Tag: index

Index Update 11.07.2015

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 2015-07-10 png

index momentum best 50 2015-07-10 png

index momentum worst 365 2015-07-10 png

index momentum worst 50 2015-07-10 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-10 png

Refactored Index Performance

50-day performance, from May 04, 2015 through July 10, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.53% CNX PHARMA (CAP) +8.18%
CNX FMCG (EQUAL) +5.71% CNX MEDIA (CAP) +4.86%
CNX CONSUMPTION (EQUAL) +4.31% CNX INFRA (CAP) +3.67%
CNX MEDIA (EQUAL) +2.51% CNX CONSUMPTION (CAP) +2.44%
CPSE INDEX (EQUAL) +2.38% CNX FINANCE (CAP) +2.43%
CNX MNC (EQUAL) +1.85% CNX ENERGY (CAP) +1.34%
CNX AUTO (EQUAL) +1.67% CNX MNC (CAP) +1.33%
NSE QUALITY 30 (EQUAL) +1.49% CNX BANK (CAP) +1.05%
NI15 (EQUAL) +1.42% CNX SERVICE (CAP) -0.13%
CNX FINANCE (EQUAL) +1.07% CNX FMCG (CAP) -0.17%
CNX PSE (EQUAL) -0.94% NV20 (CAP) -0.58%
CNX IT (EQUAL) -1.44% NI15 (CAP) -0.77%
NV20 (EQUAL) -1.46% CNX COMMODITIES (CAP) -0.82%
CNX SERVICE (EQUAL) -2.45% CPSE INDEX (CAP) -1.10%
CNX BANK (EQUAL) -3.36% CNX PSE (CAP) -1.17%
CNX INFRA (EQUAL) -3.80% CNX AUTO (CAP) -1.40%
CNX ENERGY (EQUAL) -4.42% NSE QUALITY 30 (CAP) -1.48%
CNX COMMODITIES (EQUAL) -4.94% CNX IT (CAP) -3.93%
LIX 15 (EQUAL) -9.36% CNX PSU BANK (CAP) -5.67%
CNX PSU BANK (EQUAL) -10.36% LIX 15 (CAP) -8.07%
CNX REALTY (EQUAL) -12.10% CNX METAL (CAP) -12.71%
CNX METAL (EQUAL) -12.32% LIX15 Midcap (CAP) -14.15%
LIX15 Midcap (EQUAL) -14.25% CNX REALTY (CAP) -14.91%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
9.51
2015-Jan-27
CNX BANK LONG
8.93
2015-Jan-27
CNX COMMODITIES SHORT
28.96
2008-Jan-04
CNX CONSUMPTION LONG
2.44
2015-Apr-13
CNX ENERGY SHORT
27.21
2008-Jan-14
CNX FMCG SHORT
10.80
2015-Feb-25
CNX INFRA LONG
46.72
2008-Jan-09
CNX IT SHORT
88.69
2000-Feb-21
CNX MEDIA LONG
24.79
2008-Jan-04
CNX METAL LONG
60.32
2008-Jan-04
CNX MNC LONG
3.13
2015-Mar-12
CNX NIFTY LONG
7.07
2015-Mar-03
CNX PHARMA LONG
9.35
2015-Apr-08
CNX PSE LONG
25.36
2008-Jan-04
CNX PSU BANK LONG
37.25
2010-Nov-05
CNX REALTY SHORT
90.44
2008-Jan-14
CNX SERVICE LONG
8.97
2015-Mar-03
Finance and FMCG showed an uptick in momentum. However, the word of the week is “listless.” Expect most trend followers to lose discipline right about now…
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Index Update 04.07.2015

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 2015-07-03 png

index momentum best 50 2015-07-03 png

index momentum worst 365 2015-07-03 png

index momentum worst 50 2015-07-03 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-03 png

