Index Update 30.01.2016

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 2016-01-29 png

index momentum best 50 2016-01-29 png

index momentum worst 365 2016-01-29 png

index momentum worst 50 2016-01-29 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-01-29 png

Refactored Index Performance

50-day performance, from November 18, 2015 through January 29, 2016:

Equally Weighted Market Cap. Weighted
ENERGY (EQUAL) +3.83% ENERGY (CAP) +8.25%
MEDIA (EQUAL) +3.69% MEDIA (CAP) +7.69%
COMMODITIES (EQUAL) -0.35% IT (CAP) +6.52%
IT (EQUAL) -1.43% COMMODITIES (CAP) +3.03%
CONSUMPTION (EQUAL) -1.51% GROWSECT 15 (CAP) +1.60%
PSE (EQUAL) -1.85% PHARMA (CAP) +0.40%
GROWSECT 15 (EQUAL) -2.00% QUALITY 30 (CAP) -0.04%
QUALITY 30 (EQUAL) -2.41% VALUE 20 (CAP) -0.29%
CPSE (EQUAL) -3.20% PSE (CAP) -0.63%
SERV SECTOR (EQUAL) -3.85% SERV SECTOR (CAP) -1.63%
VALUE 20 (EQUAL) -3.95% CPSE (CAP) -2.70%
PHARMA (EQUAL) -4.70% METAL (CAP) -3.13%
AUTO (EQUAL) -5.34% CONSUMPTION (CAP) -4.37%
INFRA (EQUAL) -5.48% FIN SERVICE (CAP) -6.21%
FMCG (EQUAL) -6.20% FMCG (CAP) -6.33%
REALTY (EQUAL) -6.74% REALTY (CAP) -6.38%
METAL (EQUAL) -6.81% AUTO (CAP) -7.04%
LIQ 15 (EQUAL) -7.27% MNC (CAP) -7.34%
FIN SERVICE (EQUAL) -8.18% MIDCAP LIQUID 15 (CAP) -7.34%
MNC (EQUAL) -8.21% BANK (CAP) -7.88%
MIDCAP LIQUID 15 (EQUAL) -8.49% INFRA (CAP) -9.87%
BANK (EQUAL) -13.26% LIQ 15 (CAP) -10.92%
PSU BANK (EQUAL) -24.84% PSU BANK (CAP) -25.75%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
16.42
2015-Jan-27
NIFTY BANK SHORT
24.48
2015-Jan-27
NIFTY COMMODITIES LONG
37.22
2008-Jan-04
NIFTY CONSUMPTION SHORT
10.38
2015-Aug-05
NIFTY ENERGY LONG
29.10
2008-Jan-14
NIFTY FIN SERVICE SHORT
21.30
2015-Jan-28
NIFTY FMCG SHORT
14.18
2015-Feb-25
NIFTY INFRA SHORT
61.28
2008-Jan-09
NIFTY IT LONG
88.23
2000-Feb-21
NIFTY MEDIA LONG
16.13
2008-Jan-04
NIFTY METAL LONG
69.81
2008-Jan-04
NIFTY MNC LONG
17.75
2015-Aug-10
NIFTY PHARMA LONG
15.00
2015-Apr-08
NIFTY PSE LONG
36.55
2008-Jan-04
NIFTY PSU BANK SHORT
57.35
2010-Nov-05
NIFTY REALTY LONG
91.83
2008-Jan-14
NIFTY SERV SECTOR SHORT
16.69
2015-Mar-03
Pharma seems to be clawing its way back up the momentum charts…