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:

Relative Strength Spread

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.