Index Update 22.08.2015

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 2015-08-21 png

index momentum best 50 2015-08-21 png

index momentum worst 365 2015-08-21 png

index momentum worst 50 2015-08-21 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-21 png

Refactored Index Performance

50-day performance, from June 15, 2015 through August 21, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.20% CNX PHARMA (CAP) +17.63%
CNX AUTO (EQUAL) +12.64% LIX15 Midcap (CAP) +12.38%
CNX MEDIA (EQUAL) +12.20% CNX PSU BANK (CAP) +11.78%
CNX PSU BANK (EQUAL) +10.34% NI15 (CAP) +11.38%
NI15 (EQUAL) +10.11% CNX MEDIA (CAP) +11.18%
LIX15 Midcap (EQUAL) +10.00% CNX IT (CAP) +10.24%
NSE QUALITY 30 (EQUAL) +9.33% CNX FMCG (CAP) +9.30%
CNX FMCG (EQUAL) +7.79% NSE QUALITY 30 (CAP) +8.72%
CNX MNC (EQUAL) +7.16% CNX CONSUMPTION (CAP) +7.77%
CNX BANK (EQUAL) +6.75% CNX MNC (CAP) +7.40%
CNX CONSUMPTION (EQUAL) +6.16% CNX AUTO (CAP) +4.78%
CNX IT (EQUAL) +5.36% CNX SERVICE (CAP) +3.84%
CNX FINANCE (EQUAL) +4.83% CNX BANK (CAP) +3.37%
CNX SERVICE (EQUAL) +2.75% NV20 (CAP) +3.26%
NV20 (EQUAL) +1.26% CNX FINANCE (CAP) +2.63%
CNX INFRA (EQUAL) -1.93% CNX INFRA (CAP) -1.35%
CNX REALTY (EQUAL) -2.06% CNX COMMODITIES (CAP) -4.46%
LIX 15 (EQUAL) -2.55% LIX 15 (CAP) -4.52%
CNX COMMODITIES (EQUAL) -3.28% CNX REALTY (CAP) -4.78%
CNX PSE (EQUAL) -5.70% CNX ENERGY (CAP) -5.07%
CPSE INDEX (EQUAL) -6.13% CNX PSE (CAP) -7.40%
CNX ENERGY (EQUAL) -6.70% CPSE INDEX (CAP) -11.20%
CNX METAL (EQUAL) -11.62% CNX METAL (CAP) -18.58%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
7.89
2015-Jan-27
CNX BANK LONG
12.15
2015-Jan-27
CNX COMMODITIES LONG
34.50
2008-Jan-04
CNX CONSUMPTION SHORT
3.78
2015-Aug-05
CNX ENERGY LONG
33.41
2008-Jan-14
CNX FMCG SHORT
7.13
2015-Feb-25
CNX INFRA LONG
50.11
2008-Jan-09
CNX IT LONG
87.40
2000-Feb-21
CNX MEDIA LONG
20.08
2008-Jan-04
CNX METAL LONG
66.83
2008-Jan-04
CNX MNC SHORT
3.39
2015-Aug-10
CNX NIFTY SHORT
7.74
2015-Mar-03
CNX PHARMA LONG
2.61
2015-Apr-08
CNX PSE LONG
31.90
2008-Jan-04
CNX PSU BANK SHORT
35.02
2010-Nov-05
CNX REALTY SHORT
91.14
2008-Jan-14
CNX SERVICE SHORT
8.30
2015-Mar-03
The few areas of strength were in CONSUMPTION, MNC and PHARMA. Momentum strategies would have gotten shellacked given the brutal mean reversion in relative strength spread.