Index Update 29.08.2015

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 2015-08-28 png

index momentum best 50 2015-08-28 png

index momentum worst 365 2015-08-28 png

index momentum worst 50 2015-08-28 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-28 png

Refactored Index Performance

50-day performance, from June 22, 2015 through August 28, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +10.47% CNX PHARMA (CAP) +8.94%
CNX MEDIA (EQUAL) +4.03% CNX MEDIA (CAP) +6.70%
NI15 (EQUAL) +2.67% NI15 (CAP) +3.73%
CNX AUTO (EQUAL) +2.45% CNX IT (CAP) +2.99%
NSE QUALITY 30 (EQUAL) +1.87% CNX FMCG (CAP) +2.64%
CNX FMCG (EQUAL) +0.46% NSE QUALITY 30 (CAP) +1.79%
CNX MNC (EQUAL) -0.74% CNX CONSUMPTION (CAP) -0.17%
CNX CONSUMPTION (EQUAL) -1.26% LIX15 Midcap (CAP) -0.32%
CNX IT (EQUAL) -3.37% CNX MNC (CAP) -1.45%
LIX15 Midcap (EQUAL) -3.40% CNX PSU BANK (CAP) -2.95%
CNX SERVICE (EQUAL) -5.46% CNX SERVICE (CAP) -3.85%
CNX FINANCE (EQUAL) -5.85% CNX AUTO (CAP) -4.51%
CNX BANK (EQUAL) -6.13% NV20 (CAP) -5.86%
CNX PSU BANK (EQUAL) -6.51% CNX FINANCE (CAP) -6.15%
NV20 (EQUAL) -7.07% CNX BANK (CAP) -6.18%
CNX REALTY (EQUAL) -8.41% CNX INFRA (CAP) -8.16%
LIX 15 (EQUAL) -8.75% LIX 15 (CAP) -10.78%
CNX COMMODITIES (EQUAL) -9.64% CNX REALTY (CAP) -11.08%
CNX INFRA (EQUAL) -10.56% CNX PSE (CAP) -11.47%
CNX PSE (EQUAL) -11.16% CNX COMMODITIES (CAP) -11.58%
CPSE INDEX (EQUAL) -11.87% CNX ENERGY (CAP) -13.23%
CNX ENERGY (EQUAL) -12.50% CPSE INDEX (CAP) -15.74%
CNX METAL (EQUAL) -18.33% CNX METAL (CAP) -20.63%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.83
2015-Jan-27
CNX BANK LONG
16.26
2015-Jan-27
CNX COMMODITIES LONG
36.29
2008-Jan-04
CNX CONSUMPTION LONG
7.46
2015-Aug-05
CNX ENERGY LONG
35.67
2008-Jan-14
CNX FMCG SHORT
9.51
2015-Feb-25
CNX INFRA LONG
52.21
2008-Jan-09
CNX IT LONG
87.87
2000-Feb-21
CNX MEDIA LONG
20.76
2008-Jan-04
CNX METAL LONG
66.87
2008-Jan-04
CNX MNC LONG
8.07
2015-Aug-10
CNX NIFTY LONG
11.05
2015-Mar-03
CNX PHARMA SHORT
6.44
2015-Apr-08
CNX PSE LONG
33.30
2008-Jan-04
CNX PSU BANK LONG
40.41
2010-Nov-05
CNX REALTY LONG
91.29
2008-Jan-14
CNX SERVICE LONG
11.61
2015-Mar-03
A week that saw momentum come crashing down. Worst part: CNX REALTY is more than 91% down from its peak in Jan’08…