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:

Relative Strength Spread

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.