Author: stockviz

Correlation Update 04.07.2015

stockviz July 4, 2015July 4, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year 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 Your Money Tags correlation, weekly

Index Update 27.06.2015

stockviz June 27, 2015June 27, 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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from April 17, 2015 through June 26, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+13.06%	CNX MNC (CAP)	+2.67%
CNX MNC (EQUAL)	+6.58%	CNX MEDIA (CAP)	+1.11%
CPSE INDEX (EQUAL)	+0.66%	CNX BANK (CAP)	+0.14%
CNX MEDIA (EQUAL)	-0.63%	CNX PHARMA (CAP)	+0.13%
CNX CONSUMPTION (EQUAL)	-1.62%	CNX ENERGY (CAP)	+0.08%
CNX FMCG (EQUAL)	-2.02%	NV20 (CAP)	-0.47%
NV20 (EQUAL)	-2.08%	CNX FINANCE (CAP)	-0.49%
CNX AUTO (EQUAL)	-2.14%	CPSE INDEX (CAP)	-0.94%
CNX PSE (EQUAL)	-2.89%	CNX AUTO (CAP)	-1.64%
NSE QUALITY 30 (EQUAL)	-2.92%	CNX COMMODITIES (CAP)	-1.76%
NI15 (EQUAL)	-3.08%	CNX SERVICE (CAP)	-2.14%
CNX FINANCE (EQUAL)	-3.19%	CNX CONSUMPTION (CAP)	-2.22%
CNX IT (EQUAL)	-3.98%	CNX PSE (CAP)	-2.24%
CNX ENERGY (EQUAL)	-4.86%	CNX INFRA (CAP)	-2.65%
CNX COMMODITIES (EQUAL)	-5.50%	CNX IT (CAP)	-3.71%
CNX BANK (EQUAL)	-5.56%	NI15 (CAP)	-4.59%
CNX SERVICE (EQUAL)	-5.74%	NSE QUALITY 30 (CAP)	-4.97%
CNX INFRA (EQUAL)	-7.64%	CNX FMCG (CAP)	-7.42%
LIX 15 (EQUAL)	-9.59%	LIX 15 (CAP)	-7.72%
CNX METAL (EQUAL)	-14.72%	CNX METAL (CAP)	-10.14%
CNX REALTY (EQUAL)	-15.30%	CNX PSU BANK (CAP)	-12.60%
CNX PSU BANK (EQUAL)	-17.19%	LIX15 Midcap (CAP)	-16.52%
LIX15 Midcap (EQUAL)	-17.66%	CNX REALTY (CAP)	-17.55%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	LONG	7.17	2015-Jan-27
CNX BANK	LONG	10.62	2015-Jan-27
CNX ENERGY	LONG	25.82	2008-Jan-14
CNX FMCG	LONG	11.66	2015-Feb-25
CNX INFRA	LONG	47.92	2008-Jan-09
CNX IT	LONG	88.10	2000-Feb-21
CNX MEDIA	LONG	24.66	2008-Jan-04
CNX METAL	LONG	58.47	2008-Jan-04
CNX MNC	LONG	3.71	2015-Mar-12
CNX NIFTY	LONG	6.84	2015-Mar-03
CNX PHARMA	LONG	12.76	2015-Apr-08
CNX PSE	LONG	24.69	2008-Jan-04
CNX REALTY	SHORT	90.21	2008-Jan-14

A perk up in momentum metrics: RS-Spread has reverted to mean; bank and financials are showing some green shoots.

Categories Your Money Tags index, momentum, weekly

Correlation Update 27.06.2015

stockviz June 27, 2015June 27, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year 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 Your Money Tags correlation, weekly

Index Update 20.06.2015

stockviz June 20, 2015June 20, 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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from April 09, 2015 through June 19, 2015:

Equally Weighted		Market Cap. Weighted
CNX PHARMA (EQUAL)	+7.13%	CNX ENERGY (CAP)	+2.16%
CNX MNC (EQUAL)	+4.50%	CNX MNC (CAP)	+0.78%
CNX MEDIA (EQUAL)	-1.96%	CPSE INDEX (CAP)	-0.72%
CPSE INDEX (EQUAL)	-2.20%	CNX COMMODITIES (CAP)	-1.77%
CNX FMCG (EQUAL)	-4.01%	CNX PSE (CAP)	-2.74%
CNX CONSUMPTION (EQUAL)	-4.22%	NV20 (CAP)	-3.26%
CNX PSE (EQUAL)	-4.46%	CNX CONSUMPTION (CAP)	-4.18%
NV20 (EQUAL)	-4.52%	CNX MEDIA (CAP)	-4.37%
CNX ENERGY (EQUAL)	-5.32%	CNX INFRA (CAP)	-4.53%
CNX AUTO (EQUAL)	-6.21%	CNX BANK (CAP)	-5.27%
NSE QUALITY 30 (EQUAL)	-7.12%	CNX FINANCE (CAP)	-5.59%
CNX COMMODITIES (EQUAL)	-7.33%	CNX SERVICE (CAP)	-6.43%
CNX FINANCE (EQUAL)	-8.10%	CNX AUTO (CAP)	-6.43%
CNX BANK (EQUAL)	-8.65%	CNX PHARMA (CAP)	-7.77%
NI15 (EQUAL)	-8.71%	CNX FMCG (CAP)	-8.29%
CNX SERVICE (EQUAL)	-8.86%	CNX IT (CAP)	-8.53%
CNX INFRA (EQUAL)	-10.17%	NI15 (CAP)	-9.17%
CNX IT (EQUAL)	-10.37%	NSE QUALITY 30 (CAP)	-9.30%
LIX 15 (EQUAL)	-11.35%	CNX METAL (CAP)	-9.70%
CNX PSU BANK (EQUAL)	-14.33%	CNX PSU BANK (CAP)	-10.74%
CNX METAL (EQUAL)	-14.68%	LIX 15 (CAP)	-10.80%
LIX15 Midcap (EQUAL)	-18.72%	LIX15 Midcap (CAP)	-17.52%
CNX REALTY (EQUAL)	-22.22%	CNX REALTY (CAP)	-25.02%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	LONG	8.73	2015-Jan-27
CNX BANK	SHORT	13.01	2015-Jan-27
CNX ENERGY	LONG	26.08	2008-Jan-14
CNX FMCG	SHORT	13.23	2015-Feb-25
CNX INFRA	SHORT	48.68	2008-Jan-09
CNX IT	SHORT	88.23	2000-Feb-21
CNX MEDIA	LONG	26.66	2008-Jan-04
CNX METAL	SHORT	58.84	2008-Jan-04
CNX MNC	SHORT	5.41	2015-Mar-12
CNX NIFTY	SHORT	8.57	2015-Mar-03
CNX PHARMA	SHORT	14.61	2015-Apr-08
CNX PSE	SHORT	25.47	2008-Jan-04
CNX REALTY	SHORT	90.75	2008-Jan-14

Looks like Banks, FMCG and Pharma are perking up. MNCs and Autos are recovering from their drawdowns as well…

Categories Your Money Tags index, momentum, weekly

Correlation Update 20.06.2015

stockviz June 20, 2015June 20, 2015

Nifty one year daily return correlations

Nifty one month daily return correlations

Bank Nifty one year daily return correlations

Bank Nifty one month daily return correlations

Midcap one year 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 Your Money Tags correlation, weekly