Index Update 25.07.2015

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 2015-07-24 png

index momentum best 50 2015-07-24 png

index momentum worst 365 2015-07-24 png

index momentum worst 50 2015-07-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-24 png

Refactored Index Performance

50-day performance, from May 18, 2015 through July 24, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +17.78% CNX MEDIA (CAP) +13.94%
CNX MEDIA (EQUAL) +11.48% CNX INFRA (CAP) +5.82%
CNX CONSUMPTION (EQUAL) +5.16% CNX ENERGY (CAP) +5.38%
CNX FMCG (EQUAL) +4.63% CNX PHARMA (CAP) +4.25%
CPSE INDEX (EQUAL) +3.67% CNX CONSUMPTION (CAP) +4.25%
CNX MNC (EQUAL) +2.99% CNX MNC (CAP) +3.37%
CNX PSE (EQUAL) +2.54% CNX PSE (CAP) +3.03%
NI15 (EQUAL) +2.42% CNX IT (CAP) +2.99%
CNX FINANCE (EQUAL) +2.30% CNX SERVICE (CAP) +2.77%
CNX ENERGY (EQUAL) +1.84% CNX FINANCE (CAP) +2.64%
NSE QUALITY 30 (EQUAL) +1.73% NV20 (CAP) +2.18%
CNX IT (EQUAL) +0.58% NI15 (CAP) +1.58%
CNX SERVICE (EQUAL) +0.46% CNX COMMODITIES (CAP) +1.22%
NV20 (EQUAL) +0.19% CNX BANK (CAP) +1.04%
CNX AUTO (EQUAL) +0.10% NSE QUALITY 30 (CAP) +0.24%
CNX INFRA (EQUAL) -0.31% CNX FMCG (CAP) +0.21%
CNX COMMODITIES (EQUAL) -2.69% CPSE INDEX (CAP) -0.72%
CNX BANK (EQUAL) -2.99% CNX AUTO (CAP) -3.02%
LIX 15 (EQUAL) -8.18% LIX 15 (CAP) -8.66%
CNX PSU BANK (EQUAL) -10.87% CNX PSU BANK (CAP) -8.85%
CNX REALTY (EQUAL) -10.96% LIX15 Midcap (CAP) -10.66%
LIX15 Midcap (EQUAL) -11.73% CNX METAL (CAP) -13.82%
CNX METAL (EQUAL) -14.39% CNX REALTY (CAP) -14.81%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
6.90
2015-Jan-27
CNX BANK SHORT
9.34
2015-Jan-27
CNX COMMODITIES SHORT
27.83
2008-Jan-04
CNX CONSUMPTION LONG
0.49
2015-Jul-22
CNX ENERGY LONG
25.60
2008-Jan-14
CNX FMCG SHORT
8.93
2015-Feb-25
CNX INFRA SHORT
46.63
2008-Jan-09
CNX IT LONG
88.00
2000-Feb-21
CNX MEDIA LONG
19.72
2008-Jan-04
CNX METAL SHORT
60.84
2008-Jan-04
CNX MNC SHORT
0.95
2015-Jul-16
CNX NIFTY LONG
5.28
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
23.77
2008-Jan-04
CNX PSU BANK SHORT
39.09
2010-Nov-05
CNX REALTY LONG
90.87
2008-Jan-14
CNX SERVICE LONG
6.07
2015-Mar-03
Index momentum seems to have leveled off. Are we seeing a near-term top? NIFTY is still 5% below its April top…