Refactored Index Performance

50-day performance, from April 24, 2015 through July 03, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.20% CNX MEDIA (CAP) +7.71%
CPSE INDEX (EQUAL) +6.19% CNX PHARMA (CAP) +6.92%
CNX MNC (EQUAL) +5.81% CNX MNC (CAP) +5.44%
CNX FMCG (EQUAL) +5.57% CNX ENERGY (CAP) +5.33%
CNX AUTO (EQUAL) +5.23% NV20 (CAP) +4.09%
CNX CONSUMPTION (EQUAL) +4.55% CNX BANK (CAP) +4.05%
CNX MEDIA (EQUAL) +4.15% CNX FINANCE (CAP) +3.68%
NI15 (EQUAL) +3.46% CNX AUTO (CAP) +3.67%
NSE QUALITY 30 (EQUAL) +2.50% CPSE INDEX (CAP) +3.25%
NV20 (EQUAL) +2.30% CNX INFRA (CAP) +3.02%
CNX PSE (EQUAL) +1.96% CNX CONSUMPTION (CAP) +2.94%
CNX IT (EQUAL) +0.82% CNX SERVICE (CAP) +2.56%
CNX FINANCE (EQUAL) +0.46% CNX COMMODITIES (CAP) +2.53%
CNX BANK (EQUAL) -0.17% CNX PSE (CAP) +2.37%
CNX ENERGY (EQUAL) -0.21% NI15 (CAP) +0.83%
CNX SERVICE (EQUAL) -0.68% CNX IT (CAP) +0.76%
CNX COMMODITIES (EQUAL) -1.85% NSE QUALITY 30 (CAP) -0.00%
CNX INFRA (EQUAL) -2.58% CNX FMCG (CAP) -2.19%
LIX 15 (EQUAL) -5.83% LIX 15 (CAP) -3.56%
CNX REALTY (EQUAL) -9.77% CNX PSU BANK (CAP) -5.78%
CNX PSU BANK (EQUAL) -10.29% CNX METAL (CAP) -9.42%
CNX METAL (EQUAL) -12.25% CNX REALTY (CAP) -11.90%
LIX15 Midcap (EQUAL) -13.61% LIX15 Midcap (CAP) -13.11%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.66
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX ENERGY SHORT
25.33
2008-Jan-14
CNX FMCG LONG
9.20
2015-Feb-25
CNX INFRA LONG
46.95
2008-Jan-09
CNX IT LONG
88.27
2000-Feb-21
CNX MEDIA LONG
23.15
2008-Jan-04
CNX METAL LONG
58.71
2008-Jan-04
CNX MNC LONG
1.66
2015-Mar-12
CNX NIFTY SHORT
5.68
2015-Mar-03
CNX PHARMA LONG
11.32
2015-Apr-08
CNX PSE LONG
23.84
2008-Jan-04
CNX REALTY SHORT
90.35
2008-Jan-14
50-day performance turns green for most indices and the MNCs have more or less covered their draw-downs. Looks like financials and FMCG have found their mojo. Will the markets keep their trend?
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Index Update 27.06.2015

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 2015-06-26 png

index momentum best 50 2015-06-26 png

index momentum worst 365 2015-06-26 png

index momentum worst 50 2015-06-26 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-26 png

