Author: stockviz

Index Update 14.02.2016

stockviz February 14, 2016February 14, 2016

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 December 03, 2015 through February 12, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-6.95%	IT (CAP)	-3.90%
QUALITY 30 (EQUAL)	-9.73%	PHARMA (CAP)	-4.29%
FMCG (EQUAL)	-10.08%	GROWSECT 15 (CAP)	-4.52%
CONSUMPTION (EQUAL)	-11.07%	QUALITY 30 (CAP)	-7.22%
AUTO (EQUAL)	-11.17%	ENERGY (CAP)	-8.90%
PHARMA (EQUAL)	-11.26%	FMCG (CAP)	-10.06%
ENERGY (EQUAL)	-11.53%	COMMODITIES (CAP)	-10.30%
MNC (EQUAL)	-12.24%	CONSUMPTION (CAP)	-10.41%
COMMODITIES (EQUAL)	-12.32%	SERV SECTOR (CAP)	-11.79%
IT (EQUAL)	-13.54%	VALUE 20 (CAP)	-12.03%
MEDIA (EQUAL)	-15.13%	MEDIA (CAP)	-12.18%
VALUE 20 (EQUAL)	-15.16%	MNC (CAP)	-12.86%
SERV SECTOR (EQUAL)	-16.18%	PSE (CAP)	-14.25%
PSE (EQUAL)	-17.26%	METAL (CAP)	-14.56%
CPSE (EQUAL)	-19.21%	AUTO (CAP)	-15.14%
FIN SERVICE (EQUAL)	-20.29%	CPSE (CAP)	-15.57%
LIQ 15 (EQUAL)	-20.52%	FIN SERVICE (CAP)	-16.78%
INFRA (EQUAL)	-21.81%	INFRA (CAP)	-16.79%
BANK (EQUAL)	-22.99%	BANK (CAP)	-18.51%
METAL (EQUAL)	-23.62%	LIQ 15 (CAP)	-20.52%
REALTY (EQUAL)	-25.92%	MIDCAP LIQUID 15 (CAP)	-23.99%
MIDCAP LIQUID 15 (EQUAL)	-25.97%	REALTY (CAP)	-26.29%
PSU BANK (EQUAL)	-38.49%	PSU BANK (CAP)	-36.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	22.25	2015-Jan-27
NIFTY BANK	LONG	32.03	2015-Jan-27
NIFTY COMMODITIES	LONG	42.67	2008-Jan-04
NIFTY CONSUMPTION	LONG	14.40	2015-Aug-05
NIFTY ENERGY	LONG	37.45	2008-Jan-14
NIFTY FIN SERVICE	LONG	28.84	2015-Jan-28
NIFTY FMCG	LONG	17.79	2015-Feb-25
NIFTY INFRA	LONG	63.65	2008-Jan-09
NIFTY IT	LONG	89.19	2000-Feb-21
NIFTY MEDIA	LONG	26.02	2008-Jan-04
NIFTY METAL	LONG	72.78	2008-Jan-04
NIFTY MNC	LONG	22.21	2015-Aug-10
NIFTY PHARMA	SHORT	19.88	2015-Apr-08
NIFTY PSE	LONG	43.76	2008-Jan-04
NIFTY PSU BANK	LONG	63.39	2010-Nov-05
NIFTY REALTY	LONG	93.12	2008-Jan-14
NIFTY SERV SECTOR	LONG	23.80	2015-Mar-03

FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.

Categories Your Money Tags index, momentum, weekly

Index Update 06.02.2016

stockviz February 6, 2016February 7, 2016

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 November 26, 2015 through February 05, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-1.76%	IT (CAP)	+4.77%
MEDIA (EQUAL)	-3.49%	GROWSECT 15 (CAP)	+1.72%
QUALITY 30 (EQUAL)	-3.92%	PHARMA (CAP)	+0.93%
COMMODITIES (EQUAL)	-5.06%	QUALITY 30 (CAP)	-0.90%
PHARMA (EQUAL)	-5.24%	MEDIA (CAP)	-1.60%
IT (EQUAL)	-5.28%	ENERGY (CAP)	-3.10%
ENERGY (EQUAL)	-5.31%	COMMODITIES (CAP)	-3.87%
CONSUMPTION (EQUAL)	-5.73%	METAL (CAP)	-4.07%
FMCG (EQUAL)	-6.37%	FMCG (CAP)	-4.58%
MNC (EQUAL)	-7.03%	SERV SECTOR (CAP)	-4.98%
PSE (EQUAL)	-8.15%	VALUE 20 (CAP)	-5.74%
AUTO (EQUAL)	-8.21%	CONSUMPTION (CAP)	-6.24%
SERV SECTOR (EQUAL)	-8.85%	PSE (CAP)	-6.44%
VALUE 20 (EQUAL)	-8.93%	CPSE (CAP)	-7.54%
CPSE (EQUAL)	-10.21%	MNC (CAP)	-8.08%
LIQ 15 (EQUAL)	-11.32%	FIN SERVICE (CAP)	-9.78%
METAL (EQUAL)	-11.54%	BANK (CAP)	-11.25%
FIN SERVICE (EQUAL)	-12.06%	AUTO (CAP)	-11.28%
REALTY (EQUAL)	-13.83%	INFRA (CAP)	-12.62%
INFRA (EQUAL)	-14.25%	REALTY (CAP)	-13.67%
BANK (EQUAL)	-15.02%	LIQ 15 (CAP)	-14.19%
MIDCAP LIQUID 15 (EQUAL)	-15.65%	MIDCAP LIQUID 15 (CAP)	-14.26%
PSU BANK (EQUAL)	-26.74%	PSU BANK (CAP)	-29.21%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	17.62	2015-Jan-27
NIFTY BANK	SHORT	26.24	2015-Jan-27
NIFTY COMMODITIES	SHORT	38.78	2008-Jan-04
NIFTY CONSUMPTION	SHORT	10.38	2015-Aug-05
NIFTY ENERGY	LONG	32.92	2008-Jan-14
NIFTY FIN SERVICE	SHORT	22.73	2015-Jan-28
NIFTY FMCG	LONG	12.69	2015-Feb-25
NIFTY INFRA	SHORT	61.52	2008-Jan-09
NIFTY IT	LONG	88.24	2000-Feb-21
NIFTY MEDIA	SHORT	18.97	2008-Jan-04
NIFTY METAL	SHORT	70.09	2008-Jan-04
NIFTY MNC	SHORT	18.01	2015-Aug-10
NIFTY PHARMA	SHORT	15.75	2015-Apr-08
NIFTY PSE	SHORT	38.71	2008-Jan-04
NIFTY PSU BANK	LONG	59.05	2010-Nov-05
NIFTY REALTY	SHORT	92.16	2008-Jan-14
NIFTY SERV SECTOR	SHORT	17.71	2015-Mar-03

