Index Update 08.08.2015

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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 2015-08-07 png

index momentum best 50 2015-08-07 png

index momentum worst 365 2015-08-07 png

index momentum worst 50 2015-08-07 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-07 png

Refactored Index Performance

50-day performance, from June 01, 2015 through August 07, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +22.78% CNX MEDIA (CAP) +18.97%
CNX MEDIA (EQUAL) +16.14% CNX PHARMA (CAP) +11.06%
CNX AUTO (EQUAL) +8.23% CNX MNC (CAP) +5.35%
CNX MNC (EQUAL) +6.50% CNX CONSUMPTION (CAP) +4.62%
CNX FMCG (EQUAL) +6.47% CNX AUTO (CAP) +3.44%
CNX CONSUMPTION (EQUAL) +6.37% NI15 (CAP) +2.57%
NSE QUALITY 30 (EQUAL) +4.31% CNX FINANCE (CAP) +2.42%
NI15 (EQUAL) +3.86% CNX INFRA (CAP) +2.26%
CNX FINANCE (EQUAL) +3.73% CNX FMCG (CAP) +2.20%
CNX SERVICE (EQUAL) +1.47% NSE QUALITY 30 (CAP) +1.92%
CNX INFRA (EQUAL) +0.13% CNX SERVICE (CAP) +1.88%
CNX BANK (EQUAL) -0.47% CNX IT (CAP) +1.75%
NV20 (EQUAL) -0.58% NV20 (CAP) +1.54%
CPSE INDEX (EQUAL) -0.75% CNX BANK (CAP) +1.43%
CNX IT (EQUAL) -0.77% CNX PSU BANK (CAP) +1.21%
CNX PSE (EQUAL) -1.55% CNX ENERGY (CAP) +0.73%
CNX COMMODITIES (EQUAL) -2.33% CNX COMMODITIES (CAP) -0.47%
CNX ENERGY (EQUAL) -2.91% CNX PSE (CAP) -1.57%
LIX 15 (EQUAL) -3.05% LIX 15 (CAP) -4.33%
CNX PSU BANK (EQUAL) -4.21% LIX15 Midcap (CAP) -4.34%
LIX15 Midcap (EQUAL) -5.22% CPSE INDEX (CAP) -4.37%
CNX METAL (EQUAL) -9.11% CNX REALTY (CAP) -10.49%
CNX REALTY (EQUAL) -9.43% CNX METAL (CAP) -11.15%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
3.26
2015-Jan-27
CNX BANK LONG
8.08
2015-Jan-27
CNX COMMODITIES SHORT
28.46
2008-Jan-04
CNX CONSUMPTION LONG
0.52
2015-Aug-05
CNX ENERGY LONG
27.88
2008-Jan-14
CNX FMCG LONG
6.25
2015-Feb-25
CNX INFRA SHORT
47.01
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA LONG
15.34
2008-Jan-04
CNX METAL LONG
61.19
2008-Jan-04
CNX MNC LONG
0.00
2015-Aug-07
CNX NIFTY LONG
4.80
2015-Mar-03
CNX PHARMA LONG
8.60
2015-Apr-08
CNX PSE SHORT
25.11
2008-Jan-04
CNX PSU BANK LONG
33.42
2010-Nov-05
CNX REALTY LONG
90.27
2008-Jan-14
CNX SERVICE SHORT
6.02
2015-Mar-03
A total nightmare for commodity, energy and infrastructure investors. It continues to be a consumption driven market…

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