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:

Relative Strength Spread

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.