Author: stockviz

Index Update 07.11.2015

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 2015-11-06 png

index momentum best 50 2015-11-06 png

index momentum worst 365 2015-11-06 png

index momentum worst 50 2015-11-06 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-11-06 png

Refactored Index Performance

50-day performance, from August 25, 2015 through November 06, 2015:

Equally Weighted Market Cap. Weighted
CNX ENERGY (EQUAL) +11.14% CNX ENERGY (CAP) +10.20%
CNX INFRA (EQUAL) +9.42% CNX REALTY (CAP) +9.27%
CNX REALTY (EQUAL) +9.40% CNX MEDIA (CAP) +6.32%
CNX COMMODITIES (EQUAL) +4.72% CNX COMMODITIES (CAP) +5.83%
CNX FINANCE (EQUAL) +4.56% CNX CONSUMPTION (CAP) +3.16%
CNX CONSUMPTION (EQUAL) +4.49% CNX AUTO (CAP) +2.93%
CNX PSE (EQUAL) +3.65% CPSE INDEX (CAP) +2.67%
CNX SERVICE (EQUAL) +3.08% CNX FMCG (CAP) +1.94%
CPSE INDEX (EQUAL) +3.03% CNX PSE (CAP) +1.91%
LIX 15 (EQUAL) +1.90% CNX IT (CAP) +1.69%
CNX MEDIA (EQUAL) +1.72% CNX SERVICE (CAP) +1.38%
LIX15 Midcap (EQUAL) +0.89% CNX FINANCE (CAP) +1.09%
CNX FMCG (EQUAL) +0.72% NSE QUALITY 30 (CAP) +1.01%
CNX IT (EQUAL) +0.54% NV20 (CAP) +0.73%
NV20 (EQUAL) +0.10% LIX 15 (CAP) +0.65%
CNX PSU BANK (EQUAL) -0.02% NI15 (CAP) +0.10%
CNX METAL (EQUAL) -0.40% CNX METAL (CAP) -0.41%
NSE QUALITY 30 (EQUAL) -0.40% CNX BANK (CAP) -0.72%
NI15 (EQUAL) -0.45% LIX15 Midcap (CAP) -0.94%
CNX PHARMA (EQUAL) -0.85% CNX MNC (CAP) -1.02%
CNX MNC (EQUAL) -1.31% CNX PSU BANK (CAP) -3.97%
CNX AUTO (EQUAL) -2.26% CNX INFRA (CAP) -4.26%
CNX BANK (EQUAL) -2.58% CNX PHARMA (CAP) -4.32%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.50
2015-Jan-27
CNX BANK LONG
16.88
2015-Jan-27
CNX COMMODITIES SHORT
35.50
2008-Jan-04
CNX CONSUMPTION SHORT
6.49
2015-Aug-05
CNX ENERGY SHORT
32.00
2008-Jan-14
CNX FMCG LONG
9.17
2015-Feb-25
CNX INFRA LONG
55.66
2008-Jan-09
CNX IT SHORT
87.97
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
68.69
2008-Jan-04
CNX MNC SHORT
9.63
2015-Aug-10
CNX NIFTY LONG
11.58
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
34.06
2008-Jan-04
CNX PSU BANK LONG
42.26
2010-Nov-05
CNX REALTY LONG
90.82
2008-Jan-14
CNX SERVICE LONG
12.09
2015-Mar-03
The DRL fiasco dinged the last samurai. Will FMCG lead from hear on out?
Categories Tags , ,

Theme: Velocity Update 02.11.2015

We rebalanced the Velocity (absolute momentum) Theme today. Here is how the previous portfolio performed.

Details

held since returns (%)
TATAELXSI
2015-Sep-04
+2.57
CAPLIPOINT
2015-Sep-04
-14.64
ICIL
2015-Sep-04
-0.71
RAJESHEXPO
2015-Sep-04
+38.69
GAYAPROJ
2015-Sep-04
+69.38
GMBREW
2015-Sep-04
+100.89
JUBILANT
2015-Sep-04
+25.98
JUBLINDS
2015-Sep-04
-13.27
SANGAMIND
2015-Sep-04
+9.25
BLISSGVS
2015-Sep-04
+9.06
RUSHIL
2015-Sep-04
+116.91
MIRZAINT
2015-Sep-04
+27.35
8KMILES
2015-Oct-06
-0.80
WELSPUNIND
2015-Oct-06
-20.21
DISHMAN
2015-Oct-06
-4.98
SRIPIPES
2015-Oct-06
+11.98
CHENNPETRO
2015-Oct-06
-8.09
TAKE
2015-Oct-06
+6.99
NCLIND
2015-Oct-06
+10.46
LYKALABS
2015-Oct-06
+36.62
Since the last rebalance on 2015-Oct-06 till 2015-Oct-30, this strategy has returned +3.22%

You can find more details about the Velocity Theme here.

