Index Update 11.07.2015

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 2015-07-10 png

index momentum best 50 2015-07-10 png

index momentum worst 365 2015-07-10 png

index momentum worst 50 2015-07-10 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-10 png

Refactored Index Performance

50-day performance, from May 04, 2015 through July 10, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.53% CNX PHARMA (CAP) +8.18%
CNX FMCG (EQUAL) +5.71% CNX MEDIA (CAP) +4.86%
CNX CONSUMPTION (EQUAL) +4.31% CNX INFRA (CAP) +3.67%
CNX MEDIA (EQUAL) +2.51% CNX CONSUMPTION (CAP) +2.44%
CPSE INDEX (EQUAL) +2.38% CNX FINANCE (CAP) +2.43%
CNX MNC (EQUAL) +1.85% CNX ENERGY (CAP) +1.34%
CNX AUTO (EQUAL) +1.67% CNX MNC (CAP) +1.33%
NSE QUALITY 30 (EQUAL) +1.49% CNX BANK (CAP) +1.05%
NI15 (EQUAL) +1.42% CNX SERVICE (CAP) -0.13%
CNX FINANCE (EQUAL) +1.07% CNX FMCG (CAP) -0.17%
CNX PSE (EQUAL) -0.94% NV20 (CAP) -0.58%
CNX IT (EQUAL) -1.44% NI15 (CAP) -0.77%
NV20 (EQUAL) -1.46% CNX COMMODITIES (CAP) -0.82%
CNX SERVICE (EQUAL) -2.45% CPSE INDEX (CAP) -1.10%
CNX BANK (EQUAL) -3.36% CNX PSE (CAP) -1.17%
CNX INFRA (EQUAL) -3.80% CNX AUTO (CAP) -1.40%
CNX ENERGY (EQUAL) -4.42% NSE QUALITY 30 (CAP) -1.48%
CNX COMMODITIES (EQUAL) -4.94% CNX IT (CAP) -3.93%
LIX 15 (EQUAL) -9.36% CNX PSU BANK (CAP) -5.67%
CNX PSU BANK (EQUAL) -10.36% LIX 15 (CAP) -8.07%
CNX REALTY (EQUAL) -12.10% CNX METAL (CAP) -12.71%
CNX METAL (EQUAL) -12.32% LIX15 Midcap (CAP) -14.15%
LIX15 Midcap (EQUAL) -14.25% CNX REALTY (CAP) -14.91%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
9.51
2015-Jan-27
CNX BANK LONG
8.93
2015-Jan-27
CNX COMMODITIES SHORT
28.96
2008-Jan-04
CNX CONSUMPTION LONG
2.44
2015-Apr-13
CNX ENERGY SHORT
27.21
2008-Jan-14
CNX FMCG SHORT
10.80
2015-Feb-25
CNX INFRA LONG
46.72
2008-Jan-09
CNX IT SHORT
88.69
2000-Feb-21
CNX MEDIA LONG
24.79
2008-Jan-04
CNX METAL LONG
60.32
2008-Jan-04
CNX MNC LONG
3.13
2015-Mar-12
CNX NIFTY LONG
7.07
2015-Mar-03
CNX PHARMA LONG
9.35
2015-Apr-08
CNX PSE LONG
25.36
2008-Jan-04
CNX PSU BANK LONG
37.25
2010-Nov-05
CNX REALTY SHORT
90.44
2008-Jan-14
CNX SERVICE LONG
8.97
2015-Mar-03
Finance and FMCG showed an uptick in momentum. However, the word of the week is “listless.” Expect most trend followers to lose discipline right about now…