Author: stockviz

Correlation Update 30.05.2015

stockviz May 30, 2015May 30, 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 23.05.2015

stockviz May 23, 2015May 23, 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:

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+0.18%	CPSE INDEX (CAP)	+0.65%
CNX CONSUMPTION (EQUAL)	-0.18%	CNX ENERGY (CAP)	+0.62%
CNX MNC (EQUAL)	-0.51%	CNX COMMODITIES (CAP)	+0.18%
CPSE INDEX (EQUAL)	-1.30%	LIX15 Midcap (CAP)	-0.22%
CNX AUTO (EQUAL)	-1.93%	CNX CONSUMPTION (CAP)	-0.47%
NI15 (EQUAL)	-2.68%	CNX AUTO (CAP)	-0.77%
CNX PSE (EQUAL)	-2.78%	CNX METAL (CAP)	-1.07%
NV20 (EQUAL)	-2.94%	CNX PSE (CAP)	-2.09%
CNX ENERGY (EQUAL)	-3.00%	NV20 (CAP)	-2.62%
CNX COMMODITIES (EQUAL)	-3.22%	CNX MNC (CAP)	-2.65%
LIX15 Midcap (EQUAL)	-3.32%	CNX INFRA (CAP)	-2.72%
CNX INFRA (EQUAL)	-3.69%	CNX FMCG (CAP)	-2.89%
CNX BANK (EQUAL)	-3.93%	NI15 (CAP)	-3.22%
CNX MEDIA (EQUAL)	-4.54%	LIX 15 (CAP)	-3.28%
CNX SERVICE (EQUAL)	-4.60%	CNX BANK (CAP)	-3.29%
LIX 15 (EQUAL)	-5.32%	CNX SERVICE (CAP)	-3.78%
CNX FINANCE (EQUAL)	-6.11%	CNX FINANCE (CAP)	-3.85%
CNX IT (EQUAL)	-7.33%	CNX PSU BANK (CAP)	-5.10%
CNX PSU BANK (EQUAL)	-7.73%	CNX IT (CAP)	-5.34%
CNX REALTY (EQUAL)	-8.10%	CNX PHARMA (CAP)	-5.88%
CNX METAL (EQUAL)	-8.64%	CNX MEDIA (CAP)	-5.88%
CNX PHARMA (EQUAL)	-9.85%	CNX REALTY (CAP)	-9.30%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	5.69	2015-Jan-27
CNX BANK	SHORT	10.32	2015-Jan-27
CNX ENERGY	SHORT	29.07	2008-Jan-14
CNX FMCG	SHORT	9.54	2015-Feb-25
CNX INFRA	SHORT	49.37	2008-Jan-09
CNX IT	SHORT	87.72	2000-Feb-21
CNX MEDIA	SHORT	29.01	2008-Jan-04
CNX METAL	SHORT	56.14	2008-Jan-04
CNX MNC	SHORT	3.97	2015-Mar-12
CNX NIFTY	SHORT	5.97	2015-Mar-03
CNX PHARMA	SHORT	8.25	2015-Apr-08
CNX PSE	SHORT	26.16	2008-Jan-04
CNX REALTY	SHORT	89.23	2008-Jan-14

Pharma and banks seem to be perking up.
And boy-oh-boy! MNCs have more or less covered their draw-down.

Categories Your Money Tags index, momentum, weekly

Correlation Update 23.05.2015

stockviz May 23, 2015May 23, 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 16.05.2015

stockviz May 16, 2015May 16, 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:

Refactored Index Performance

50-day performance, from March 02, 2015 through May 15, 2015:

Equally Weighted		Market Cap. Weighted
CNX FMCG (EQUAL)	+2.48%	CNX CONSUMPTION (CAP)	-1.65%
CNX MNC (EQUAL)	-1.05%	CNX AUTO (CAP)	-3.03%
CNX CONSUMPTION (EQUAL)	-1.17%	CNX FMCG (CAP)	-3.22%
NI15 (EQUAL)	-3.04%	CNX PHARMA (CAP)	-3.66%
CNX AUTO (EQUAL)	-3.47%	CNX MNC (CAP)	-4.11%
CNX MEDIA (EQUAL)	-6.28%	CPSE INDEX (CAP)	-4.28%
CPSE INDEX (EQUAL)	-6.60%	CNX ENERGY (CAP)	-4.36%
CNX INFRA (EQUAL)	-7.32%	CNX COMMODITIES (CAP)	-5.60%
CNX PHARMA (EQUAL)	-7.44%	NI15 (CAP)	-5.95%
CNX PSE (EQUAL)	-7.49%	LIX15 Midcap (CAP)	-6.08%
NV20 (EQUAL)	-7.55%	CNX METAL (CAP)	-6.69%
LIX15 Midcap (EQUAL)	-8.18%	CNX PSE (CAP)	-7.01%
CNX COMMODITIES (EQUAL)	-8.38%	CNX PSU BANK (CAP)	-7.08%
CNX ENERGY (EQUAL)	-8.86%	NV20 (CAP)	-7.67%
CNX PSU BANK (EQUAL)	-8.87%	CNX INFRA (CAP)	-7.67%
CNX BANK (EQUAL)	-9.34%	LIX 15 (CAP)	-8.92%
CNX SERVICE (EQUAL)	-9.86%	CNX BANK (CAP)	-9.13%
LIX 15 (EQUAL)	-10.57%	CNX SERVICE (CAP)	-9.42%
CNX FINANCE (EQUAL)	-10.84%	CNX FINANCE (CAP)	-9.51%
CNX METAL (EQUAL)	-11.02%	CNX MEDIA (CAP)	-9.79%
CNX IT (EQUAL)	-12.03%	CNX IT (CAP)	-11.63%
CNX REALTY (EQUAL)	-16.15%	CNX REALTY (CAP)	-16.09%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
CNX AUTO	SHORT	6.15	2015-Jan-27
CNX BANK	SHORT	11.54	2015-Jan-27
CNX ENERGY	SHORT	30.63	2008-Jan-14
CNX FMCG	SHORT	10.31	2015-Feb-25
CNX INFRA	SHORT	50.32	2008-Jan-09
CNX IT	SHORT	88.30	2000-Feb-21
CNX MEDIA	SHORT	31.75	2008-Jan-04
CNX METAL	SHORT	55.90	2008-Jan-04
CNX MNC	SHORT	5.04	2015-Mar-12
CNX NIFTY	SHORT	8.16	2015-Mar-03
CNX PHARMA	SHORT	11.11	2015-Apr-08
CNX PSE	SHORT	27.10	2008-Jan-04
CNX REALTY	SHORT	89.34	2008-Jan-14

It looks like Autos and Pharma may be green-shooting. A rate cut would help autos and rupee depreciation can act as a tailwind for pharma.

Categories Your Money Tags index, momentum, weekly

Correlation Update 16.05.2015

stockviz May 16, 2015May 16, 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