Index Update 18.07.2015

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 2015-07-17 png

index momentum best 50 2015-07-17 png

index momentum worst 365 2015-07-17 png

index momentum worst 50 2015-07-17 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-17 png

Refactored Index Performance

50-day performance, from May 11, 2015 through July 17, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +26.09% CNX PHARMA (CAP) +14.06%
CNX MEDIA (EQUAL) +12.99% CNX MEDIA (CAP) +11.81%
CNX FMCG (EQUAL) +9.28% CNX INFRA (CAP) +7.91%
CNX CONSUMPTION (EQUAL) +8.28% CNX CONSUMPTION (CAP) +6.59%
CPSE INDEX (EQUAL) +7.68% CNX FINANCE (CAP) +5.68%
NI15 (EQUAL) +5.37% CNX ENERGY (CAP) +5.35%
CNX MNC (EQUAL) +5.21% CNX MNC (CAP) +5.10%
CNX FINANCE (EQUAL) +4.98% CNX BANK (CAP) +4.83%
CNX AUTO (EQUAL) +4.72% CNX PSE (CAP) +4.41%
NSE QUALITY 30 (EQUAL) +4.65% CNX FMCG (CAP) +3.69%
CNX PSE (EQUAL) +4.42% CNX SERVICE (CAP) +3.41%
CNX INFRA (EQUAL) +3.40% NI15 (CAP) +3.34%
CNX ENERGY (EQUAL) +2.35% CPSE INDEX (CAP) +3.17%
NV20 (EQUAL) +2.06% NV20 (CAP) +2.91%
CNX SERVICE (EQUAL) +2.05% CNX COMMODITIES (CAP) +2.03%
CNX IT (EQUAL) +1.45% NSE QUALITY 30 (CAP) +1.79%
CNX BANK (EQUAL) +0.97% CNX AUTO (CAP) +0.18%
CNX COMMODITIES (EQUAL) -0.70% CNX IT (CAP) -0.40%
CNX PSU BANK (EQUAL) -5.65% CNX PSU BANK (CAP) -3.22%
LIX 15 (EQUAL) -7.29% LIX 15 (CAP) -6.92%
LIX15 Midcap (EQUAL) -8.01% LIX15 Midcap (CAP) -7.95%
CNX REALTY (EQUAL) -11.29% CNX METAL (CAP) -14.05%
CNX METAL (EQUAL) -12.95% CNX REALTY (CAP) -14.31%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.88
2015-Jan-27
CNX BANK SHORT
7.11
2015-Jan-27
CNX COMMODITIES SHORT
27.00
2008-Jan-04
CNX CONSUMPTION LONG
0.00
2015-Jul-17
CNX ENERGY SHORT
25.49
2008-Jan-14
CNX FMCG SHORT
7.71
2015-Feb-25
CNX INFRA LONG
45.57
2008-Jan-09
CNX IT LONG
88.20
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
59.82
2008-Jan-04
CNX MNC LONG
0.04
2015-Jul-16
CNX PHARMA LONG
5.00
2015-Apr-08
CNX PSE LONG
23.04
2008-Jan-04
CNX PSU BANK SHORT
37.11
2010-Nov-05
CNX REALTY SHORT
90.41
2008-Jan-14
CNX SERVICE LONG
6.13
2015-Mar-03
MNCs and FMCGs have recouped their drawdowns. PHARMA is not far behind. Its the old economy stocks that are still trying to digest their “India Shining” debt binge.