Author: stockviz

Index Update 25.09.2015

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 2015-09-24 png

index momentum best 50 2015-09-24 png

index momentum worst 365 2015-09-24 png

index momentum worst 50 2015-09-24 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-24 png

Refactored Index Performance

50-day performance, from July 16, 2015 through September 24, 2015:

Equally Weighted Market Cap. Weighted
CNX IT (EQUAL) +4.79% CNX IT (CAP) +8.39%
CNX MEDIA (EQUAL) +0.20% CNX MEDIA (CAP) +2.56%
CNX PHARMA (EQUAL) -1.08% NI15 (CAP) +0.31%
NI15 (EQUAL) -3.70% NSE QUALITY 30 (CAP) -1.57%
NSE QUALITY 30 (EQUAL) -3.91% CNX PHARMA (CAP) -1.79%
CNX AUTO (EQUAL) -4.97% CNX FMCG (CAP) -4.66%
CNX CONSUMPTION (EQUAL) -6.46% CNX CONSUMPTION (CAP) -5.66%
CNX REALTY (EQUAL) -6.47% CNX SERVICE (CAP) -6.14%
CNX SERVICE (EQUAL) -7.61% CNX REALTY (CAP) -6.43%
CNX PSU BANK (EQUAL) -7.70% CNX PSU BANK (CAP) -7.94%
CNX MNC (EQUAL) -7.95% LIX15 Midcap (CAP) -8.01%
CNX FMCG (EQUAL) -8.12% CNX MNC (CAP) -8.09%
LIX15 Midcap (EQUAL) -8.79% NV20 (CAP) -8.39%
CNX BANK (EQUAL) -9.12% CNX AUTO (CAP) -8.44%
CNX FINANCE (EQUAL) -9.33% CNX BANK (CAP) -10.41%
NV20 (EQUAL) -10.67% CNX FINANCE (CAP) -11.37%
LIX 15 (EQUAL) -12.24% LIX 15 (CAP) -13.94%
CNX ENERGY (EQUAL) -13.11% CNX ENERGY (CAP) -16.07%
CNX COMMODITIES (EQUAL) -13.49% CNX COMMODITIES (CAP) -16.57%
CNX INFRA (EQUAL) -13.76% CNX PSE (CAP) -17.40%
CNX PSE (EQUAL) -14.46% CNX INFRA (CAP) -18.04%
CPSE INDEX (EQUAL) -15.85% CPSE INDEX (CAP) -20.57%
CNX METAL (EQUAL) -19.03% CNX METAL (CAP) -24.00%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
15.15
2015-Jan-27
CNX BANK LONG
16.34
2015-Jan-27
CNX COMMODITIES SHORT
38.78
2008-Jan-04
CNX CONSUMPTION SHORT
9.43
2015-Aug-05
CNX ENERGY SHORT
37.64
2008-Jan-14
CNX FMCG LONG
12.60
2015-Feb-25
CNX INFRA SHORT
55.65
2008-Jan-09
CNX IT LONG
87.48
2000-Feb-21
CNX MEDIA SHORT
18.71
2008-Jan-04
CNX METAL SHORT
69.33
2008-Jan-04
CNX MNC SHORT
10.28
2015-Aug-10
CNX NIFTY SHORT
12.54
2015-Mar-03
CNX PHARMA LONG
7.26
2015-Apr-08
CNX PSE SHORT
36.45
2008-Jan-04
CNX PSU BANK LONG
41.91
2010-Nov-05
CNX REALTY LONG
90.96
2008-Jan-14
CNX SERVICE LONG
11.70
2015-Mar-03
Relative strength spread continues to be in negative momentum territory. Contrarians can use this moment to load up on momentum strategies and ride the bounce…
Categories Tags , ,

Correlation Update 25.09.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Categories Tags ,

Index Update 19.09.2015

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 2015-09-18 png

index momentum best 50 2015-09-18 png

index momentum worst 365 2015-09-18 png

index momentum worst 50 2015-09-18 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-18 png

Refactored Index Performance

50-day performance, from July 10, 2015 through September 18, 2015:

