Index Update 06.02.2016

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 2016-02-05 png

index momentum best 50 2016-02-05 png

index momentum worst 365 2016-02-05 png

index momentum worst 50 2016-02-05 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-05 png

Refactored Index Performance

50-day performance, from November 26, 2015 through February 05, 2016:

Equally Weighted Market Cap. Weighted
GROWSECT 15 (EQUAL) -1.76% IT (CAP) +4.77%
MEDIA (EQUAL) -3.49% GROWSECT 15 (CAP) +1.72%
QUALITY 30 (EQUAL) -3.92% PHARMA (CAP) +0.93%
COMMODITIES (EQUAL) -5.06% QUALITY 30 (CAP) -0.90%
PHARMA (EQUAL) -5.24% MEDIA (CAP) -1.60%
IT (EQUAL) -5.28% ENERGY (CAP) -3.10%
ENERGY (EQUAL) -5.31% COMMODITIES (CAP) -3.87%
CONSUMPTION (EQUAL) -5.73% METAL (CAP) -4.07%
FMCG (EQUAL) -6.37% FMCG (CAP) -4.58%
MNC (EQUAL) -7.03% SERV SECTOR (CAP) -4.98%
PSE (EQUAL) -8.15% VALUE 20 (CAP) -5.74%
AUTO (EQUAL) -8.21% CONSUMPTION (CAP) -6.24%
SERV SECTOR (EQUAL) -8.85% PSE (CAP) -6.44%
VALUE 20 (EQUAL) -8.93% CPSE (CAP) -7.54%
CPSE (EQUAL) -10.21% MNC (CAP) -8.08%
LIQ 15 (EQUAL) -11.32% FIN SERVICE (CAP) -9.78%
METAL (EQUAL) -11.54% BANK (CAP) -11.25%
FIN SERVICE (EQUAL) -12.06% AUTO (CAP) -11.28%
REALTY (EQUAL) -13.83% INFRA (CAP) -12.62%
INFRA (EQUAL) -14.25% REALTY (CAP) -13.67%
BANK (EQUAL) -15.02% LIQ 15 (CAP) -14.19%
MIDCAP LIQUID 15 (EQUAL) -15.65% MIDCAP LIQUID 15 (CAP) -14.26%
PSU BANK (EQUAL) -26.74% PSU BANK (CAP) -29.21%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
17.62
2015-Jan-27
NIFTY BANK SHORT
26.24
2015-Jan-27
NIFTY COMMODITIES SHORT
38.78
2008-Jan-04
NIFTY CONSUMPTION SHORT
10.38
2015-Aug-05
NIFTY ENERGY LONG
32.92
2008-Jan-14
NIFTY FIN SERVICE SHORT
22.73
2015-Jan-28
NIFTY FMCG LONG
12.69
2015-Feb-25
NIFTY INFRA SHORT
61.52
2008-Jan-09
NIFTY IT LONG
88.24
2000-Feb-21
NIFTY MEDIA SHORT
18.97
2008-Jan-04
NIFTY METAL SHORT
70.09
2008-Jan-04
NIFTY MNC SHORT
18.01
2015-Aug-10
NIFTY PHARMA SHORT
15.75
2015-Apr-08
NIFTY PSE SHORT
38.71
2008-Jan-04
NIFTY PSU BANK LONG
59.05
2010-Nov-05
NIFTY REALTY SHORT
92.16
2008-Jan-14
NIFTY SERV SECTOR SHORT
17.71
2015-Mar-03
The only bright spot was FMCG – probably aided by a flight to safety. It is brutal out there…