The only bright spot was FMCG – probably aided by a flight to safety. It is brutal out there…

Categories Your Money Tags index, momentum, weekly

Theme: Acceleration Update 02.02.2016

stockviz February 2, 2016February 2, 2016

	held since	returns (%)
RUSHIL	2015-Nov-19	-18.69
ESTER	2015-Nov-19	-23.34
GUFICBIO	2015-Nov-19	-10.58
TRIVENI	2015-Dec-01	+28.74
MRO-TEK	2015-Dec-01	+43.11
JETAIRWAYS	2016-Jan-01	-17.11
VIVIMEDLAB	2016-Jan-01	-4.38
JUBILANT	2016-Jan-01	-14.31
KPIT	2016-Jan-01	-15.96
LYPSAGEMS	2016-Jan-01	-17.07
RJL	2016-Jan-01	-5.44
TVSELECT	2016-Jan-01	-23.33
TRIGYN	2016-Jan-01	-13.49
GULFPETRO	2016-Jan-01	-15.56
CORDSCABLE	2016-Jan-01	-0.09
WINDMACHIN	2016-Jan-01	-21.26
JAGSNPHARM	2016-Jan-01	-7.40
GSS	2016-Jan-01	-13.89
MOREPENLAB	2016-Jan-01	-8.11
VIKASECO	2016-Jan-01	-1.23

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -13.90%.

You can find more details about the Acceleration Theme here.

Categories Your Money Tags acceleration, theme

Theme: Velocity Update 02.02.2016

stockviz February 2, 2016February 2, 2016

	held since	returns (%)
GAYAPROJ	2015-Sep-04	+53.42
SANGAMIND	2015-Sep-04	+23.27
RUSHIL	2015-Sep-04	+44.92
8KMILES	2015-Oct-06	+18.58
LYKALABS	2015-Oct-06	+12.11
DEEPIND	2015-Nov-02	-1.23
EMMBI	2015-Nov-02	+12.66
RAJESHEXPO	2015-Dec-01	+2.87
COSMOFILMS	2015-Dec-01	+3.45
JUBLINDS	2015-Dec-01	-17.27
TIRUMALCHM	2015-Dec-01	-8.17
TVSELECT	2015-Dec-01	+1.51
ESTER	2015-Dec-01	-27.63
NILKAMAL	2016-Jan-01	+9.01
DENORA	2016-Jan-01	-7.11
NCLIND	2016-Jan-01	-32.55
CTE	2016-Jan-01	+0.17
KWALITY	2016-Jan-01	-19.60
GUFICBIO	2016-Jan-01	-18.11
MIC	2016-Jan-01	-8.07

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -12.67%.

You can find more details about the Velocity Theme here.

Categories Your Money Tags theme, Velocity

Theme: Momentum Update 02.02.2016

stockviz February 2, 2016February 2, 2016

	held since	returns (%)
CAPLIPOINT	2015-Sep-07	-15.17
GAYAPROJ	2015-Sep-07	+49.98
SANGAMIND	2015-Sep-07	+27.71
JUBILANT	2015-Oct-06	-10.63
NCLIND	2015-Oct-06	-2.06
SRIPIPES	2015-Nov-02	-20.27
LYKALABS	2015-Nov-02	-15.86
EMMBI	2015-Nov-02	+12.77
NAVINFLUOR	2015-Dec-01	-17.11
8KMILES	2015-Dec-01	+18.23
RAJESHEXPO	2015-Dec-01	+2.84
ISFT	2015-Dec-01	-33.23
RUSHIL	2015-Dec-01	-22.11
ESTER	2015-Dec-01	-28.98
RPGLIFE	2016-Jan-01	-26.21
KWALITY	2016-Jan-01	-18.51
IZMO	2016-Jan-01	-27.03
ELAND	2016-Jan-01	-28.97
GUFICBIO	2016-Jan-01	-16.34
MOREPENLAB	2016-Jan-01	-8.36

Since the last rebalance on 2016-Jan-01 till 2016-Feb-01, this strategy has returned -18.59%.

You can find more details about the Momentum Theme here.

Categories Your Money Tags momentum, theme