Index Update 12.09.2015

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 2015-09-11 png

index momentum best 50 2015-09-11 png

index momentum worst 365 2015-09-11 png

index momentum worst 50 2015-09-11 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-11 png

Refactored Index Performance

50-day performance, from July 06, 2015 through September 11, 2015:

Equally Weighted Market Cap. Weighted
CNX MEDIA (EQUAL) +0.31% CNX IT (CAP) +3.65%
CNX PHARMA (EQUAL) -0.74% CNX MEDIA (CAP) +2.08%
CNX IT (EQUAL) -2.63% CNX PHARMA (CAP) -0.97%
NSE QUALITY 30 (EQUAL) -3.03% NI15 (CAP) -1.53%
CNX AUTO (EQUAL) -3.24% NSE QUALITY 30 (CAP) -2.28%
NI15 (EQUAL) -4.12% CNX FMCG (CAP) -4.74%
CNX CONSUMPTION (EQUAL) -5.60% CNX CONSUMPTION (CAP) -5.80%
CNX FMCG (EQUAL) -5.93% CNX MNC (CAP) -6.70%
CNX MNC (EQUAL) -6.06% LIX15 Midcap (CAP) -6.82%
CNX SERVICE (EQUAL) -8.67% CNX SERVICE (CAP) -7.54%
LIX15 Midcap (EQUAL) -8.89% CNX AUTO (CAP) -7.79%
CNX REALTY (EQUAL) -9.51% NV20 (CAP) -9.83%
CNX FINANCE (EQUAL) -9.61% CNX REALTY (CAP) -10.07%
LIX 15 (EQUAL) -11.38% CNX PSU BANK (CAP) -11.02%
NV20 (EQUAL) -11.55% CNX FINANCE (CAP) -11.59%
CNX BANK (EQUAL) -11.87% CNX BANK (CAP) -11.86%
CNX COMMODITIES (EQUAL) -12.41% CNX INFRA (CAP) -13.45%
CNX PSU BANK (EQUAL) -12.52% LIX 15 (CAP) -14.57%
CNX INFRA (EQUAL) -13.70% CNX COMMODITIES (CAP) -14.96%
CNX PSE (EQUAL) -14.50% CNX PSE (CAP) -16.53%
CPSE INDEX (EQUAL) -15.20% CNX ENERGY (CAP) -16.60%
CNX ENERGY (EQUAL) -15.97% CPSE INDEX (CAP) -19.61%
CNX METAL (EQUAL) -17.56% CNX METAL (CAP) -21.67%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.65
2015-Jan-27
CNX BANK LONG
19.18
2015-Jan-27
CNX COMMODITIES SHORT
37.69
2008-Jan-04
CNX CONSUMPTION LONG
9.96
2015-Aug-05
CNX ENERGY LONG
37.47
2008-Jan-14
CNX FMCG LONG
12.93
2015-Feb-25
CNX INFRA LONG
53.86
2008-Jan-09
CNX IT SHORT
88.03
2000-Feb-21
CNX MEDIA SHORT
20.45
2008-Jan-04
CNX METAL SHORT
67.83
2008-Jan-04
CNX MNC LONG
10.38
2015-Aug-10
CNX NIFTY SHORT
13.42
2015-Mar-03
CNX PHARMA SHORT
10.77
2015-Apr-08
CNX PSE LONG
36.23
2008-Jan-04
CNX PSU BANK LONG
44.30
2010-Nov-05
CNX REALTY SHORT
91.21
2008-Jan-14
CNX SERVICE LONG
13.95
2015-Mar-03
Has the momentum crash run its course? Seems like the pendulum has swung too far out…