Index Update 05.12.2015

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 2015-12-04 png

index momentum best 50 2015-12-04 png

index momentum worst 365 2015-12-04 png

index momentum worst 50 2015-12-04 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-04 png

Refactored Index Performance

50-day performance, from September 18, 2015 through December 04, 2015:

Equally Weighted Market Cap. Weighted
ENERGY (EQUAL) +6.71% AUTO (CAP) +5.18%
INFRA (EQUAL) +6.01% ENERGY (CAP) +4.83%
CONSUMPTION (EQUAL) +4.41% CONSUMPTION (CAP) +3.75%
METAL (EQUAL) +4.31% FMCG (CAP) +3.06%
COMMODITIES (EQUAL) +3.83% COMMODITIES (CAP) +2.26%
PSE (EQUAL) +2.97% MEDIA (CAP) +1.52%
MEDIA (EQUAL) +2.94% REALTY (CAP) +0.78%
CPSE (EQUAL) +2.91% CPSE (CAP) -0.29%
REALTY (EQUAL) +2.67% MIDCAP LIQUID 15 (CAP) -0.30%
MIDCAP LIQUID 15 (EQUAL) +0.83% METAL (CAP) -0.32%
PSU BANK (EQUAL) +0.79% PSE (CAP) -0.83%
FMCG (EQUAL) +0.35% MNC (CAP) -1.71%
FIN SERVICE (EQUAL) -0.35% LIQ 15 (CAP) -1.83%
AUTO (EQUAL) -0.51% PSU BANK (CAP) -1.88%
VALUE 20 (EQUAL) -0.83% VALUE 20 (CAP) -1.90%
QUALITY 30 (EQUAL) -1.86% QUALITY 30 (CAP) -2.47%
LIQ 15 (EQUAL) -2.06% FIN SERVICE (CAP) -2.67%
PHARMA (EQUAL) -2.17% BANK (CAP) -3.00%
SERV SECTOR (EQUAL) -2.56% GROWSECT 15 (CAP) -3.43%
GROWSECT 15 (EQUAL) -2.71% SERV SECTOR (CAP) -3.99%
MNC (EQUAL) -3.08% IT (CAP) -6.33%
IT (EQUAL) -4.93% INFRA (CAP) -6.52%
BANK (EQUAL) -5.06% PHARMA (CAP) -8.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
9.44
2015-Jan-27
NIFTY BANK SHORT
17.80
2015-Jan-27
NIFTY COMMODITIES SHORT
35.95
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.81
2015-Aug-05
NIFTY ENERGY SHORT
31.97
2008-Jan-14
NIFTY FIN SERVICE SHORT
16.57
2015-Jan-28
NIFTY FMCG SHORT
9.90
2015-Feb-25
NIFTY INFRA SHORT
56.92
2008-Jan-09
NIFTY IT SHORT
88.51
2000-Feb-21
NIFTY MEDIA LONG
18.62
2008-Jan-04
NIFTY METAL LONG
67.66
2008-Jan-04
NIFTY MNC SHORT
11.10
2015-Aug-10
NIFTY PHARMA SHORT
15.81
2015-Apr-08
NIFTY PSE SHORT
35.06
2008-Jan-04
NIFTY PSU BANK LONG
42.61
2010-Nov-05
NIFTY REALTY LONG
90.84
2008-Jan-14
NIFTY SERV SECTOR SHORT
14.66
2015-Mar-03
NIFTY MNC has been trailing lately. Is the trade overdone?