Index Update 25.09.2015

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 2015-09-24 png

index momentum best 50 2015-09-24 png

index momentum worst 365 2015-09-24 png

index momentum worst 50 2015-09-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-24 png

Refactored Index Performance

50-day performance, from July 16, 2015 through September 24, 2015:

Equally Weighted Market Cap. Weighted
CNX IT (EQUAL) +4.79% CNX IT (CAP) +8.39%
CNX MEDIA (EQUAL) +0.20% CNX MEDIA (CAP) +2.56%
CNX PHARMA (EQUAL) -1.08% NI15 (CAP) +0.31%
NI15 (EQUAL) -3.70% NSE QUALITY 30 (CAP) -1.57%
NSE QUALITY 30 (EQUAL) -3.91% CNX PHARMA (CAP) -1.79%
CNX AUTO (EQUAL) -4.97% CNX FMCG (CAP) -4.66%
CNX CONSUMPTION (EQUAL) -6.46% CNX CONSUMPTION (CAP) -5.66%
CNX REALTY (EQUAL) -6.47% CNX SERVICE (CAP) -6.14%
CNX SERVICE (EQUAL) -7.61% CNX REALTY (CAP) -6.43%
CNX PSU BANK (EQUAL) -7.70% CNX PSU BANK (CAP) -7.94%
CNX MNC (EQUAL) -7.95% LIX15 Midcap (CAP) -8.01%
CNX FMCG (EQUAL) -8.12% CNX MNC (CAP) -8.09%
LIX15 Midcap (EQUAL) -8.79% NV20 (CAP) -8.39%
CNX BANK (EQUAL) -9.12% CNX AUTO (CAP) -8.44%
CNX FINANCE (EQUAL) -9.33% CNX BANK (CAP) -10.41%
NV20 (EQUAL) -10.67% CNX FINANCE (CAP) -11.37%
LIX 15 (EQUAL) -12.24% LIX 15 (CAP) -13.94%
CNX ENERGY (EQUAL) -13.11% CNX ENERGY (CAP) -16.07%
CNX COMMODITIES (EQUAL) -13.49% CNX COMMODITIES (CAP) -16.57%
CNX INFRA (EQUAL) -13.76% CNX PSE (CAP) -17.40%
CNX PSE (EQUAL) -14.46% CNX INFRA (CAP) -18.04%
CPSE INDEX (EQUAL) -15.85% CPSE INDEX (CAP) -20.57%
CNX METAL (EQUAL) -19.03% CNX METAL (CAP) -24.00%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.15
2015-Jan-27
CNX BANK LONG
16.34
2015-Jan-27
CNX COMMODITIES SHORT
38.78
2008-Jan-04
CNX CONSUMPTION SHORT
9.43
2015-Aug-05
CNX ENERGY SHORT
37.64
2008-Jan-14
CNX FMCG LONG
12.60
2015-Feb-25
CNX INFRA SHORT
55.65
2008-Jan-09
CNX IT LONG
87.48
2000-Feb-21
CNX MEDIA SHORT
18.71
2008-Jan-04
CNX METAL SHORT
69.33
2008-Jan-04
CNX MNC SHORT
10.28
2015-Aug-10
CNX NIFTY SHORT
12.54
2015-Mar-03
CNX PHARMA LONG
7.26
2015-Apr-08
CNX PSE SHORT
36.45
2008-Jan-04
CNX PSU BANK LONG
41.91
2010-Nov-05
CNX REALTY LONG
90.96
2008-Jan-14
CNX SERVICE LONG
11.70
2015-Mar-03
Relative strength spread continues to be in negative momentum territory. Contrarians can use this moment to load up on momentum strategies and ride the bounce…