Index Update 02.10.2015

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 2015-10-01 png

index momentum best 50 2015-10-01 png

index momentum worst 365 2015-10-01 png

index momentum worst 50 2015-10-01 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-01 png

Refactored Index Performance

50-day performance, from July 22, 2015 through October 01, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +4.04% CNX PHARMA (CAP) +6.19%
CNX IT (EQUAL) +0.78% CNX IT (CAP) +3.50%
CNX REALTY (EQUAL) -1.31% NI15 (CAP) +1.24%
NI15 (EQUAL) -2.34% CNX REALTY (CAP) +1.09%
CNX MEDIA (EQUAL) -2.43% NSE QUALITY 30 (CAP) -0.77%
NSE QUALITY 30 (EQUAL) -3.28% CNX MEDIA (CAP) -0.93%
CNX CONSUMPTION (EQUAL) -5.08% CNX FMCG (CAP) -1.51%
CNX PSU BANK (EQUAL) -5.15% CNX CONSUMPTION (CAP) -4.11%
CNX FMCG (EQUAL) -5.48% CNX SERVICE (CAP) -6.62%
CNX AUTO (EQUAL) -6.26% LIX15 Midcap (CAP) -6.81%
CNX SERVICE (EQUAL) -6.80% CNX MNC (CAP) -6.83%
LIX15 Midcap (EQUAL) -7.10% CNX PSU BANK (CAP) -7.53%
CNX FINANCE (EQUAL) -7.13% NV20 (CAP) -9.08%
CNX MNC (EQUAL) -7.43% CNX AUTO (CAP) -9.45%
CNX BANK (EQUAL) -7.52% CNX BANK (CAP) -9.87%
NV20 (EQUAL) -10.98% CNX FINANCE (CAP) -10.38%
CNX INFRA (EQUAL) -11.65% CNX ENERGY (CAP) -15.28%
CNX ENERGY (EQUAL) -12.01% LIX 15 (CAP) -15.71%
CNX COMMODITIES (EQUAL) -12.73% CNX COMMODITIES (CAP) -15.89%
CPSE INDEX (EQUAL) -13.24% CNX PSE (CAP) -16.23%
LIX 15 (EQUAL) -13.40% CNX INFRA (CAP) -16.52%
CNX PSE (EQUAL) -13.88% CPSE INDEX (CAP) -17.40%
CNX METAL (EQUAL) -19.31% CNX METAL (CAP) -23.68%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.03
2015-Jan-27
CNX BANK SHORT
16.57
2015-Jan-27
CNX COMMODITIES LONG
38.24
2008-Jan-04
CNX CONSUMPTION SHORT
7.34
2015-Aug-05
CNX ENERGY LONG
36.33
2008-Jan-14
CNX FMCG LONG
10.30
2015-Feb-25
CNX INFRA LONG
54.62
2008-Jan-09
CNX IT SHORT
87.57
2000-Feb-21
CNX MEDIA SHORT
18.02
2008-Jan-04
CNX METAL LONG
69.95
2008-Jan-04
CNX MNC SHORT
9.50
2015-Aug-10
CNX NIFTY SHORT
11.62
2015-Mar-03
CNX PHARMA SHORT
4.99
2015-Apr-08
CNX PSE LONG
35.62
2008-Jan-04
CNX PSU BANK SHORT
42.81
2010-Nov-05
CNX REALTY SHORT
90.62
2008-Jan-14
CNX SERVICE SHORT
10.92
2015-Mar-03
Dispersion is around its all-time lows – momentum algos will be struggling to find a toe-hold. Besides, the only thing that has worked in the last few months is long-only pharma and IT – both long USD trades.