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:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +5.40% CNX PHARMA (CAP) +5.00%
CNX MEDIA (EQUAL) +3.51% CNX IT (CAP) +3.52%
NSE QUALITY 30 (EQUAL) -0.27% CNX MEDIA (CAP) +2.80%
NI15 (EQUAL) -0.88% NI15 (CAP) +0.98%
CNX FMCG (EQUAL) -1.47% NSE QUALITY 30 (CAP) -0.24%
CNX AUTO (EQUAL) -2.55% CNX FMCG (CAP) -0.45%
CNX IT (EQUAL) -2.62% CNX CONSUMPTION (CAP) -3.80%
CNX MNC (EQUAL) -3.44% LIX15 Midcap (CAP) -4.45%
CNX CONSUMPTION (EQUAL) -3.54% CNX MNC (CAP) -4.76%
LIX15 Midcap (EQUAL) -7.02% CNX SERVICE (CAP) -7.43%
CNX SERVICE (EQUAL) -8.64% CNX PSU BANK (CAP) -8.93%
CNX FINANCE (EQUAL) -8.72% CNX AUTO (CAP) -9.22%
CNX PSU BANK (EQUAL) -9.44% NV20 (CAP) -10.05%
CNX REALTY (EQUAL) -10.24% CNX FINANCE (CAP) -11.44%
CNX BANK (EQUAL) -11.14% CNX BANK (CAP) -11.69%
NV20 (EQUAL) -11.51% CNX REALTY (CAP) -12.29%
CNX COMMODITIES (EQUAL) -11.78% CNX INFRA (CAP) -13.74%
LIX 15 (EQUAL) -11.88% CNX COMMODITIES (CAP) -14.25%
CNX PSE (EQUAL) -14.08% LIX 15 (CAP) -14.51%
CNX INFRA (EQUAL) -14.51% CNX PSE (CAP) -15.65%
CPSE INDEX (EQUAL) -14.60% CNX ENERGY (CAP) -16.94%
CNX ENERGY (EQUAL) -15.66% CPSE INDEX (CAP) -18.66%
CNX METAL (EQUAL) -18.38% CNX METAL (CAP) -22.27%

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…