Index Update 12.12.2015

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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 2015-12-11 png

index momentum best 50 2015-12-11 png

index momentum worst 365 2015-12-11 png

index momentum worst 50 2015-12-11 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-11 png

Refactored Index Performance

50-day performance, from September 28, 2015 through December 11, 2015:

Equally Weighted Market Cap. Weighted
METAL (EQUAL) +5.60% ENERGY (CAP) +7.18%
ENERGY (EQUAL) +3.66% AUTO (CAP) +4.84%
CONSUMPTION (EQUAL) +3.63% COMMODITIES (CAP) +4.41%
COMMODITIES (EQUAL) +3.03% METAL (CAP) +3.04%
INFRA (EQUAL) +1.73% MEDIA (CAP) +2.23%
FMCG (EQUAL) +0.22% CONSUMPTION (CAP) +2.17%
PSE (EQUAL) +0.15% FMCG (CAP) +1.00%
VALUE 20 (EQUAL) -0.92% PSE (CAP) -0.81%
LIQ 15 (EQUAL) -1.16% LIQ 15 (CAP) -1.54%
MEDIA (EQUAL) -1.29% VALUE 20 (CAP) -1.78%
AUTO (EQUAL) -1.42% CPSE (CAP) -1.86%
CPSE (EQUAL) -1.70% MNC (CAP) -1.90%
QUALITY 30 (EQUAL) -2.14% QUALITY 30 (CAP) -2.97%
REALTY (EQUAL) -2.41% FIN SERVICE (CAP) -3.10%
MNC (EQUAL) -2.78% MIDCAP LIQUID 15 (CAP) -3.58%
FIN SERVICE (EQUAL) -3.01% SERV SECTOR (CAP) -4.02%
SERV SECTOR (EQUAL) -3.52% BANK (CAP) -4.50%
MIDCAP LIQUID 15 (EQUAL) -3.55% GROWSECT 15 (CAP) -4.58%
GROWSECT 15 (EQUAL) -3.70% INFRA (CAP) -4.68%
IT (EQUAL) -6.01% REALTY (CAP) -5.61%
PHARMA (EQUAL) -6.57% IT (CAP) -6.36%
BANK (EQUAL) -7.75% PSU BANK (CAP) -7.54%
PSU BANK (EQUAL) -8.82% PHARMA (CAP) -11.39%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
12.71
2015-Jan-27
NIFTY BANK LONG
20.49
2015-Jan-27
NIFTY COMMODITIES LONG
38.18
2008-Jan-04
NIFTY CONSUMPTION LONG
7.56
2015-Aug-05
NIFTY ENERGY LONG
33.38
2008-Jan-14
NIFTY FIN SERVICE LONG
18.47
2015-Jan-28
NIFTY FMCG LONG
11.98
2015-Feb-25
NIFTY INFRA LONG
58.43
2008-Jan-09
NIFTY IT SHORT
88.44
2000-Feb-21
NIFTY MEDIA SHORT
19.15
2008-Jan-04
NIFTY METAL LONG
69.06
2008-Jan-04
NIFTY MNC LONG
12.51
2015-Aug-10
NIFTY PHARMA SHORT
17.70
2015-Apr-08
NIFTY PSE LONG
37.51
2008-Jan-04
NIFTY PSU BANK LONG
46.32
2010-Nov-05
NIFTY REALTY LONG
91.37
2008-Jan-14
NIFTY SERV SECTOR LONG
16.10
2015-Mar-03
All eyes on the Fed…

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