Index Update 21.11.2015

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 2015-11-20 png

index momentum best 50 2015-11-20 png

index momentum worst 365 2015-11-20 png

index momentum worst 50 2015-11-20 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-20 png

Refactored Index Performance

50-day performance, from September 04, 2015 through November 20, 2015:

Equally Weighted Market Cap. Weighted
INFRA (EQUAL) +11.95% ENERGY (CAP) +11.02%
ENERGY (EQUAL) +11.25% AUTO (CAP) +10.45%
PSU BANK (EQUAL) +8.40% CONSUMPTION (CAP) +7.05%
REALTY (EQUAL) +7.09% PSU BANK (CAP) +6.87%
FIN SERVICE (EQUAL) +5.93% BANK (CAP) +5.70%
MIDCAP LIQUID 15 (EQUAL) +5.91% MEDIA (CAP) +5.52%
PSE (EQUAL) +5.86% FIN SERVICE (CAP) +5.46%
CONSUMPTION (EQUAL) +5.82% COMMODITIES (CAP) +5.43%
COMMODITIES (EQUAL) +5.41% 00 LIQ 15 (CAP) +4.26%
BANK (EQUAL) +5.04% FMCG (CAP) +4.02%
0 VALUE 20 (EQUAL) +4.54% MIDCAP LIQUID 15 (CAP) +3.80%
AUTO (EQUAL) +4.53% REALTY (CAP) +3.54%
CPSE (EQUAL) +4.45% 0 VALUE 20 (CAP) +3.35%
SERV SECTOR (EQUAL) +4.37% PSE (CAP) +3.26%
METAL (EQUAL) +2.35% SERV SECTOR (CAP) +2.82%
00 LIQ 15 (EQUAL) +1.89% CPSE (CAP) +2.41%
FMCG (EQUAL) +0.70% MNC (CAP) +1.83%
MEDIA (EQUAL) +0.47% QUALITY 30 (CAP) +0.15%
QUALITY 30 (EQUAL) +0.44% METAL (CAP) -0.27%
GROWSECT 15 (EQUAL) +0.39% GROWSECT 15 (CAP) -0.68%
MNC (EQUAL) +0.26% INFRA (CAP) -1.63%
PHARMA (EQUAL) -0.11% IT (CAP) -2.83%
IT (EQUAL) -0.63% PHARMA (CAP) -6.74%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
8.35
2015-Jan-27
NIFTY BANK SHORT
17.03
2015-Jan-27
NIFTY COMMODITIES LONG
36.30
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.11
2015-Aug-05
NIFTY ENERGY SHORT
32.35
2008-Jan-14
NIFTY FIN SERVICE SHORT
15.36
2015-Jan-28
NIFTY FMCG SHORT
8.28
2015-Feb-25
NIFTY INFRA SHORT
56.17
2008-Jan-09
NIFTY IT LONG
88.36
2000-Feb-21
NIFTY MEDIA LONG
19.97
2008-Jan-04
NIFTY METAL SHORT
68.58
2008-Jan-04
NIFTY MNC SHORT
9.35
2015-Aug-10
NIFTY PHARMA LONG
15.51
2015-Apr-08
NIFTY PSE LONG
34.98
2008-Jan-04
NIFTY PSU BANK LONG
41.92
2010-Nov-05
NIFTY REALTY LONG
91.28
2008-Jan-14
NIFTY SERV SECTOR LONG
13.63
2015-Mar-03
Is there a dash-for-trash thing going on where the beaten-down, heavily leveraged sectors are finding a bid? Look at the recent performance of INFRA and ENERGY. Is this a blip or a fundamental shift?