Index Update 01.08.2015

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 2015-07-31 png

index momentum best 50 2015-07-31 png

index momentum worst 365 2015-07-31 png

index momentum worst 50 2015-07-31 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-31 png

Refactored Index Performance

50-day performance, from May 25, 2015 through July 31, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.59% CNX MEDIA (CAP) +16.92%
CNX MEDIA (EQUAL) +15.49% CNX CONSUMPTION (CAP) +7.13%
CNX FMCG (EQUAL) +8.37% CNX FMCG (CAP) +6.03%
CNX CONSUMPTION (EQUAL) +6.70% CNX MNC (CAP) +5.64%
CNX MNC (EQUAL) +5.13% CNX PHARMA (CAP) +4.62%
CNX AUTO (EQUAL) +3.69% CNX INFRA (CAP) +4.34%
CNX FINANCE (EQUAL) +3.20% CNX FINANCE (CAP) +3.13%
NI15 (EQUAL) +3.17% NI15 (CAP) +2.42%
NSE QUALITY 30 (EQUAL) +2.91% CNX SERVICE (CAP) +2.35%
CPSE INDEX (EQUAL) +2.40% CNX ENERGY (CAP) +2.29%
CNX PSE (EQUAL) +1.00% CNX BANK (CAP) +2.13%
CNX SERVICE (EQUAL) +0.79% NV20 (CAP) +1.85%
NV20 (EQUAL) +0.41% NSE QUALITY 30 (CAP) +1.14%
CNX ENERGY (EQUAL) -1.07% CNX PSE (CAP) +1.14%
CNX BANK (EQUAL) -1.07% CNX IT (CAP) +0.39%
CNX INFRA (EQUAL) -1.24% CNX COMMODITIES (CAP) +0.10%
CNX IT (EQUAL) -1.71% CNX AUTO (CAP) -0.36%
CNX COMMODITIES (EQUAL) -3.20% CNX PSU BANK (CAP) -2.11%
CNX PSU BANK (EQUAL) -6.27% CPSE INDEX (CAP) -2.61%
LIX 15 (EQUAL) -6.47% LIX 15 (CAP) -7.12%
CNX REALTY (EQUAL) -10.17% LIX15 Midcap (CAP) -11.45%
LIX15 Midcap (EQUAL) -11.63% CNX METAL (CAP) -11.67%
CNX METAL (EQUAL) -12.90% CNX REALTY (CAP) -12.45%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.10
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX COMMODITIES SHORT
29.07
2008-Jan-04
CNX CONSUMPTION SHORT
0.00
2015-Jul-31
CNX ENERGY LONG
27.48
2008-Jan-14
CNX FMCG SHORT
6.17
2015-Feb-25
CNX INFRA LONG
47.33
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA SHORT
16.68
2008-Jan-04
CNX METAL LONG
61.25
2008-Jan-04
CNX MNC SHORT
0.00
2015-Jul-31
CNX NIFTY SHORT
5.15
2015-Mar-03
CNX PHARMA LONG
10.69
2015-Apr-08
CNX PSE LONG
24.77
2008-Jan-04
CNX PSU BANK SHORT
36.53
2010-Nov-05
CNX REALTY LONG
90.60
2008-Jan-14
CNX SERVICE SHORT
6.10
2015-Mar-03
Relative strength spread shot through its long-term median – good for momentum strategies.
CONSUMPTION and MNC indices recovered from their drawdowns. Will NIFTY be next?