 (CAP)	-10.80%
LIX15 Midcap (EQUAL)	-18.72%	LIX15 Midcap (CAP)	-17.52%
CNX REALTY (EQUAL)	-22.22%	CNX REALTY (CAP)	-25.02%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	LONG	8.73	2015-Jan-27
CNX BANK	SHORT	13.01	2015-Jan-27
CNX ENERGY	LONG	26.08	2008-Jan-14
CNX FMCG	SHORT	13.23	2015-Feb-25
CNX INFRA	SHORT	48.68	2008-Jan-09
CNX IT	SHORT	88.23	2000-Feb-21
CNX MEDIA	LONG	26.66	2008-Jan-04
CNX METAL	SHORT	58.84	2008-Jan-04
CNX MNC	SHORT	5.41	2015-Mar-12
CNX NIFTY	SHORT	8.57	2015-Mar-03
CNX PHARMA	SHORT	14.61	2015-Apr-08
CNX PSE	SHORT	25.47	2008-Jan-04
CNX REALTY	SHORT	90.75	2008-Jan-14

Looks like Banks, FMCG and Pharma are perking up. MNCs and Autos are recovering from their drawdowns as well…