Index Update 15.08.2015

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 2015-08-14 png

index momentum best 50 2015-08-14 png

index momentum worst 365 2015-08-14 png

index momentum worst 50 2015-08-14 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-14 png

Refactored Index Performance

50-day performance, from June 08, 2015 through August 14, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +15.18% CNX MEDIA (CAP) +20.42%
CNX MEDIA (EQUAL) +14.87% CNX PHARMA (CAP) +13.39%
CNX AUTO (EQUAL) +13.00% LIX15 Midcap (CAP) +11.97%
NI15 (EQUAL) +10.16% NI15 (CAP) +9.76%
CNX MNC (EQUAL) +9.54% CNX MNC (CAP) +9.29%
LIX15 Midcap (EQUAL) +8.69% CNX IT (CAP) +8.89%
CNX CONSUMPTION (EQUAL) +8.43% CNX CONSUMPTION (CAP) +8.38%
NSE QUALITY 30 (EQUAL) +8.30% CNX PSU BANK (CAP) +8.28%
CNX FMCG (EQUAL) +8.24% CNX FINANCE (CAP) +7.93%
CNX FINANCE (EQUAL) +8.16% CNX AUTO (CAP) +7.92%
CNX PSU BANK (EQUAL) +7.84% CNX BANK (CAP) +7.34%
CNX BANK (EQUAL) +7.22% NSE QUALITY 30 (CAP) +7.17%
CNX IT (EQUAL) +5.44% CNX SERVICE (CAP) +7.10%
CNX SERVICE (EQUAL) +5.18% CNX FMCG (CAP) +6.53%
NV20 (EQUAL) +3.01% NV20 (CAP) +6.33%
CNX INFRA (EQUAL) +1.68% CNX INFRA (CAP) +2.22%
CNX REALTY (EQUAL) +0.47% CNX REALTY (CAP) +1.02%
CPSE INDEX (EQUAL) -1.45% CNX ENERGY (CAP) +0.18%
LIX 15 (EQUAL) -1.55% CNX COMMODITIES (CAP) -1.13%
CNX COMMODITIES (EQUAL) -2.38% LIX 15 (CAP) -1.98%
CNX PSE (EQUAL) -2.47% CNX PSE (CAP) -4.03%
CNX ENERGY (EQUAL) -3.60% CPSE INDEX (CAP) -6.51%
CNX METAL (EQUAL) -13.25% CNX METAL (CAP) -15.93%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.03
2015-Jan-27
CNX BANK SHORT
8.91
2015-Jan-27
CNX COMMODITIES LONG
32.16
2008-Jan-04
CNX CONSUMPTION SHORT
2.11
2015-Aug-05
CNX ENERGY LONG
29.99
2008-Jan-14
CNX FMCG SHORT
8.75
2015-Feb-25
CNX INFRA SHORT
48.15
2008-Jan-09
CNX IT LONG
87.38
2000-Feb-21
CNX MEDIA SHORT
15.03
2008-Jan-04
CNX METAL LONG
65.04
2008-Jan-04
CNX MNC SHORT
1.99
2015-Aug-10
CNX NIFTY SHORT
5.31
2015-Mar-03
CNX PHARMA LONG
5.02
2015-Apr-08
CNX PSE LONG
28.83
2008-Jan-04
CNX PSU BANK SHORT
35.20
2010-Nov-05
CNX REALTY SHORT
90.24
2008-Jan-14
CNX SERVICE SHORT
5.42
2015-Mar-03
Has the relative strength spread started to mean-revert? Watch out for momentum strategy drawdowns…