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:

Relative Strength Spread

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.