Author: stockviz

Index Update 09.05.2015

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 2015-05-08 png

index momentum best 50 2015-05-08 png

index momentum worst 365 2015-05-08 png

index momentum worst 50 2015-05-08 png

Refactored Index Performance

50-day performance, from February 24, 2015 through May 08, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) -1.79% CNX ENERGY (CAP) -0.92%
NI15 (EQUAL) -3.88% CNX PHARMA (CAP) -2.15%
CNX CONSUMPTION (EQUAL) -4.03% CPSE INDEX (CAP) -2.88%
CPSE INDEX (EQUAL) -5.03% CNX INFRA (CAP) -3.69%
CNX ENERGY (EQUAL) -5.83% CNX PSE (CAP) -5.05%
CNX INFRA (EQUAL) -5.95% CNX AUTO (CAP) -5.19%
CNX PSE (EQUAL) -5.95% NV20 (CAP) -5.53%
CNX AUTO (EQUAL) -5.97% CNX BANK (CAP) -5.76%
NV20 (EQUAL) -6.36% CNX CONSUMPTION (CAP) -6.13%
CNX MNC (EQUAL) -7.10% CNX COMMODITIES (CAP) -6.41%
CNX PHARMA (EQUAL) -7.36% LIX15 Midcap (CAP) -6.62%
CNX BANK (EQUAL) -7.38% CNX FINANCE (CAP) -6.96%
CNX FINANCE (EQUAL) -7.47% CNX SERVICE (CAP) -7.41%
CNX MEDIA (EQUAL) -7.73% NI15 (CAP) -8.16%
CNX SERVICE (EQUAL) -7.75% CNX REALTY (CAP) -9.43%
LIX15 Midcap (EQUAL) -8.74% CNX MNC (CAP) -9.90%
CNX COMMODITIES (EQUAL) -9.31% CNX FMCG (CAP) -10.22%
CNX IT (EQUAL) -9.87% CNX MEDIA (CAP) -10.75%
CNX REALTY (EQUAL) -10.27% LIX 15 (CAP) -10.89%
CNX PSU BANK (EQUAL) -14.07% CNX IT (CAP) -10.93%
LIX 15 (EQUAL) -14.62% CNX PSU BANK (CAP) -13.00%
CNX METAL (EQUAL) -18.23% CNX METAL (CAP) -23.59%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
9.89
2015-Jan-27
CNX BANK SHORT
13.42
2015-Jan-27
CNX ENERGY SHORT
30.10
2008-Jan-14
CNX FMCG SHORT
10.93
2015-Feb-25
CNX INFRA SHORT
50.20
2008-Jan-09
CNX IT SHORT
88.30
2000-Feb-21
CNX MEDIA SHORT
30.20
2008-Jan-04
CNX METAL SHORT
55.67
2008-Jan-04
CNX MNC SHORT
5.36
2015-Mar-12
CNX NIFTY SHORT
8.95
2015-Mar-03
CNX PHARMA SHORT
12.48
2015-Apr-08
CNX PSE SHORT
27.69
2008-Jan-04
CNX REALTY SHORT
88.96
2008-Jan-14
The MNC index should be real “blue-chip” index – lowest draw-down of the whole bunch.
Categories Tags , ,

Correlation Update 09.05.2015

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 02.05.2015

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 2015-04-30 png

index momentum best 50 2015-04-30 png

index momentum worst 365 2015-04-30 png

index momentum worst 50 2015-04-30 png

Refactored Index Performance

50-day performance, from February 16, 2015 through April 30, 2015:

Equally Weighted Market Cap. Weighted
CNX MNC (EQUAL) -0.40% CNX INFRA (CAP) -1.12%
CNX FMCG (EQUAL) -1.55% CNX MNC (CAP) -2.13%
CNX INFRA (EQUAL) -3.18% CNX PHARMA (CAP) -2.40%
CNX ENERGY (EQUAL) -3.99% LIX15 Midcap (CAP) -3.33%
CNX BANK (EQUAL) -4.18% CNX BANK (CAP) -4.37%
CNX PSE (EQUAL) -4.32% CNX PSE (CAP) -4.71%
CNX AUTO (EQUAL) -4.44% CNX ENERGY (CAP) -5.23%
LIX15 Midcap (EQUAL) -4.90% CNX COMMODITIES (CAP) -5.49%
CNX CONSUMPTION (EQUAL) -5.11% CNX AUTO (CAP) -5.52%
CPSE INDEX (EQUAL) -5.22% CNX FINANCE (CAP) -5.83%
CNX COMMODITIES (EQUAL) -5.72% CNX METAL (CAP) -6.19%
CNX FINANCE (EQUAL) -5.91% CPSE INDEX (CAP) -6.46%
NI15 (EQUAL) -5.94% LIX 15 (CAP) -6.91%
CNX SERVICE (EQUAL) -6.65% NV20 (CAP) -7.02%
NV20 (EQUAL) -6.85% CNX SERVICE (CAP) -7.03%
LIX 15 (EQUAL) -7.11% CNX CONSUMPTION (CAP) -7.74%
CNX PHARMA (EQUAL) -7.32% NI15 (CAP) -9.32%
CNX MEDIA (EQUAL) -8.45% CNX PSU BANK (CAP) -10.44%
CNX IT (EQUAL) -8.75% CNX REALTY (CAP) -10.54%
CNX PSU BANK (EQUAL) -8.96% CNX FMCG (CAP) -10.99%
CNX METAL (EQUAL) -10.05% CNX MEDIA (CAP) -11.67%
CNX REALTY (EQUAL) -10.79% CNX IT (CAP) -11.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.02
2015-Jan-27
CNX BANK SHORT
10.79
2015-Jan-27
CNX ENERGY SHORT
30.64
2008-Jan-14
CNX FMCG SHORT
12.49
2015-Feb-25
CNX INFRA SHORT
49.61
2008-Jan-09
CNX IT SHORT
88.48
2000-Feb-21
CNX MEDIA SHORT
30.24
2008-Jan-04
CNX METAL SHORT
56.27
2008-Jan-04
CNX MNC SHORT
6.12
2015-Mar-12
CNX NIFTY SHORT
9.06
2015-Mar-03
CNX PHARMA SHORT
12.82
2015-Apr-08
CNX PSE SHORT
27.16
2008-Jan-04
CNX REALTY SHORT
89.10
2008-Jan-14
MNCs remain an oasis of calm in a desert landscape filled with fallen stars. Every other sector index has experienced double digit drawdowns from this year’s highs. Some indices are yet to recover from their 2008 blow offs. Are we due for a reversal?
Categories Tags , ,

Correlation Update 02.05.2015

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 25.04.2015

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 2015-04-24 png

index momentum best 50 2015-04-24 png

index momentum worst 365 2015-04-24 png

index momentum worst 50 2015-04-24 png

Refactored Index Performance

50-day performance, from February 10, 2015 through April 24, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +5.98% CNX INFRA (CAP) +4.81%
CNX MNC (EQUAL) +2.47% CNX PHARMA (CAP) +1.98%
CNX INFRA (EQUAL) +1.31% CNX MNC (CAP) +1.22%
CNX CONSUMPTION (EQUAL) +0.14% LIX15 Midcap (CAP) +0.64%
CNX AUTO (EQUAL) +0.09% CNX CONSUMPTION (CAP) -0.74%
CNX ENERGY (EQUAL) +0.03% CNX METAL (CAP) -1.41%
LIX15 Midcap (EQUAL) -0.25% CNX FMCG (CAP) -1.56%
NI15 (EQUAL) -0.73% CNX ENERGY (CAP) -1.67%
CNX PSE (EQUAL) -0.88% CNX AUTO (CAP) -1.82%
CNX IT (EQUAL) -1.51% CNX PSE (CAP) -1.88%
CNX COMMODITIES (EQUAL) -2.32% CNX COMMODITIES (CAP) -2.07%
CNX FINANCE (EQUAL) -2.52% CNX FINANCE (CAP) -3.29%
CPSE INDEX (EQUAL) -2.52% NI15 (CAP) -3.47%
CNX SERVICE (EQUAL) -2.69% CNX SERVICE (CAP) -3.89%
CNX BANK (EQUAL) -3.56% CNX BANK (CAP) -4.04%
NV20 (EQUAL) -3.59% LIX 15 (CAP) -4.56%
CNX PHARMA (EQUAL) -3.80% CNX PSU BANK (CAP) -4.59%
LIX 15 (EQUAL) -3.86% NV20 (CAP) -4.71%
CNX MEDIA (EQUAL) -4.14% CPSE INDEX (CAP) -4.96%
CNX METAL (EQUAL) -5.45% CNX MEDIA (CAP) -7.68%
CNX PSU BANK (EQUAL) -5.83% CNX REALTY (CAP) -8.07%
CNX REALTY (EQUAL) -7.39% CNX IT (CAP) -8.24%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.28
2015-Jan-27
CNX BANK SHORT
12.42
2015-Jan-27
CNX ENERGY SHORT
29.16
2008-Jan-14
CNX FMCG SHORT
7.58
2015-Feb-25
CNX INFRA SHORT
48.62
2008-Jan-09
CNX MEDIA SHORT
28.84
2008-Jan-04
CNX METAL SHORT
55.32
2008-Jan-04
CNX MNC SHORT
6.69
2015-Mar-12
CNX NIFTY SHORT
7.68
2015-Mar-03
CNX PHARMA SHORT
11.72
2015-Apr-08
CNX PSE SHORT
25.79
2008-Jan-04
ENERGY, INFRA, MEDIA, METAL and PSE sub-indices are well below their 2008 boom-era heights. Banks and Pharma have been badly hit this year. Will MNCs provide cover?
Our trend model is short on all indices right now, probably indicating that the market is over-sold…
Categories Tags , ,