Invest Without Emotions
A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.
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:
50-day performance, from June 08, 2015 through August 14, 2015:
| Index | Signal | % From Peak | Day of Peak |
|---|---|---|---|
| CNX AUTO | SHORT |
5.03
|
2015-Jan-27
|
| CNX BANK | SHORT |
8.91
|
2015-Jan-27
|
| CNX COMMODITIES | LONG |
32.16
|
2008-Jan-04
|
| CNX CONSUMPTION | SHORT |
2.11
|
2015-Aug-05
|
| CNX ENERGY | LONG |
29.99
|
2008-Jan-14
|
| CNX FMCG | SHORT |
8.75
|
2015-Feb-25
|
| CNX INFRA | SHORT |
48.15
|
2008-Jan-09
|
| CNX IT | LONG |
87.38
|
2000-Feb-21
|
| CNX MEDIA | SHORT |
15.03
|
2008-Jan-04
|
| CNX METAL | LONG |
65.04
|
2008-Jan-04
|
| CNX MNC | SHORT |
1.99
|
2015-Aug-10
|
| CNX NIFTY | SHORT |
5.31
|
2015-Mar-03
|
| CNX PHARMA | LONG |
5.02
|
2015-Apr-08
|
| CNX PSE | LONG |
28.83
|
2008-Jan-04
|
| CNX PSU BANK | SHORT |
35.20
|
2010-Nov-05
|
| CNX REALTY | SHORT |
90.24
|
2008-Jan-14
|
| CNX SERVICE | SHORT |
5.42
|
2015-Mar-03
|
A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.
| MINTs | |
|---|---|
| JCI(IDN) | -0.67% |
| INMEX(MEX) | +0.25% |
| NGSEINDX(NGA) | +4.18% |
| XU030(TUR) | -1.80% |
| BRICS | |
|---|---|
| IBOV(BRA) | -4.43% |
| SHCOMP(CHN) | +2.20% |
| NIFTY(IND) | +0.37% |
| INDEXCF(RUS) | +1.28% |
| TOP40(ZAF) | -0.27% |
| Energy | |
|---|---|
| Brent Crude Oil | -7.00% |
| Ethanol | -2.60% |
| Heating Oil | -2.62% |
| WTI Crude Oil | -7.78% |
| Natural Gas | +2.80% |
| RBOB Gasoline | -11.53% |
| Metals | |
|---|---|
| Silver 5000oz | -1.34% |
| Palladium | -2.32% |
| Platinum | -2.49% |
| Copper | -1.27% |
| Gold 100oz | -0.46% |
| MINTs | |
|---|---|
| USDIDR(IDN) | +0.01% |
| USDMXN(MEX) | +0.24% |
| USDNGN(NGA) | +0.10% |
| USDTRY(TUR) | +0.31% |
| BRICS | |
|---|---|
| USDBRL(BRA) | +2.32% |
| USDCNY(CHN) | +0.00% |
| USDINR(IND) | -0.50% |
| USDRUB(RUS) | +4.30% |
| USDZAR(ZAF) | -0.40% |
| Agricultural | |
|---|---|
| Coffee (Arabica) | +0.95% |
| Coffee (Robusta) | -6.71% |
| Cattle | +2.50% |
| Corn | +0.47% |
| Cotton | -2.50% |
| Orange Juice | +7.82% |
| Sugar #11 | -4.39% |
| Lean Hogs | -1.34% |
| White Sugar | -1.26% |
| Cocoa | -2.49% |
| Feeder Cattle | +1.54% |
| Lumber | +3.33% |
| Soybean Meal | -0.76% |
| Soybeans | +3.17% |
| Wheat | +2.46% |
| Index | Change |
|---|---|
| Markit CDX EM | -0.45% |
| Markit CDX NA HY | -0.03% |
| Markit CDX NA IG | +0.86% |
| Markit iTraxx Asia ex-Japan IG | +1.78% |
| Markit iTraxx Australia | +2.72% |
| Markit iTraxx Europe | -0.84% |
| Markit iTraxx Europe Crossover | +1.87% |
| Markit iTraxx Japan | +1.18% |
| Markit iTraxx SovX Western Europe | -1.67% |
| Markit LCDX (Loan CDS) | -0.04% |
| Markit MCDX (Municipal CDS) | -0.98% |
For a deeper dive into indices, check out our weekly Index Update.