Categories Tags ,

Theme: Momentum Update 02.11.2015

We rebalanced the Momentum (relative momentum) Theme today. Here is how the previous portfolio performed.

Details

held since returns (%)
KEI
2015-Aug-10
-10.60
TATAELXSI
2015-Sep-07
+3.64
CAPLIPOINT
2015-Sep-07
-15.22
8KMILES
2015-Sep-07
+40.95
RAJESHEXPO
2015-Sep-07
+37.76
GAYAPROJ
2015-Sep-07
+69.07
SANGAMIND
2015-Sep-07
+12.68
BLISSGVS
2015-Sep-07
+8.05
SKMEGGPROD
2015-Sep-07
+33.08
TAKE
2015-Sep-07
+65.22
MIRZAINT
2015-Sep-07
+30.75
CANFINHOME
2015-Oct-06
+3.98
JKIL
2015-Oct-06
-10.38
SHASUNPHAR
2015-Oct-06
+2.80
JUBILANT
2015-Oct-06
+4.84
DISHMAN
2015-Oct-06
-5.30
JUBLINDS
2015-Oct-06
-20.69
TIRUMALCHM
2015-Oct-06
-21.34
HIMATSEIDE
2015-Oct-06
-5.67
NCLIND
2015-Oct-06
+10.65
Since the last rebalance on 2015-Oct-06 till 2015-Oct-30, this strategy has returned -3.15%

You can find more details about the Momentum Theme here.

Categories Tags ,

Index Update 31.10.2015

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 2015-10-30 png

index momentum best 50 2015-10-30 png

index momentum worst 365 2015-10-30 png

index momentum worst 50 2015-10-30 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-30 png

Refactored Index Performance

50-day performance, from August 18, 2015 through October 30, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +1.01% CNX PHARMA (CAP) +1.45%
CNX ENERGY (EQUAL) +0.66% CNX FMCG (CAP) -0.74%
CNX PHARMA (EQUAL) -0.32% CNX ENERGY (CAP) -1.02%
CNX INFRA (EQUAL) -1.10% CNX REALTY (CAP) -1.82%
CNX COMMODITIES (EQUAL) -2.12% NSE QUALITY 30 (CAP) -2.22%
CNX CONSUMPTION (EQUAL) -2.82% CNX MEDIA (CAP) -2.31%
NI15 (EQUAL) -3.17% NI15 (CAP) -2.35%
CNX FINANCE (EQUAL) -4.18% CNX CONSUMPTION (CAP) -2.57%
NSE QUALITY 30 (EQUAL) -4.20% CNX COMMODITIES (CAP) -3.04%
CNX PSE (EQUAL) -4.60% CNX IT (CAP) -5.04%
CNX FMCG (EQUAL) -5.64% CNX FINANCE (CAP) -5.11%
CNX IT (EQUAL) -5.85% CNX SERVICE (CAP) -5.54%
CPSE INDEX (EQUAL) -6.42% CNX AUTO (CAP) -6.50%
CNX SERVICE (EQUAL) -6.45% CNX METAL (CAP) -6.52%
CNX MNC (EQUAL) -7.44% CNX PSE (CAP) -7.06%
CNX METAL (EQUAL) -7.68% NV20 (CAP) -7.19%
LIX 15 (EQUAL) -7.99% CNX MNC (CAP) -7.43%
LIX15 Midcap (EQUAL) -8.32% CNX BANK (CAP) -7.68%
NV20 (EQUAL) -8.44% CPSE INDEX (CAP) -7.70%
CNX MEDIA (EQUAL) -9.15% LIX15 Midcap (CAP) -8.33%
CNX AUTO (EQUAL) -9.60% LIX 15 (CAP) -8.91%
CNX BANK (EQUAL) -14.15% CNX INFRA (CAP) -11.84%
CNX PSU BANK (EQUAL) -17.51% CNX PSU BANK (CAP) -18.66%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
11.07
2015-Jan-27
CNX BANK LONG
15.57
2015-Jan-27
CNX COMMODITIES SHORT
35.27
2008-Jan-04
CNX CONSUMPTION SHORT
6.47
2015-Aug-05
CNX ENERGY SHORT
32.57
2008-Jan-14
CNX FMCG LONG
9.76
2015-Feb-25
CNX INFRA LONG
54.74
2008-Jan-09
CNX IT LONG
87.97
2000-Feb-21
CNX MEDIA LONG
18.27
2008-Jan-04
CNX METAL SHORT
67.13
2008-Jan-04
CNX MNC SHORT
9.13
2015-Aug-10
CNX NIFTY LONG
10.34
2015-Mar-03
CNX PHARMA SHORT
4.78
2015-Apr-08
CNX PSE LONG
34.72
2008-Jan-04
CNX PSU BANK LONG
43.64
2010-Nov-05
CNX REALTY LONG
90.63
2008-Jan-14
CNX SERVICE LONG
10.93
2015-Mar-03
Relative Strength Spread widened out – a good sign for momentum strategies. Metals, infra and energy indices continued to troll the depths. Pharma was the strongest.
Categories Tags , ,

