Index Update 11.07.2015

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from May 04, 2015 through July 10, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+19.53%	CNX PHARMA (CAP)	+8.18%
CNX FMCG (EQUAL)	+5.71%	CNX MEDIA (CAP)	+4.86%
CNX CONSUMPTION (EQUAL)	+4.31%	CNX INFRA (CAP)	+3.67%
CNX MEDIA (EQUAL)	+2.51%	CNX CONSUMPTION (CAP)	+2.44%
CPSE INDEX (EQUAL)	+2.38%	CNX FINANCE (CAP)	+2.43%
CNX MNC (EQUAL)	+1.85%	CNX ENERGY (CAP)	+1.34%
CNX AUTO (EQUAL)	+1.67%	CNX MNC (CAP)	+1.33%
NSE QUALITY 30 (EQUAL)	+1.49%	CNX BANK (CAP)	+1.05%
NI15 (EQUAL)	+1.42%	CNX SERVICE (CAP)	-0.13%
CNX FINANCE (EQUAL)	+1.07%	CNX FMCG (CAP)	-0.17%
CNX PSE (EQUAL)	-0.94%	NV20 (CAP)	-0.58%
CNX IT (EQUAL)	-1.44%	NI15 (CAP)	-0.77%
NV20 (EQUAL)	-1.46%	CNX COMMODITIES (CAP)	-0.82%
CNX SERVICE (EQUAL)	-2.45%	CPSE INDEX (CAP)	-1.10%
CNX BANK (EQUAL)	-3.36%	CNX PSE (CAP)	-1.17%
CNX INFRA (EQUAL)	-3.80%	CNX AUTO (CAP)	-1.40%
CNX ENERGY (EQUAL)	-4.42%	NSE QUALITY 30 (CAP)	-1.48%
CNX COMMODITIES (EQUAL)	-4.94%	CNX IT (CAP)	-3.93%
LIX 15 (EQUAL)	-9.36%	CNX PSU BANK (CAP)	-5.67%
CNX PSU BANK (EQUAL)	-10.36%	LIX 15 (CAP)	-8.07%
CNX REALTY (EQUAL)	-12.10%	CNX METAL (CAP)	-12.71%
CNX METAL (EQUAL)	-12.32%	LIX15 Midcap (CAP)	-14.15%
LIX15 Midcap (EQUAL)	-14.25%	CNX REALTY (CAP)	-14.91%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	9.51	2015-Jan-27
CNX BANK	LONG	8.93	2015-Jan-27
CNX COMMODITIES	SHORT	28.96	2008-Jan-04
CNX CONSUMPTION	LONG	2.44	2015-Apr-13
CNX ENERGY	SHORT	27.21	2008-Jan-14
CNX FMCG	SHORT	10.80	2015-Feb-25
CNX INFRA	LONG	46.72	2008-Jan-09
CNX IT	SHORT	88.69	2000-Feb-21
CNX MEDIA	LONG	24.79	2008-Jan-04
CNX METAL	LONG	60.32	2008-Jan-04
CNX MNC	LONG	3.13	2015-Mar-12
CNX NIFTY	LONG	7.07	2015-Mar-03
CNX PHARMA	LONG	9.35	2015-Apr-08
CNX PSE	LONG	25.36	2008-Jan-04
CNX PSU BANK	LONG	37.25	2010-Nov-05
CNX REALTY	SHORT	90.44	2008-Jan-14
CNX SERVICE	LONG	8.97	2015-Mar-03

Finance and FMCG showed an uptick in momentum. However, the word of the week is “listless.” Expect most trend followers to lose discipline right about now…