Index Update 05.09.2015

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 2015-09-04 png

index momentum best 50 2015-09-04 png

index momentum worst 365 2015-09-04 png

index momentum worst 50 2015-09-04 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-04 png

Refactored Index Performance

50-day performance, from June 29, 2015 through September 04, 2015:

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
16.93
2015-Jan-27
CNX BANK LONG
21.53
2015-Jan-27
CNX COMMODITIES SHORT
38.49
2008-Jan-04
CNX CONSUMPTION SHORT
11.06
2015-Aug-05
CNX ENERGY SHORT
38.72
2008-Jan-14
CNX FMCG SHORT
11.77
2015-Feb-25
CNX INFRA SHORT
55.03
2008-Jan-09
CNX IT SHORT
88.05
2000-Feb-21
CNX MEDIA LONG
23.79
2008-Jan-04
CNX METAL SHORT
68.17
2008-Jan-04
CNX MNC SHORT
11.03
2015-Aug-10
CNX NIFTY SHORT
14.91
2015-Mar-03
CNX PHARMA SHORT
9.47
2015-Apr-08
CNX PSE SHORT
36.96
2008-Jan-04
CNX PSU BANK LONG
45.62
2010-Nov-05
CNX REALTY SHORT
91.56
2008-Jan-14
CNX SERVICE SHORT
15.70
2015-Mar-03
A brutal selloff across the board…