Index Update 19.12.2015

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 2015-12-18 png

index momentum best 50 2015-12-18 png

index momentum worst 365 2015-12-18 png

index momentum worst 50 2015-12-18 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-18 png

Refactored Index Performance

50-day performance, from October 06, 2015 through December 18, 2015:

Equally Weighted Market Cap. Weighted
METAL (EQUAL) +4.55% ENERGY (CAP) +4.49%
ENERGY (EQUAL) +2.36% MEDIA (CAP) +4.07%
CONSUMPTION (EQUAL) +2.08% COMMODITIES (CAP) +1.92%
MEDIA (EQUAL) +1.71% AUTO (CAP) +1.75%
COMMODITIES (EQUAL) +0.95% METAL (CAP) +0.42%
INFRA (EQUAL) +0.01% CONSUMPTION (CAP) -1.13%
PSE (EQUAL) -0.29% MNC (CAP) -1.19%
LIQ 15 (EQUAL) -0.48% LIQ 15 (CAP) -2.33%
FMCG (EQUAL) -2.07% PSE (CAP) -3.51%
AUTO (EQUAL) -2.43% VALUE 20 (CAP) -4.15%
VALUE 20 (EQUAL) -2.62% FMCG (CAP) -4.20%
QUALITY 30 (EQUAL) -2.79% QUALITY 30 (CAP) -5.16%
MNC (EQUAL) -3.03% FIN SERVICE (CAP) -5.16%
REALTY (EQUAL) -4.19% MIDCAP LIQUID 15 (CAP) -5.41%
SERV SECTOR (EQUAL) -4.50% SERV SECTOR (CAP) -5.43%
CPSE (EQUAL) -4.51% BANK (CAP) -5.83%
MIDCAP LIQUID 15 (EQUAL) -4.80% REALTY (CAP) -6.50%
FIN SERVICE (EQUAL) -4.93% IT (CAP) -6.88%
GROWSECT 15 (EQUAL) -5.63% CPSE (CAP) -6.96%
IT (EQUAL) -5.79% GROWSECT 15 (CAP) -7.03%
PHARMA (EQUAL) -7.30% PSU BANK (CAP) -7.93%
BANK (EQUAL) -8.55% INFRA (CAP) -8.28%
PSU BANK (EQUAL) -8.75% PHARMA (CAP) -12.16%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
11.21
2015-Jan-27
NIFTY BANK LONG
19.27
2015-Jan-27
NIFTY COMMODITIES SHORT
36.24
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.41
2015-Aug-05
NIFTY ENERGY LONG
31.09
2008-Jan-14
NIFTY FIN SERVICE SHORT
16.66
2015-Jan-28
NIFTY FMCG SHORT
11.13
2015-Feb-25
NIFTY INFRA SHORT
57.24
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
15.34
2008-Jan-04
NIFTY METAL LONG
67.73
2008-Jan-04
NIFTY MNC LONG
10.02
2015-Aug-10
NIFTY PHARMA LONG
15.67
2015-Apr-08
NIFTY PSE LONG
35.76
2008-Jan-04
NIFTY PSU BANK LONG
45.99
2010-Nov-05
NIFTY REALTY LONG
91.07
2008-Jan-14
NIFTY SERV SECTOR SHORT
14.23
2015-Mar-03
Auto and Pharma – the darlings of days past.