| Decile | Mkt. Cap. | Adv/Decl |
|---|---|---|
| 1 (micro) | +8.49% | 79/58 |
| 2 | +4.50% | 77/58 |
| 3 | +5.13% | 71/66 |
| 4 | +5.36% | 74/62 |
| 5 | +4.19% | 76/60 |
| 6 | +4.87% | 76/60 |
| 7 | +4.28% | 77/59 |
| 8 | +3.92% | 78/59 |
| 9 | +3.89% | 75/61 |
| 10 (mega) | +2.36% | 73/64 |
| PSUBNKBEES | +5.28% |
| JUNIORBEES | +3.05% |
| INFRABEES | +0.52% |
| NIFTYBEES | +0.33% |
| BANKBEES | +0.33% |
| GOLDBEES | -0.38% |
| CPSEETF | -1.18% |
| Sub Index | Change in YTM | Total Return(%) |
|---|---|---|
| 0 5 | +0.03 | +0.11% |
| 5 10 | +0.01 | +0.08% |
| 10 15 | -0.03 | +0.33% |
| 15 20 | -0.02 | +0.33% |
| 20 30 | -0.02 | +0.30% |
| Next Trillion | +6.89% |
| Financial Strength Value | +6.74% |
| High Beta | +5.45% |
| Magic Formula | +5.26% |
| Quality to Price | +4.94% |
| Low Volatility | +2.85% |
| Balance Sheet Strength | +2.57% |
| PPFAS Long Term Value | +2.52% |
| ASK Life | +2.31% |
| Tactical CNX 100 | +1.72% |
| CNX 100 Enterprise Yield | +1.10% |
| The RBI Restricted List | +0.90% |
| ADAG stocks | +0.85% |
| Momentum | +0.66% |
The benchmark tail wags the portfolio management dog. Benchmarks were supposed to be the foundation for understanding a portfolio manager’s performance after the fact. Instead the investment industry evolved so that benchmarks are now the navigational compass for investment managers before the fact.
Only way to remedy this is to earn AUM through performance, not marketing. A majority of an asset manager’s time should be spent on research, not giving presentations to third parties.
Source: Alpha Wounds: Benchmark Tail Wags the Portfolio Management Dog
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:
50-day performance, from June 01, 2015 through August 07, 2015:
| Index | Signal | % From Peak | Day of Peak |
|---|---|---|---|
| CNX AUTO | LONG |
3.26
|
2015-Jan-27
|
| CNX BANK | LONG |
8.08
|
2015-Jan-27
|
| CNX COMMODITIES | SHORT |
28.46
|
2008-Jan-04
|
| CNX CONSUMPTION | LONG |
0.52
|
2015-Aug-05
|
| CNX ENERGY | LONG |
27.88
|
2008-Jan-14
|
| CNX FMCG | LONG |
6.25
|
2015-Feb-25
|
| CNX INFRA | SHORT |
47.01
|
2008-Jan-09
|
| CNX IT | SHORT |
87.86
|
2000-Feb-21
|
| CNX MEDIA | LONG |
15.34
|
2008-Jan-04
|
| CNX METAL | LONG |
61.19
|
2008-Jan-04
|
| CNX MNC | LONG |
0.00
|
2015-Aug-07
|
| CNX NIFTY | LONG |
4.80
|
2015-Mar-03
|
| CNX PHARMA | LONG |
8.60
|
2015-Apr-08
|
| CNX PSE | SHORT |
25.11
|
2008-Jan-04
|
| CNX PSU BANK | LONG |
33.42
|
2010-Nov-05
|
| CNX REALTY | LONG |
90.27
|
2008-Jan-14
|
| CNX SERVICE | SHORT |
6.02
|
2015-Mar-03
|