Index Update 31.10.2015

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 2015-10-30 png

index momentum best 50 2015-10-30 png

index momentum worst 365 2015-10-30 png

index momentum worst 50 2015-10-30 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-30 png

Refactored Index Performance

50-day performance, from August 18, 2015 through October 30, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +1.01% CNX PHARMA (CAP) +1.45%
CNX ENERGY (EQUAL) +0.66% CNX FMCG (CAP) -0.74%
CNX PHARMA (EQUAL) -0.32% CNX ENERGY (CAP) -1.02%
CNX INFRA (EQUAL) -1.10% CNX REALTY (CAP) -1.82%
CNX COMMODITIES (EQUAL) -2.12% NSE QUALITY 30 (CAP) -2.22%
CNX CONSUMPTION (EQUAL) -2.82% CNX MEDIA (CAP) -2.31%
NI15 (EQUAL) -3.17% NI15 (CAP) -2.35%
CNX FINANCE (EQUAL) -4.18% CNX CONSUMPTION (CAP) -2.57%
NSE QUALITY 30 (EQUAL) -4.20% CNX COMMODITIES (CAP) -3.04%
CNX PSE (EQUAL) -4.60% CNX IT (CAP) -5.04%
CNX FMCG (EQUAL) -5.64% CNX FINANCE (CAP) -5.11%
CNX IT (EQUAL) -5.85% CNX SERVICE (CAP) -5.54%
CPSE INDEX (EQUAL) -6.42% CNX AUTO (CAP) -6.50%
CNX SERVICE (EQUAL) -6.45% CNX METAL (CAP) -6.52%
CNX MNC (EQUAL) -7.44% CNX PSE (CAP) -7.06%
CNX METAL (EQUAL) -7.68% NV20 (CAP) -7.19%
LIX 15 (EQUAL) -7.99% CNX MNC (CAP) -7.43%
LIX15 Midcap (EQUAL) -8.32% CNX BANK (CAP) -7.68%
NV20 (EQUAL) -8.44% CPSE INDEX (CAP) -7.70%
CNX MEDIA (EQUAL) -9.15% LIX15 Midcap (CAP) -8.33%
CNX AUTO (EQUAL) -9.60% LIX 15 (CAP) -8.91%
CNX BANK (EQUAL) -14.15% CNX INFRA (CAP) -11.84%
CNX PSU BANK (EQUAL) -17.51% CNX PSU BANK (CAP) -18.66%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
11.07
2015-Jan-27
CNX BANK LONG
15.57
2015-Jan-27
CNX COMMODITIES SHORT
35.27
2008-Jan-04
CNX CONSUMPTION SHORT
6.47
2015-Aug-05
CNX ENERGY SHORT
32.57
2008-Jan-14
CNX FMCG LONG
9.76
2015-Feb-25
CNX INFRA LONG
54.74
2008-Jan-09
CNX IT LONG
87.97
2000-Feb-21
CNX MEDIA LONG
18.27
2008-Jan-04
CNX METAL SHORT
67.13
2008-Jan-04
CNX MNC SHORT
9.13
2015-Aug-10
CNX NIFTY LONG
10.34
2015-Mar-03
CNX PHARMA SHORT
4.78
2015-Apr-08
CNX PSE LONG
34.72
2008-Jan-04
CNX PSU BANK LONG
43.64
2010-Nov-05
CNX REALTY LONG
90.63
2008-Jan-14
CNX SERVICE LONG
10.93
2015-Mar-03
Relative Strength Spread widened out – a good sign for momentum strategies. Metals, infra and energy indices continued to troll the depths. Pharma was the strongest.