Refactored Index Performance

50-day performance, from April 17, 2015 through June 26, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +13.06% CNX MNC (CAP) +2.67%
CNX MNC (EQUAL) +6.58% CNX MEDIA (CAP) +1.11%
CPSE INDEX (EQUAL) +0.66% CNX BANK (CAP) +0.14%
CNX MEDIA (EQUAL) -0.63% CNX PHARMA (CAP) +0.13%
CNX CONSUMPTION (EQUAL) -1.62% CNX ENERGY (CAP) +0.08%
CNX FMCG (EQUAL) -2.02% NV20 (CAP) -0.47%
NV20 (EQUAL) -2.08% CNX FINANCE (CAP) -0.49%
CNX AUTO (EQUAL) -2.14% CPSE INDEX (CAP) -0.94%
CNX PSE (EQUAL) -2.89% CNX AUTO (CAP) -1.64%
NSE QUALITY 30 (EQUAL) -2.92% CNX COMMODITIES (CAP) -1.76%
NI15 (EQUAL) -3.08% CNX SERVICE (CAP) -2.14%
CNX FINANCE (EQUAL) -3.19% CNX CONSUMPTION (CAP) -2.22%
CNX IT (EQUAL) -3.98% CNX PSE (CAP) -2.24%
CNX ENERGY (EQUAL) -4.86% CNX INFRA (CAP) -2.65%
CNX COMMODITIES (EQUAL) -5.50% CNX IT (CAP) -3.71%
CNX BANK (EQUAL) -5.56% NI15 (CAP) -4.59%
CNX SERVICE (EQUAL) -5.74% NSE QUALITY 30 (CAP) -4.97%
CNX INFRA (EQUAL) -7.64% CNX FMCG (CAP) -7.42%
LIX 15 (EQUAL) -9.59% LIX 15 (CAP) -7.72%
CNX METAL (EQUAL) -14.72% CNX METAL (CAP) -10.14%
CNX REALTY (EQUAL) -15.30% CNX PSU BANK (CAP) -12.60%
CNX PSU BANK (EQUAL) -17.19% LIX15 Midcap (CAP) -16.52%
LIX15 Midcap (EQUAL) -17.66% CNX REALTY (CAP) -17.55%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
7.17
2015-Jan-27
CNX BANK LONG
10.62
2015-Jan-27
CNX ENERGY LONG
25.82
2008-Jan-14
CNX FMCG LONG
11.66
2015-Feb-25
CNX INFRA LONG
47.92
2008-Jan-09
CNX IT LONG
88.10
2000-Feb-21
CNX MEDIA LONG
24.66
2008-Jan-04
CNX METAL LONG
58.47
2008-Jan-04
CNX MNC LONG
3.71
2015-Mar-12
CNX NIFTY LONG
6.84
2015-Mar-03
CNX PHARMA LONG
12.76
2015-Apr-08
CNX PSE LONG
24.69
2008-Jan-04
CNX REALTY SHORT
90.21
2008-Jan-14
A perk up in momentum metrics: RS-Spread has reverted to mean; bank and financials are showing some green shoots.
Categories Tags , ,

Index Update 20.06.2015

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 2015-06-19 png

index momentum best 50 2015-06-19 png

index momentum worst 365 2015-06-19 png

index momentum worst 50 2015-06-19 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-19 png

Refactored Index Performance

50-day performance, from April 09, 2015 through June 19, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +7.13% CNX ENERGY (CAP) +2.16%
CNX MNC (EQUAL) +4.50% CNX MNC (CAP) +0.78%
CNX MEDIA (EQUAL) -1.96% CPSE INDEX (CAP) -0.72%
CPSE INDEX (EQUAL) -2.20% CNX COMMODITIES (CAP) -1.77%
CNX FMCG (EQUAL) -4.01% CNX PSE (CAP) -2.74%
CNX CONSUMPTION (EQUAL) -4.22% NV20 (CAP) -3.26%
CNX PSE (EQUAL) -4.46% CNX CONSUMPTION (CAP) -4.18%
NV20 (EQUAL) -4.52% CNX MEDIA (CAP) -4.37%
CNX ENERGY (EQUAL) -5.32% CNX INFRA (CAP) -4.53%
CNX AUTO (EQUAL) -6.21% CNX BANK (CAP) -5.27%
NSE QUALITY 30 (EQUAL) -7.12% CNX FINANCE (CAP) -5.59%
CNX COMMODITIES (EQUAL) -7.33% CNX SERVICE (CAP) -6.43%
CNX FINANCE (EQUAL) -8.10% CNX AUTO (CAP) -6.43%
CNX BANK (EQUAL) -8.65% CNX PHARMA (CAP) -7.77%
NI15 (EQUAL) -8.71% CNX FMCG (CAP) -8.29%
CNX SERVICE (EQUAL) -8.86% CNX IT (CAP) -8.53%
CNX INFRA (EQUAL) -10.17% NI15 (CAP) -9.17%
CNX IT (EQUAL) -10.37% NSE QUALITY 30 (CAP) -9.30%
LIX 15 (EQUAL) -11.35% CNX METAL (CAP) -9.70%
CNX PSU BANK (EQUAL) -14.33% CNX PSU BANK (CAP) -10.74%
CNX METAL (EQUAL) -14.68% LIX 15 (CAP) -10.80%
LIX15 Midcap (EQUAL) -18.72% LIX15 Midcap (CAP) -17.52%
CNX REALTY (EQUAL) -22.22% CNX REALTY (CAP) -25.02%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
8.73
2015-Jan-27
CNX BANK SHORT
13.01
2015-Jan-27
CNX ENERGY LONG
26.08
2008-Jan-14
CNX FMCG SHORT
13.23
2015-Feb-25
CNX INFRA SHORT
48.68
2008-Jan-09
CNX IT SHORT
88.23
2000-Feb-21
CNX MEDIA LONG
26.66
2008-Jan-04
CNX METAL SHORT
58.84
2008-Jan-04
CNX MNC SHORT
5.41
2015-Mar-12
CNX NIFTY SHORT
8.57
2015-Mar-03
CNX PHARMA SHORT
14.61
2015-Apr-08
CNX PSE SHORT
25.47
2008-Jan-04
CNX REALTY SHORT
90.75
2008-Jan-14
Looks like Banks, FMCG and Pharma are perking up. MNCs and Autos are recovering from their drawdowns as well…
Categories Tags , ,

