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:

Relative Strength Spread

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.