Author: stockviz

Index Update 22.08.2015

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 2015-08-21 png

index momentum best 50 2015-08-21 png

index momentum worst 365 2015-08-21 png

index momentum worst 50 2015-08-21 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-21 png

Refactored Index Performance

50-day performance, from June 15, 2015 through August 21, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.20% CNX PHARMA (CAP) +17.63%
CNX AUTO (EQUAL) +12.64% LIX15 Midcap (CAP) +12.38%
CNX MEDIA (EQUAL) +12.20% CNX PSU BANK (CAP) +11.78%
CNX PSU BANK (EQUAL) +10.34% NI15 (CAP) +11.38%
NI15 (EQUAL) +10.11% CNX MEDIA (CAP) +11.18%
LIX15 Midcap (EQUAL) +10.00% CNX IT (CAP) +10.24%
NSE QUALITY 30 (EQUAL) +9.33% CNX FMCG (CAP) +9.30%
CNX FMCG (EQUAL) +7.79% NSE QUALITY 30 (CAP) +8.72%
CNX MNC (EQUAL) +7.16% CNX CONSUMPTION (CAP) +7.77%
CNX BANK (EQUAL) +6.75% CNX MNC (CAP) +7.40%
CNX CONSUMPTION (EQUAL) +6.16% CNX AUTO (CAP) +4.78%
CNX IT (EQUAL) +5.36% CNX SERVICE (CAP) +3.84%
CNX FINANCE (EQUAL) +4.83% CNX BANK (CAP) +3.37%
CNX SERVICE (EQUAL) +2.75% NV20 (CAP) +3.26%
NV20 (EQUAL) +1.26% CNX FINANCE (CAP) +2.63%
CNX INFRA (EQUAL) -1.93% CNX INFRA (CAP) -1.35%
CNX REALTY (EQUAL) -2.06% CNX COMMODITIES (CAP) -4.46%
LIX 15 (EQUAL) -2.55% LIX 15 (CAP) -4.52%
CNX COMMODITIES (EQUAL) -3.28% CNX REALTY (CAP) -4.78%
CNX PSE (EQUAL) -5.70% CNX ENERGY (CAP) -5.07%
CPSE INDEX (EQUAL) -6.13% CNX PSE (CAP) -7.40%
CNX ENERGY (EQUAL) -6.70% CPSE INDEX (CAP) -11.20%
CNX METAL (EQUAL) -11.62% CNX METAL (CAP) -18.58%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
7.89
2015-Jan-27
CNX BANK LONG
12.15
2015-Jan-27
CNX COMMODITIES LONG
34.50
2008-Jan-04
CNX CONSUMPTION SHORT
3.78
2015-Aug-05
CNX ENERGY LONG
33.41
2008-Jan-14
CNX FMCG SHORT
7.13
2015-Feb-25
CNX INFRA LONG
50.11
2008-Jan-09
CNX IT LONG
87.40
2000-Feb-21
CNX MEDIA LONG
20.08
2008-Jan-04
CNX METAL LONG
66.83
2008-Jan-04
CNX MNC SHORT
3.39
2015-Aug-10
CNX NIFTY SHORT
7.74
2015-Mar-03
CNX PHARMA LONG
2.61
2015-Apr-08
CNX PSE LONG
31.90
2008-Jan-04
CNX PSU BANK SHORT
35.02
2010-Nov-05
CNX REALTY SHORT
91.14
2008-Jan-14
CNX SERVICE SHORT
8.30
2015-Mar-03
The few areas of strength were in CONSUMPTION, MNC and PHARMA. Momentum strategies would have gotten shellacked given the brutal mean reversion in relative strength spread.
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Correlation Update 22.08.2015

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 15.08.2015

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 2015-08-14 png

index momentum best 50 2015-08-14 png

index momentum worst 365 2015-08-14 png

index momentum worst 50 2015-08-14 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-14 png

