Index Update 07.11.2015

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 2015-11-06 png

index momentum best 50 2015-11-06 png

index momentum worst 365 2015-11-06 png

index momentum worst 50 2015-11-06 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-11-06 png

Refactored Index Performance

50-day performance, from August 25, 2015 through November 06, 2015:

Equally Weighted Market Cap. Weighted
CNX ENERGY (EQUAL) +11.14% CNX ENERGY (CAP) +10.20%
CNX INFRA (EQUAL) +9.42% CNX REALTY (CAP) +9.27%
CNX REALTY (EQUAL) +9.40% CNX MEDIA (CAP) +6.32%
CNX COMMODITIES (EQUAL) +4.72% CNX COMMODITIES (CAP) +5.83%
CNX FINANCE (EQUAL) +4.56% CNX CONSUMPTION (CAP) +3.16%
CNX CONSUMPTION (EQUAL) +4.49% CNX AUTO (CAP) +2.93%
CNX PSE (EQUAL) +3.65% CPSE INDEX (CAP) +2.67%
CNX SERVICE (EQUAL) +3.08% CNX FMCG (CAP) +1.94%
CPSE INDEX (EQUAL) +3.03% CNX PSE (CAP) +1.91%
LIX 15 (EQUAL) +1.90% CNX IT (CAP) +1.69%
CNX MEDIA (EQUAL) +1.72% CNX SERVICE (CAP) +1.38%
LIX15 Midcap (EQUAL) +0.89% CNX FINANCE (CAP) +1.09%
CNX FMCG (EQUAL) +0.72% NSE QUALITY 30 (CAP) +1.01%
CNX IT (EQUAL) +0.54% NV20 (CAP) +0.73%
NV20 (EQUAL) +0.10% LIX 15 (CAP) +0.65%
CNX PSU BANK (EQUAL) -0.02% NI15 (CAP) +0.10%
CNX METAL (EQUAL) -0.40% CNX METAL (CAP) -0.41%
NSE QUALITY 30 (EQUAL) -0.40% CNX BANK (CAP) -0.72%
NI15 (EQUAL) -0.45% LIX15 Midcap (CAP) -0.94%
CNX PHARMA (EQUAL) -0.85% CNX MNC (CAP) -1.02%
CNX MNC (EQUAL) -1.31% CNX PSU BANK (CAP) -3.97%
CNX AUTO (EQUAL) -2.26% CNX INFRA (CAP) -4.26%
CNX BANK (EQUAL) -2.58% CNX PHARMA (CAP) -4.32%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.50
2015-Jan-27
CNX BANK LONG
16.88
2015-Jan-27
CNX COMMODITIES SHORT
35.50
2008-Jan-04
CNX CONSUMPTION SHORT
6.49
2015-Aug-05
CNX ENERGY SHORT
32.00
2008-Jan-14
CNX FMCG LONG
9.17
2015-Feb-25
CNX INFRA LONG
55.66
2008-Jan-09
CNX IT SHORT
87.97
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
68.69
2008-Jan-04
CNX MNC SHORT
9.63
2015-Aug-10
CNX NIFTY LONG
11.58
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
34.06
2008-Jan-04
CNX PSU BANK LONG
42.26
2010-Nov-05
CNX REALTY LONG
90.82
2008-Jan-14
CNX SERVICE LONG
12.09
2015-Mar-03
The DRL fiasco dinged the last samurai. Will FMCG lead from hear on out?