Index Update 04.07.2015

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 2015-07-03 png

index momentum best 50 2015-07-03 png

index momentum worst 365 2015-07-03 png

index momentum worst 50 2015-07-03 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-03 png

Refactored Index Performance

50-day performance, from April 24, 2015 through July 03, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.20% CNX MEDIA (CAP) +7.71%
CPSE INDEX (EQUAL) +6.19% CNX PHARMA (CAP) +6.92%
CNX MNC (EQUAL) +5.81% CNX MNC (CAP) +5.44%
CNX FMCG (EQUAL) +5.57% CNX ENERGY (CAP) +5.33%
CNX AUTO (EQUAL) +5.23% NV20 (CAP) +4.09%
CNX CONSUMPTION (EQUAL) +4.55% CNX BANK (CAP) +4.05%
CNX MEDIA (EQUAL) +4.15% CNX FINANCE (CAP) +3.68%
NI15 (EQUAL) +3.46% CNX AUTO (CAP) +3.67%
NSE QUALITY 30 (EQUAL) +2.50% CPSE INDEX (CAP) +3.25%
NV20 (EQUAL) +2.30% CNX INFRA (CAP) +3.02%
CNX PSE (EQUAL) +1.96% CNX CONSUMPTION (CAP) +2.94%
CNX IT (EQUAL) +0.82% CNX SERVICE (CAP) +2.56%
CNX FINANCE (EQUAL) +0.46% CNX COMMODITIES (CAP) +2.53%
CNX BANK (EQUAL) -0.17% CNX PSE (CAP) +2.37%
CNX ENERGY (EQUAL) -0.21% NI15 (CAP) +0.83%
CNX SERVICE (EQUAL) -0.68% CNX IT (CAP) +0.76%
CNX COMMODITIES (EQUAL) -1.85% NSE QUALITY 30 (CAP) -0.00%
CNX INFRA (EQUAL) -2.58% CNX FMCG (CAP) -2.19%
LIX 15 (EQUAL) -5.83% LIX 15 (CAP) -3.56%
CNX REALTY (EQUAL) -9.77% CNX PSU BANK (CAP) -5.78%
CNX PSU BANK (EQUAL) -10.29% CNX METAL (CAP) -9.42%
CNX METAL (EQUAL) -12.25% CNX REALTY (CAP) -11.90%
LIX15 Midcap (EQUAL) -13.61% LIX15 Midcap (CAP) -13.11%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.66
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX ENERGY SHORT
25.33
2008-Jan-14
CNX FMCG LONG
9.20
2015-Feb-25
CNX INFRA LONG
46.95
2008-Jan-09
CNX IT LONG
88.27
2000-Feb-21
CNX MEDIA LONG
23.15
2008-Jan-04
CNX METAL LONG
58.71
2008-Jan-04
CNX MNC LONG
1.66
2015-Mar-12
CNX NIFTY SHORT
5.68
2015-Mar-03
CNX PHARMA LONG
11.32
2015-Apr-08
CNX PSE LONG
23.84
2008-Jan-04
CNX REALTY SHORT
90.35
2008-Jan-14
50-day performance turns green for most indices and the MNCs have more or less covered their draw-downs. Looks like financials and FMCG have found their mojo. Will the markets keep their trend?