Index Update 16.05.2015

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 2015-05-15 png

index momentum best 50 2015-05-15 png

index momentum worst 365 2015-05-15 png

index momentum worst 50 2015-05-15 png

Refactored Index Performance

50-day performance, from March 02, 2015 through May 15, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +2.48% CNX CONSUMPTION (CAP) -1.65%
CNX MNC (EQUAL) -1.05% CNX AUTO (CAP) -3.03%
CNX CONSUMPTION (EQUAL) -1.17% CNX FMCG (CAP) -3.22%
NI15 (EQUAL) -3.04% CNX PHARMA (CAP) -3.66%
CNX AUTO (EQUAL) -3.47% CNX MNC (CAP) -4.11%
CNX MEDIA (EQUAL) -6.28% CPSE INDEX (CAP) -4.28%
CPSE INDEX (EQUAL) -6.60% CNX ENERGY (CAP) -4.36%
CNX INFRA (EQUAL) -7.32% CNX COMMODITIES (CAP) -5.60%
CNX PHARMA (EQUAL) -7.44% NI15 (CAP) -5.95%
CNX PSE (EQUAL) -7.49% LIX15 Midcap (CAP) -6.08%
NV20 (EQUAL) -7.55% CNX METAL (CAP) -6.69%
LIX15 Midcap (EQUAL) -8.18% CNX PSE (CAP) -7.01%
CNX COMMODITIES (EQUAL) -8.38% CNX PSU BANK (CAP) -7.08%
CNX ENERGY (EQUAL) -8.86% NV20 (CAP) -7.67%
CNX PSU BANK (EQUAL) -8.87% CNX INFRA (CAP) -7.67%
CNX BANK (EQUAL) -9.34% LIX 15 (CAP) -8.92%
CNX SERVICE (EQUAL) -9.86% CNX BANK (CAP) -9.13%
LIX 15 (EQUAL) -10.57% CNX SERVICE (CAP) -9.42%
CNX FINANCE (EQUAL) -10.84% CNX FINANCE (CAP) -9.51%
CNX METAL (EQUAL) -11.02% CNX MEDIA (CAP) -9.79%
CNX IT (EQUAL) -12.03% CNX IT (CAP) -11.63%
CNX REALTY (EQUAL) -16.15% CNX REALTY (CAP) -16.09%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.15
2015-Jan-27
CNX BANK SHORT
11.54
2015-Jan-27
CNX ENERGY SHORT
30.63
2008-Jan-14
CNX FMCG SHORT
10.31
2015-Feb-25
CNX INFRA SHORT
50.32
2008-Jan-09
CNX IT SHORT
88.30
2000-Feb-21
CNX MEDIA SHORT
31.75
2008-Jan-04
CNX METAL SHORT
55.90
2008-Jan-04
CNX MNC SHORT
5.04
2015-Mar-12
CNX NIFTY SHORT
8.16
2015-Mar-03
CNX PHARMA SHORT
11.11
2015-Apr-08
CNX PSE SHORT
27.10
2008-Jan-04
CNX REALTY SHORT
89.34
2008-Jan-14
It looks like Autos and Pharma may be green-shooting. A rate cut would help autos and rupee depreciation can act as a tailwind for pharma.