Index Update 28.11.2015

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 2015-11-27 png

index momentum best 50 2015-11-27 png

index momentum worst 365 2015-11-27 png

index momentum worst 50 2015-11-27 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-27 png

Refactored Index Performance

50-day performance, from September 10, 2015 through November 27, 2015:

Equally Weighted Market Cap. Weighted
PSU BANK (EQUAL) +10.68% ENERGY (CAP) +10.44%
ENERGY (EQUAL) +10.51% PSU BANK (CAP) +8.58%
INFRA (EQUAL) +10.04% AUTO (CAP) +7.34%
REALTY (EQUAL) +7.90% CONSUMPTION (CAP) +7.16%
CONSUMPTION (EQUAL) +6.18% FMCG (CAP) +5.90%
FIN SERVICE (EQUAL) +5.16% REALTY (CAP) +4.96%
MIDCAP LIQUID 15 (EQUAL) +4.47% FIN SERVICE (CAP) +4.80%
BANK (EQUAL) +4.21% BANK (CAP) +4.63%
PSE (EQUAL) +4.06% MEDIA (CAP) +4.37%
SERV SECTOR (EQUAL) +3.88% COMMODITIES (CAP) +4.36%
COMMODITIES (EQUAL) +3.85% LIQ 15 (CAP) +3.19%
VALUE 20 (EQUAL) +3.77% VALUE 20 (CAP) +3.01%
CPSE (EQUAL) +3.43% CPSE (CAP) +2.75%
AUTO (EQUAL) +3.17% MIDCAP LIQUID 15 (CAP) +2.58%
METAL (EQUAL) +1.61% PSE (CAP) +2.56%
FMCG (EQUAL) +1.44% SERV SECTOR (CAP) +2.42%
MEDIA (EQUAL) +0.75% QUALITY 30 (CAP) +0.44%
GROWSECT 15 (EQUAL) +0.66% MNC (CAP) +0.11%
QUALITY 30 (EQUAL) +0.54% GROWSECT 15 (CAP) +0.06%
LIQ 15 (EQUAL) +0.37% METAL (CAP) -2.32%
PHARMA (EQUAL) +0.14% IT (CAP) -2.71%
IT (EQUAL) -0.47% INFRA (CAP) -4.01%
MNC (EQUAL) -1.48% PHARMA (CAP) -6.12%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
7.21
2015-Jan-27
NIFTY BANK SHORT
15.49
2015-Jan-27
NIFTY COMMODITIES SHORT
35.90
2008-Jan-04
NIFTY CONSUMPTION LONG
4.30
2015-Aug-05
NIFTY ENERGY LONG
31.03
2008-Jan-14
NIFTY FIN SERVICE SHORT
13.83
2015-Jan-28
NIFTY FMCG SHORT
8.34
2015-Feb-25
NIFTY INFRA SHORT
55.79
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
17.55
2008-Jan-04
NIFTY METAL SHORT
68.40
2008-Jan-04
NIFTY MNC SHORT
10.52
2015-Aug-10
NIFTY PHARMA SHORT
16.37
2015-Apr-08
NIFTY PSE SHORT
34.30
2008-Jan-04
NIFTY PSU BANK SHORT
40.16
2010-Nov-05
NIFTY REALTY SHORT
90.89
2008-Jan-14
NIFTY SERV SECTOR SHORT
12.35
2015-Mar-03
Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.