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:

Relative Strength Spread

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…