Equally Weighted Market Cap. Weighted
CNX MEDIA (EQUAL) +4.36% CNX IT (CAP) +10.26%
CNX IT (EQUAL) +3.67% CNX MEDIA (CAP) +7.19%
CNX PHARMA (EQUAL) +1.13% NI15 (CAP) +3.25%
NI15 (EQUAL) -0.07% NSE QUALITY 30 (CAP) +1.84%
NSE QUALITY 30 (EQUAL) -0.29% CNX PHARMA (CAP) +1.72%
CNX AUTO (EQUAL) -1.17% CNX FMCG (CAP) -1.96%
CNX CONSUMPTION (EQUAL) -3.57% CNX SERVICE (CAP) -2.30%
CNX SERVICE (EQUAL) -3.59% CNX CONSUMPTION (CAP) -2.49%
CNX REALTY (EQUAL) -4.07% CNX MNC (CAP) -4.25%
CNX MNC (EQUAL) -4.42% NV20 (CAP) -4.65%
CNX FMCG (EQUAL) -4.56% CNX AUTO (CAP) -4.75%
LIX15 Midcap (EQUAL) -5.98% LIX15 Midcap (CAP) -4.75%
CNX BANK (EQUAL) -6.21% CNX REALTY (CAP) -4.95%
LIX 15 (EQUAL) -6.50% CNX PSU BANK (CAP) -6.83%
CNX FINANCE (EQUAL) -6.77% CNX BANK (CAP) -7.11%
NV20 (EQUAL) -6.83% CNX FINANCE (CAP) -7.44%
CNX PSU BANK (EQUAL) -8.74% LIX 15 (CAP) -9.25%
CNX COMMODITIES (EQUAL) -9.06% CNX ENERGY (CAP) -10.50%
CNX ENERGY (EQUAL) -9.65% CNX COMMODITIES (CAP) -10.85%
CNX INFRA (EQUAL) -10.71% CNX PSE (CAP) -12.33%
CNX PSE (EQUAL) -11.16% CNX INFRA (CAP) -12.99%
CPSE INDEX (EQUAL) -12.55% CPSE INDEX (CAP) -15.78%
CNX METAL (EQUAL) -16.83% CNX METAL (CAP) -17.96%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.81
2015-Jan-27
CNX BANK LONG
15.31
2015-Jan-27
CNX COMMODITIES SHORT
36.65
2008-Jan-04
CNX CONSUMPTION LONG
8.85
2015-Aug-05
CNX ENERGY LONG
35.02
2008-Jan-14
CNX FMCG SHORT
12.55
2015-Feb-25
CNX INFRA LONG
53.46
2008-Jan-09
CNX IT LONG
87.72
2000-Feb-21
CNX MEDIA LONG
19.39
2008-Jan-04
CNX METAL SHORT
67.43
2008-Jan-04
CNX MNC LONG
9.58
2015-Aug-10
CNX NIFTY LONG
11.28
2015-Mar-03
CNX PHARMA SHORT
7.81
2015-Apr-08
CNX PSE SHORT
34.70
2008-Jan-04
CNX PSU BANK LONG
41.45
2010-Nov-05
CNX REALTY LONG
90.89
2008-Jan-14
CNX SERVICE LONG
10.94
2015-Mar-03
Momentum continued to be a train-wreck this week. All indices saw major drawdowns…
Categories Tags , ,

Correlation Update 19.09.2015

Nifty one year daily return correlations

Nifty one year daily return correlations

Nifty one month daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Bank Nifty one month daily return correlations

Midcap one year daily return correlations

Midcap one year daily return correlations

Midcap one month daily return correlations

Midcap one month daily return correlations

A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.

Categories Tags ,

Index Update 12.09.2015

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 2015-09-11 png

index momentum best 50 2015-09-11 png

index momentum worst 365 2015-09-11 png

index momentum worst 50 2015-09-11 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-11 png

Refactored Index Performance

50-day performance, from July 06, 2015 through September 11, 2015:

Equally Weighted Market Cap. Weighted
CNX MEDIA (EQUAL) +0.31% CNX IT (CAP) +3.65%
CNX PHARMA (EQUAL) -0.74% CNX MEDIA (CAP) +2.08%
CNX IT (EQUAL) -2.63% CNX PHARMA (CAP) -0.97%
NSE QUALITY 30 (EQUAL) -3.03% NI15 (CAP) -1.53%
CNX AUTO (EQUAL) -3.24% NSE QUALITY 30 (CAP) -2.28%
NI15 (EQUAL) -4.12% CNX FMCG (CAP) -4.74%
CNX CONSUMPTION (EQUAL) -5.60% CNX CONSUMPTION (CAP) -5.80%
CNX FMCG (EQUAL) -5.93% CNX MNC (CAP) -6.70%
CNX MNC (EQUAL) -6.06% LIX15 Midcap (CAP) -6.82%
CNX SERVICE (EQUAL) -8.67% CNX SERVICE (CAP) -7.54%
LIX15 Midcap (EQUAL) -8.89% CNX AUTO (CAP) -7.79%
CNX REALTY (EQUAL) -9.51% NV20 (CAP) -9.83%
CNX FINANCE (EQUAL) -9.61% CNX REALTY (CAP) -10.07%
LIX 15 (EQUAL) -11.38% CNX PSU BANK (CAP) -11.02%
NV20 (EQUAL) -11.55% CNX FINANCE (CAP) -11.59%
CNX BANK (EQUAL) -11.87% CNX BANK (CAP) -11.86%
CNX COMMODITIES (EQUAL) -12.41% CNX INFRA (CAP) -13.45%
CNX PSU BANK (EQUAL) -12.52% LIX 15 (CAP) -14.57%
CNX INFRA (EQUAL) -13.70% CNX COMMODITIES (CAP) -14.96%
CNX PSE (EQUAL) -14.50% CNX PSE (CAP) -16.53%
CPSE INDEX (EQUAL) -15.20% CNX ENERGY (CAP) -16.60%
CNX ENERGY (EQUAL) -15.97% CPSE INDEX (CAP) -19.61%
CNX METAL (EQUAL) -17.56% CNX METAL (CAP) -21.67%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.65
2015-Jan-27
CNX BANK LONG
19.18
2015-Jan-27
CNX COMMODITIES SHORT
37.69
2008-Jan-04
CNX CONSUMPTION LONG
9.96
2015-Aug-05
CNX ENERGY LONG
37.47
2008-Jan-14
CNX FMCG LONG
12.93
2015-Feb-25
CNX INFRA LONG
53.86
2008-Jan-09
CNX IT SHORT
88.03
2000-Feb-21
CNX MEDIA SHORT
20.45
2008-Jan-04
CNX METAL SHORT
67.83
2008-Jan-04
CNX MNC LONG
10.38
2015-Aug-10
CNX NIFTY SHORT
13.42
2015-Mar-03
CNX PHARMA SHORT
10.77
2015-Apr-08
CNX PSE LONG
36.23
2008-Jan-04
CNX PSU BANK LONG
44.30
2010-Nov-05
CNX REALTY SHORT
91.21
2008-Jan-14
CNX SERVICE LONG
13.95
2015-Mar-03
Has the momentum crash run its course? Seems like the pendulum has swung too far out…
Categories Tags , ,