Refactored Index Performance

50-day performance, from June 08, 2015 through August 14, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +15.18% CNX MEDIA (CAP) +20.42%
CNX MEDIA (EQUAL) +14.87% CNX PHARMA (CAP) +13.39%
CNX AUTO (EQUAL) +13.00% LIX15 Midcap (CAP) +11.97%
NI15 (EQUAL) +10.16% NI15 (CAP) +9.76%
CNX MNC (EQUAL) +9.54% CNX MNC (CAP) +9.29%
LIX15 Midcap (EQUAL) +8.69% CNX IT (CAP) +8.89%
CNX CONSUMPTION (EQUAL) +8.43% CNX CONSUMPTION (CAP) +8.38%
NSE QUALITY 30 (EQUAL) +8.30% CNX PSU BANK (CAP) +8.28%
CNX FMCG (EQUAL) +8.24% CNX FINANCE (CAP) +7.93%
CNX FINANCE (EQUAL) +8.16% CNX AUTO (CAP) +7.92%
CNX PSU BANK (EQUAL) +7.84% CNX BANK (CAP) +7.34%
CNX BANK (EQUAL) +7.22% NSE QUALITY 30 (CAP) +7.17%
CNX IT (EQUAL) +5.44% CNX SERVICE (CAP) +7.10%
CNX SERVICE (EQUAL) +5.18% CNX FMCG (CAP) +6.53%
NV20 (EQUAL) +3.01% NV20 (CAP) +6.33%
CNX INFRA (EQUAL) +1.68% CNX INFRA (CAP) +2.22%
CNX REALTY (EQUAL) +0.47% CNX REALTY (CAP) +1.02%
CPSE INDEX (EQUAL) -1.45% CNX ENERGY (CAP) +0.18%
LIX 15 (EQUAL) -1.55% CNX COMMODITIES (CAP) -1.13%
CNX COMMODITIES (EQUAL) -2.38% LIX 15 (CAP) -1.98%
CNX PSE (EQUAL) -2.47% CNX PSE (CAP) -4.03%
CNX ENERGY (EQUAL) -3.60% CPSE INDEX (CAP) -6.51%
CNX METAL (EQUAL) -13.25% CNX METAL (CAP) -15.93%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.03
2015-Jan-27
CNX BANK SHORT
8.91
2015-Jan-27
CNX COMMODITIES LONG
32.16
2008-Jan-04
CNX CONSUMPTION SHORT
2.11
2015-Aug-05
CNX ENERGY LONG
29.99
2008-Jan-14
CNX FMCG SHORT
8.75
2015-Feb-25
CNX INFRA SHORT
48.15
2008-Jan-09
CNX IT LONG
87.38
2000-Feb-21
CNX MEDIA SHORT
15.03
2008-Jan-04
CNX METAL LONG
65.04
2008-Jan-04
CNX MNC SHORT
1.99
2015-Aug-10
CNX NIFTY SHORT
5.31
2015-Mar-03
CNX PHARMA LONG
5.02
2015-Apr-08
CNX PSE LONG
28.83
2008-Jan-04
CNX PSU BANK SHORT
35.20
2010-Nov-05
CNX REALTY SHORT
90.24
2008-Jan-14
CNX SERVICE SHORT
5.42
2015-Mar-03
Has the relative strength spread started to mean-revert? Watch out for momentum strategy drawdowns…
Categories Tags , ,

Correlation Update 15.08.2015

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 08.08.2015

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 2015-08-07 png

index momentum best 50 2015-08-07 png

index momentum worst 365 2015-08-07 png

index momentum worst 50 2015-08-07 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-07 png

Refactored Index Performance

50-day performance, from June 01, 2015 through August 07, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +22.78% CNX MEDIA (CAP) +18.97%
CNX MEDIA (EQUAL) +16.14% CNX PHARMA (CAP) +11.06%
CNX AUTO (EQUAL) +8.23% CNX MNC (CAP) +5.35%
CNX MNC (EQUAL) +6.50% CNX CONSUMPTION (CAP) +4.62%
CNX FMCG (EQUAL) +6.47% CNX AUTO (CAP) +3.44%
CNX CONSUMPTION (EQUAL) +6.37% NI15 (CAP) +2.57%
NSE QUALITY 30 (EQUAL) +4.31% CNX FINANCE (CAP) +2.42%
NI15 (EQUAL) +3.86% CNX INFRA (CAP) +2.26%
CNX FINANCE (EQUAL) +3.73% CNX FMCG (CAP) +2.20%
CNX SERVICE (EQUAL) +1.47% NSE QUALITY 30 (CAP) +1.92%
CNX INFRA (EQUAL) +0.13% CNX SERVICE (CAP) +1.88%
CNX BANK (EQUAL) -0.47% CNX IT (CAP) +1.75%
NV20 (EQUAL) -0.58% NV20 (CAP) +1.54%
CPSE INDEX (EQUAL) -0.75% CNX BANK (CAP) +1.43%
CNX IT (EQUAL) -0.77% CNX PSU BANK (CAP) +1.21%
CNX PSE (EQUAL) -1.55% CNX ENERGY (CAP) +0.73%
CNX COMMODITIES (EQUAL) -2.33% CNX COMMODITIES (CAP) -0.47%
CNX ENERGY (EQUAL) -2.91% CNX PSE (CAP) -1.57%
LIX 15 (EQUAL) -3.05% LIX 15 (CAP) -4.33%
CNX PSU BANK (EQUAL) -4.21% LIX15 Midcap (CAP) -4.34%
LIX15 Midcap (EQUAL) -5.22% CPSE INDEX (CAP) -4.37%
CNX METAL (EQUAL) -9.11% CNX REALTY (CAP) -10.49%
CNX REALTY (EQUAL) -9.43% CNX METAL (CAP) -11.15%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
3.26
2015-Jan-27
CNX BANK LONG
8.08
2015-Jan-27
CNX COMMODITIES SHORT
28.46
2008-Jan-04
CNX CONSUMPTION LONG
0.52
2015-Aug-05
CNX ENERGY LONG
27.88
2008-Jan-14
CNX FMCG LONG
6.25
2015-Feb-25
CNX INFRA SHORT
47.01
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA LONG
15.34
2008-Jan-04
CNX METAL LONG
61.19
2008-Jan-04
CNX MNC LONG
0.00
2015-Aug-07
CNX NIFTY LONG
4.80
2015-Mar-03
CNX PHARMA LONG
8.60
2015-Apr-08
CNX PSE SHORT
25.11
2008-Jan-04
CNX PSU BANK LONG
33.42
2010-Nov-05
CNX REALTY LONG
90.27
2008-Jan-14
CNX SERVICE SHORT
6.02
2015-Mar-03
A total nightmare for commodity, energy and infrastructure investors. It continues to be a consumption driven market…
Categories Tags , ,