Index Update 17.10.2015

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 2015-10-16 png

index momentum best 50 2015-10-16 png

index momentum worst 365 2015-10-16 png

index momentum worst 50 2015-10-16 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-16 png

Refactored Index Performance

50-day performance, from August 05, 2015 through October 16, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +2.75% CNX PHARMA (CAP) +5.01%
CNX REALTY (EQUAL) +1.57% CNX REALTY (CAP) +0.57%
CNX IT (EQUAL) -2.27% NI15 (CAP) -0.58%
CNX ENERGY (EQUAL) -2.77% CNX MEDIA (CAP) -0.81%
NI15 (EQUAL) -2.84% NSE QUALITY 30 (CAP) -1.25%
NSE QUALITY 30 (EQUAL) -3.24% CNX IT (CAP) -1.61%
CNX MEDIA (EQUAL) -3.27% CNX FMCG (CAP) -3.15%
CNX INFRA (EQUAL) -3.74% CNX CONSUMPTION (CAP) -3.58%
CNX SERVICE (EQUAL) -4.38% CNX SERVICE (CAP) -3.76%
CNX FINANCE (EQUAL) -4.92% CNX FINANCE (CAP) -4.16%
LIX15 Midcap (EQUAL) -5.00% LIX15 Midcap (CAP) -5.06%
CNX CONSUMPTION (EQUAL) -5.13% CNX ENERGY (CAP) -5.38%
CNX COMMODITIES (EQUAL) -5.94% CNX BANK (CAP) -5.47%
LIX 15 (EQUAL) -6.50% CNX AUTO (CAP) -5.94%
NV20 (EQUAL) -6.72% NV20 (CAP) -6.15%
CNX BANK (EQUAL) -6.74% CNX COMMODITIES (CAP) -7.72%
CNX PSE (EQUAL) -7.40% LIX 15 (CAP) -7.98%
CNX AUTO (EQUAL) -7.49% CNX MNC (CAP) -8.60%
CPSE INDEX (EQUAL) -8.32% CNX INFRA (CAP) -9.06%
CNX PSU BANK (EQUAL) -8.45% CNX PSE (CAP) -9.41%
CNX MNC (EQUAL) -8.57% CNX PSU BANK (CAP) -9.89%
CNX FMCG (EQUAL) -8.98% CPSE INDEX (CAP) -10.29%
CNX METAL (EQUAL) -10.22% CNX METAL (CAP) -13.97%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
9.15
2015-Jan-27
CNX BANK SHORT
12.86
2015-Jan-27
CNX COMMODITIES LONG
34.08
2008-Jan-04
CNX CONSUMPTION SHORT
5.14
2015-Aug-05
CNX ENERGY LONG
32.46
2008-Jan-14
CNX FMCG SHORT
8.34
2015-Feb-25
CNX INFRA LONG
51.93
2008-Jan-09
CNX IT LONG
88.13
2000-Feb-21
CNX MEDIA LONG
15.16
2008-Jan-04
CNX METAL LONG
65.79
2008-Jan-04
CNX MNC SHORT
9.23
2015-Aug-10
CNX NIFTY SHORT
8.43
2015-Mar-03
CNX PHARMA SHORT
4.54
2015-Apr-08
CNX PSE LONG
32.11
2008-Jan-04
CNX PSU BANK SHORT
39.36
2010-Nov-05
CNX REALTY SHORT
90.28
2008-Jan-14
CNX SERVICE SHORT
9.35
2015-Mar-03
A retracement is underway for most indices. CNX 100 broke about its 50-day SMA, activating the Tactical CNX 100 Theme. With most companies yet to announce their results, curb your enthusiasm.
Categories Tags , ,