Author: stockviz

Index Update 28.03.2015

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 2015-03-27 png

index momentum best 50 2015-03-27 png

index momentum worst 365 2015-03-27 png

index momentum worst 50 2015-03-27 png

Refactored Index Performance

50-day performance, from January 15, 2015 through March 27, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL)) +12.28% CNX PHARMA (CAP)) +16.54%
CNX MNC (EQUAL)) +6.93% CNX MNC (CAP)) +9.64%
CNX IT (EQUAL)) +4.37% CNX IT (CAP)) +6.67%
NI15 (EQUAL)) +3.53% CNX REALTY (CAP)) +4.27%
CNX FMCG (EQUAL)) +3.45% CNX INFRA (CAP)) +3.50%
CNX CONSUMPTION (EQUAL)) -0.54% NI15 (CAP)) +3.42%
CNX AUTO (EQUAL)) -1.27% CNX AUTO (CAP)) +1.47%
CNX INFRA (EQUAL)) -1.67% CNX SERVICE (CAP)) +1.44%
CNX REALTY (EQUAL)) -2.88% CNX FINANCE (CAP)) -0.45%
CNX ENERGY (EQUAL)) -3.32% CNX FMCG (CAP)) -2.77%
CNX COMMODITIES (EQUAL)) -3.42% LIX 15 (CAP)) -2.87%
CNX PSE (EQUAL)) -4.20% CNX CONSUMPTION (CAP)) -3.04%
CNX SERVICE (EQUAL)) -4.78% CNX BANK (CAP)) -3.76%
LIX 15 (EQUAL)) -5.56% NV20 (CAP)) -4.54%
CPSE INDEX (EQUAL)) -5.81% CNX PSE (CAP)) -5.03%
CNX MEDIA (EQUAL)) -6.10% CNX COMMODITIES (CAP)) -5.44%
CNX FINANCE (EQUAL)) -6.22% LIX15 Midcap (CAP)) -5.65%
NV20 (EQUAL)) -8.46% CNX ENERGY (CAP)) -5.93%
LIX15 Midcap (EQUAL)) -8.80% CPSE INDEX (CAP)) -8.62%
CNX BANK (EQUAL)) -11.64% CNX MEDIA (CAP)) -10.06%
CNX METAL (EQUAL)) -12.80% CNX METAL (CAP)) -15.23%
CNX PSU BANK (EQUAL)) -25.48% CNX PSU BANK (CAP)) -21.48%
Categories Tags , ,

Correlation Update 28.03.2015

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 21.03.2015

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 2015-03-20 png

index momentum best 50 2015-03-20 png

index momentum worst 365 2015-03-20 png

index momentum worst 50 2015-03-20 png

Refactored Index Performance

50-day performance, from January 08, 2015 through March 20, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +13.99% CNX PHARMA (CAP) +17.16%
CNX IT (EQUAL) +11.68% CNX MNC (CAP) +12.14%
CNX MNC (EQUAL) +10.30% CNX IT (CAP) +10.22%
CNX FMCG (EQUAL) +9.00% CNX REALTY (CAP) +7.37%
NI15 (EQUAL) +8.83% NI15 (CAP) +5.64%
CNX REALTY (EQUAL) +4.13% CNX SERVICE (CAP) +4.86%
CNX AUTO (EQUAL) +3.40% CNX INFRA (CAP) +4.57%
CNX CONSUMPTION (EQUAL) +2.88% CNX FINANCE (CAP) +3.41%
CNX SERVICE (EQUAL) +1.19% CNX AUTO (CAP) +3.29%
CNX INFRA (EQUAL) +1.16% LIX 15 (CAP) -0.05%
CNX FINANCE (EQUAL) +0.26% CNX FMCG (CAP) -0.17%
CNX COMMODITIES (EQUAL) +0.10% CNX BANK (CAP) -0.77%
CNX PSE (EQUAL) -1.54% CNX CONSUMPTION (CAP) -1.29%
LIX 15 (EQUAL) -1.66% NV20 (CAP) -1.89%
CPSE INDEX (EQUAL) -1.79% LIX15 Midcap (CAP) -2.19%
CNX ENERGY (EQUAL) -1.88% CNX PSE (CAP) -2.91%
NV20 (EQUAL) -3.85% CNX COMMODITIES (CAP) -2.99%
CNX MEDIA (EQUAL) -3.86% CNX ENERGY (CAP) -3.18%
LIX15 Midcap (EQUAL) -5.07% CPSE INDEX (CAP) -6.03%
CNX BANK (EQUAL) -5.76% CNX MEDIA (CAP) -6.96%
CNX METAL (EQUAL) -11.35% CNX METAL (CAP) -12.87%
CNX PSU BANK (EQUAL) -18.99% CNX PSU BANK (CAP) -16.64%
Categories Tags , ,

Correlation Update 21.03.2015

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 14.03.2015

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.

Here are the best and the worst sub-indices:

index momentum best 365 2015-03-13 png

index momentum best 50 2015-03-13 png

index momentum worst 365 2015-03-13 png

index momentum worst 50 2015-03-13 png

Refactored Index Performance

50-day performance, from January 01, 2015 through March 13, 2015:

Equally Weighted Market Cap. Weighted
CNX IT (EQUAL) +14.45% CNX PHARMA (CAP) +15.84%
CNX MNC (EQUAL) +13.13% CNX MNC (CAP) +14.23%
CNX FMCG (EQUAL) +11.90% CNX REALTY (CAP) +11.50%
CNX PHARMA (EQUAL) +11.21% CNX IT (CAP) +9.80%
NI15 (EQUAL) +9.58% CNX INFRA (CAP) +7.65%
CNX REALTY (EQUAL) +9.07% NI15 (CAP) +6.30%
CNX AUTO (EQUAL) +5.96% CNX SERVICE (CAP) +5.46%
CNX CONSUMPTION (EQUAL) +4.28% CNX AUTO (CAP) +4.96%
CNX INFRA (EQUAL) +2.93% CNX FINANCE (CAP) +4.07%
CNX SERVICE (EQUAL) +0.89% CNX FMCG (CAP) +3.20%
CNX COMMODITIES (EQUAL) +0.21% LIX 15 (CAP) +1.96%
CNX FINANCE (EQUAL) -0.20% CNX CONSUMPTION (CAP) +1.22%
CNX ENERGY (EQUAL) -0.72% CNX BANK (CAP) +0.16%
LIX 15 (EQUAL) -0.81% NV20 (CAP) -0.62%
CNX PSE (EQUAL) -1.44% LIX15 Midcap (CAP) -1.37%
CPSE INDEX (EQUAL) -2.02% CNX PSE (CAP) -1.42%
NV20 (EQUAL) -3.31% CNX COMMODITIES (CAP) -1.90%
LIX15 Midcap (EQUAL) -3.74% CNX ENERGY (CAP) -2.31%
CNX MEDIA (EQUAL) -4.96% CPSE INDEX (CAP) -5.37%
CNX BANK (EQUAL) -5.73% CNX MEDIA (CAP) -7.19%
CNX METAL (EQUAL) -11.19% CNX METAL (CAP) -11.55%
CNX PSU BANK (EQUAL) -20.20% CNX PSU BANK (CAP) -15.25%
Categories Tags , ,