Index Update 27.06.2015

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 2015-06-26 png

index momentum best 50 2015-06-26 png

index momentum worst 365 2015-06-26 png

index momentum worst 50 2015-06-26 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-26 png

Refactored Index Performance

50-day performance, from April 17, 2015 through June 26, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +13.06% CNX MNC (CAP) +2.67%
CNX MNC (EQUAL) +6.58% CNX MEDIA (CAP) +1.11%
CPSE INDEX (EQUAL) +0.66% CNX BANK (CAP) +0.14%
CNX MEDIA (EQUAL) -0.63% CNX PHARMA (CAP) +0.13%
CNX CONSUMPTION (EQUAL) -1.62% CNX ENERGY (CAP) +0.08%
CNX FMCG (EQUAL) -2.02% NV20 (CAP) -0.47%
NV20 (EQUAL) -2.08% CNX FINANCE (CAP) -0.49%
CNX AUTO (EQUAL) -2.14% CPSE INDEX (CAP) -0.94%
CNX PSE (EQUAL) -2.89% CNX AUTO (CAP) -1.64%
NSE QUALITY 30 (EQUAL) -2.92% CNX COMMODITIES (CAP) -1.76%
NI15 (EQUAL) -3.08% CNX SERVICE (CAP) -2.14%
CNX FINANCE (EQUAL) -3.19% CNX CONSUMPTION (CAP) -2.22%
CNX IT (EQUAL) -3.98% CNX PSE (CAP) -2.24%
CNX ENERGY (EQUAL) -4.86% CNX INFRA (CAP) -2.65%
CNX COMMODITIES (EQUAL) -5.50% CNX IT (CAP) -3.71%
CNX BANK (EQUAL) -5.56% NI15 (CAP) -4.59%
CNX SERVICE (EQUAL) -5.74% NSE QUALITY 30 (CAP) -4.97%
CNX INFRA (EQUAL) -7.64% CNX FMCG (CAP) -7.42%
LIX 15 (EQUAL) -9.59% LIX 15 (CAP) -7.72%
CNX METAL (EQUAL) -14.72% CNX METAL (CAP) -10.14%
CNX REALTY (EQUAL) -15.30% CNX PSU BANK (CAP) -12.60%
CNX PSU BANK (EQUAL) -17.19% LIX15 Midcap (CAP) -16.52%
LIX15 Midcap (EQUAL) -17.66% CNX REALTY (CAP) -17.55%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
7.17
2015-Jan-27
CNX BANK LONG
10.62
2015-Jan-27
CNX ENERGY LONG
25.82
2008-Jan-14
CNX FMCG LONG
11.66
2015-Feb-25
CNX INFRA LONG
47.92
2008-Jan-09
CNX IT LONG
88.10
2000-Feb-21
CNX MEDIA LONG
24.66
2008-Jan-04
CNX METAL LONG
58.47
2008-Jan-04
CNX MNC LONG
3.71
2015-Mar-12
CNX NIFTY LONG
6.84
2015-Mar-03
CNX PHARMA LONG
12.76
2015-Apr-08
CNX PSE LONG
24.69
2008-Jan-04
CNX REALTY SHORT
90.21
2008-Jan-14
A perk up in momentum metrics: RS-Spread has reverted to mean; bank and financials are showing some green shoots.