Index Update 13.06.2015

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 2015-06-12 png

index momentum best 50 2015-06-12 png

index momentum worst 365 2015-06-12 png

index momentum worst 50 2015-06-12 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-12 png

Refactored Index Performance

50-day performance, from March 31, 2015 through June 12, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) -0.17% CNX ENERGY (CAP) +1.27%
CPSE INDEX (EQUAL) -0.70% CPSE INDEX (CAP) +0.09%
CNX PSE (EQUAL) -2.81% CNX PSE (CAP) -0.73%
CNX MNC (EQUAL) -3.08% CNX COMMODITIES (CAP) -1.45%
NV20 (EQUAL) -3.29% NV20 (CAP) -3.30%
CNX ENERGY (EQUAL) -4.23% CNX INFRA (CAP) -3.34%
CNX CONSUMPTION (EQUAL) -4.29% CNX CONSUMPTION (CAP) -3.50%
CNX MEDIA (EQUAL) -4.39% CNX BANK (CAP) -3.77%
CNX PHARMA (EQUAL) -4.82% CNX MNC (CAP) -4.09%
CNX COMMODITIES (EQUAL) -6.04% CNX METAL (CAP) -4.72%
CNX BANK (EQUAL) -6.17% CNX FMCG (CAP) -4.93%
NSE QUALITY 30 (EQUAL) -7.00% CNX MEDIA (CAP) -5.63%
CNX AUTO (EQUAL) -7.11% CNX FINANCE (CAP) -5.71%
CNX SERVICE (EQUAL) -7.43% CNX SERVICE (CAP) -6.04%
CNX FINANCE (EQUAL) -7.82% CNX PSU BANK (CAP) -7.07%
NI15 (EQUAL) -7.88% CNX AUTO (CAP) -7.36%
CNX IT (EQUAL) -8.06% LIX 15 (CAP) -8.12%
LIX 15 (EQUAL) -8.56% CNX IT (CAP) -8.22%
CNX INFRA (EQUAL) -10.30% NI15 (CAP) -8.34%
CNX PSU BANK (EQUAL) -10.51% NSE QUALITY 30 (CAP) -8.34%
CNX METAL (EQUAL) -10.77% CNX PHARMA (CAP) -11.36%
CNX REALTY (EQUAL) -15.20% LIX15 Midcap (CAP) -18.08%
LIX15 Midcap (EQUAL) -18.08% CNX REALTY (CAP) -19.31%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
13.13
2015-Jan-27
CNX BANK LONG
14.75
2015-Jan-27
CNX ENERGY SHORT
30.29
2008-Jan-14
CNX FMCG LONG
15.47
2015-Feb-25
CNX INFRA SHORT
49.72
2008-Jan-09
CNX IT LONG
88.43
2000-Feb-21
CNX MEDIA SHORT
29.56
2008-Jan-04
CNX METAL LONG
59.10
2008-Jan-04
CNX MNC LONG
8.01
2015-Mar-12
CNX NIFTY LONG
11.26
2015-Mar-03
CNX PHARMA LONG
18.09
2015-Apr-08
CNX PSE SHORT
26.34
2008-Jan-04
CNX REALTY LONG
90.71
2008-Jan-14
Given the state of the relative strength spread, good luck with trend following strategies! But it looks like there are some sectors where a positive trend is reasserting itself. Are we seeing green shoots in pharma, media and banks?
Categories Tags , ,