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:

Relative Strength Spread

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?