Index Update 16.01.2016

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 2016-01-15 png

index momentum best 50 2016-01-15 png

index momentum worst 365 2016-01-15 png

index momentum worst 50 2016-01-15 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-01-15 png

Refactored Index Performance

50-day performance, from November 03, 2015 through January 15, 2016:

Equally Weighted Market Cap. Weighted
MEDIA (EQUAL) +1.60% ENERGY (CAP) +4.06%
ENERGY (EQUAL) +0.39% MEDIA (CAP) -0.99%
CONSUMPTION (EQUAL) -2.87% COMMODITIES (CAP) -1.28%
COMMODITIES (EQUAL) -4.49% IT (CAP) -4.54%
PSE (EQUAL) -4.61% CONSUMPTION (CAP) -4.66%
IT (EQUAL) -4.72% PSE (CAP) -4.91%
CPSE (EQUAL) -6.20% FMCG (CAP) -5.61%
QUALITY 30 (EQUAL) -6.21% QUALITY 30 (CAP) -6.33%
FMCG (EQUAL) -6.30% METAL (CAP) -6.64%
AUTO (EQUAL) -6.88% GROWSECT 15 (CAP) -6.65%
INFRA (EQUAL) -7.91% AUTO (CAP) -6.87%
GROWSECT 15 (EQUAL) -7.97% CPSE (CAP) -7.24%
VALUE 20 (EQUAL) -8.67% VALUE 20 (CAP) -7.28%
METAL (EQUAL) -9.06% MNC (CAP) -8.10%
SERV SECTOR (EQUAL) -9.23% SERV SECTOR (CAP) -8.49%
MNC (EQUAL) -9.81% MIDCAP LIQUID 15 (CAP) -9.19%
MIDCAP LIQUID 15 (EQUAL) -11.01% FIN SERVICE (CAP) -11.37%
LIQ 15 (EQUAL) -12.22% BANK (CAP) -12.46%
REALTY (EQUAL) -12.81% INFRA (CAP) -12.63%
PHARMA (EQUAL) -12.84% REALTY (CAP) -12.74%
FIN SERVICE (EQUAL) -13.49% PHARMA (CAP) -13.74%
BANK (EQUAL) -16.67% LIQ 15 (CAP) -14.14%
PSU BANK (EQUAL) -25.89% PSU BANK (CAP) -23.64%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
17.09
2015-Jan-27
NIFTY BANK LONG
26.02
2015-Jan-27
NIFTY COMMODITIES SHORT
37.60
2008-Jan-04
NIFTY CONSUMPTION LONG
10.19
2015-Aug-05
NIFTY ENERGY SHORT
28.34
2008-Jan-14
NIFTY FIN SERVICE LONG
22.84
2015-Jan-28
NIFTY FMCG LONG
14.35
2015-Feb-25
NIFTY INFRA LONG
60.96
2008-Jan-09
NIFTY IT SHORT
88.49
2000-Feb-21
NIFTY MEDIA LONG
18.33
2008-Jan-04
NIFTY METAL LONG
70.43
2008-Jan-04
NIFTY MNC LONG
15.76
2015-Aug-10
NIFTY PHARMA LONG
18.59
2015-Apr-08
NIFTY PSE SHORT
36.99
2008-Jan-04
NIFTY PSU BANK LONG
56.98
2010-Nov-05
NIFTY REALTY LONG
91.74
2008-Jan-14
NIFTY SERV SECTOR LONG
18.49
2015-Mar-03
Pretty much every sub-index has a negative 50-day return…