Index Update 19.09.2015

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 2015-09-18 png

index momentum best 50 2015-09-18 png

index momentum worst 365 2015-09-18 png

index momentum worst 50 2015-09-18 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-18 png

Refactored Index Performance

50-day performance, from July 10, 2015 through September 18, 2015:

Equally Weighted Market Cap. Weighted
CNX MEDIA (EQUAL) +4.36% CNX IT (CAP) +10.26%
CNX IT (EQUAL) +3.67% CNX MEDIA (CAP) +7.19%
CNX PHARMA (EQUAL) +1.13% NI15 (CAP) +3.25%
NI15 (EQUAL) -0.07% NSE QUALITY 30 (CAP) +1.84%
NSE QUALITY 30 (EQUAL) -0.29% CNX PHARMA (CAP) +1.72%
CNX AUTO (EQUAL) -1.17% CNX FMCG (CAP) -1.96%
CNX CONSUMPTION (EQUAL) -3.57% CNX SERVICE (CAP) -2.30%
CNX SERVICE (EQUAL) -3.59% CNX CONSUMPTION (CAP) -2.49%
CNX REALTY (EQUAL) -4.07% CNX MNC (CAP) -4.25%
CNX MNC (EQUAL) -4.42% NV20 (CAP) -4.65%
CNX FMCG (EQUAL) -4.56% CNX AUTO (CAP) -4.75%
LIX15 Midcap (EQUAL) -5.98% LIX15 Midcap (CAP) -4.75%
CNX BANK (EQUAL) -6.21% CNX REALTY (CAP) -4.95%
LIX 15 (EQUAL) -6.50% CNX PSU BANK (CAP) -6.83%
CNX FINANCE (EQUAL) -6.77% CNX BANK (CAP) -7.11%
NV20 (EQUAL) -6.83% CNX FINANCE (CAP) -7.44%
CNX PSU BANK (EQUAL) -8.74% LIX 15 (CAP) -9.25%
CNX COMMODITIES (EQUAL) -9.06% CNX ENERGY (CAP) -10.50%
CNX ENERGY (EQUAL) -9.65% CNX COMMODITIES (CAP) -10.85%
CNX INFRA (EQUAL) -10.71% CNX PSE (CAP) -12.33%
CNX PSE (EQUAL) -11.16% CNX INFRA (CAP) -12.99%
CPSE INDEX (EQUAL) -12.55% CPSE INDEX (CAP) -15.78%
CNX METAL (EQUAL) -16.83% CNX METAL (CAP) -17.96%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.81
2015-Jan-27
CNX BANK LONG
15.31
2015-Jan-27
CNX COMMODITIES SHORT
36.65
2008-Jan-04
CNX CONSUMPTION LONG
8.85
2015-Aug-05
CNX ENERGY LONG
35.02
2008-Jan-14
CNX FMCG SHORT
12.55
2015-Feb-25
CNX INFRA LONG
53.46
2008-Jan-09
CNX IT LONG
87.72
2000-Feb-21
CNX MEDIA LONG
19.39
2008-Jan-04
CNX METAL SHORT
67.43
2008-Jan-04
CNX MNC LONG
9.58
2015-Aug-10
CNX NIFTY LONG
11.28
2015-Mar-03
CNX PHARMA SHORT
7.81
2015-Apr-08
CNX PSE SHORT
34.70
2008-Jan-04
CNX PSU BANK LONG
41.45
2010-Nov-05
CNX REALTY LONG
90.89
2008-Jan-14
CNX SERVICE LONG
10.94
2015-Mar-03
Momentum continued to be a train-wreck this week. All indices saw major drawdowns…