Tag: index

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?
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Index Update 06.06.2015

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 2015-06-05 png

index momentum best 50 2015-06-05 png

index momentum worst 365 2015-06-05 png

index momentum worst 50 2015-06-05 png

Refactored Index Performance

50-day performance, from March 24, 2015 through June 05, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +2.20% CNX ENERGY (CAP) +1.31%
CPSE INDEX (EQUAL) -0.02% CPSE INDEX (CAP) +0.64%
CNX CONSUMPTION (EQUAL) -0.67% CNX PSE (CAP) +0.17%
CNX MNC (EQUAL) -0.74% CNX COMMODITIES (CAP) +0.15%
CNX MEDIA (EQUAL) -0.89% CNX INFRA (CAP) -1.09%
CNX PSE (EQUAL) -0.96% CNX CONSUMPTION (CAP) -1.35%
CNX PHARMA (EQUAL) -2.15% CNX MNC (CAP) -2.29%
NV20 (EQUAL) -2.39% NV20 (CAP) -3.07%
CNX AUTO (EQUAL) -2.71% CNX MEDIA (CAP) -3.32%
CNX ENERGY (EQUAL) -2.94% CNX FMCG (CAP) -3.33%
CNX COMMODITIES (EQUAL) -3.04% CNX METAL (CAP) -3.48%
NSE QUALITY 30 (EQUAL) -4.30% CNX AUTO (CAP) -3.49%
CNX BANK (EQUAL) -5.19% CNX BANK (CAP) -4.29%
NI15 (EQUAL) -5.99% NSE QUALITY 30 (CAP) -5.96%
CNX SERVICE (EQUAL) -6.91% CNX SERVICE (CAP) -6.18%
CNX INFRA (EQUAL) -7.03% CNX PSU BANK (CAP) -6.26%
CNX IT (EQUAL) -7.19% NI15 (CAP) -6.34%
LIX 15 (EQUAL) -7.32% LIX 15 (CAP) -6.42%
CNX FINANCE (EQUAL) -7.46% CNX FINANCE (CAP) -6.84%
CNX METAL (EQUAL) -8.03% CNX IT (CAP) -6.98%
CNX PSU BANK (EQUAL) -8.38% CNX PHARMA (CAP) -8.66%
CNX REALTY (EQUAL) -10.28% CNX REALTY (CAP) -15.64%
LIX15 Midcap (EQUAL) -15.34% LIX15 Midcap (CAP) -16.09%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
11.07
2015-Jan-27
CNX BANK SHORT
14.62
2015-Jan-27
CNX ENERGY SHORT
29.22
2008-Jan-14
CNX FMCG SHORT
13.62
2015-Feb-25
CNX INFRA SHORT
49.05
2008-Jan-09
CNX IT SHORT
88.18
2000-Feb-21
CNX MEDIA SHORT
27.38
2008-Jan-04
CNX METAL SHORT
57.85
2008-Jan-04
CNX MNC SHORT
6.54
2015-Mar-12
CNX NIFTY SHORT
9.80
2015-Mar-03
CNX PHARMA SHORT
15.29
2015-Apr-08
CNX PSE SHORT
25.24
2008-Jan-04
CNX REALTY SHORT
90.30
2008-Jan-14
Banks and pharma down more than 15% from its April peak, Nifty 10% and MNC 7%…
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Index Update 30.05.2015

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 2015-05-29 png

index momentum best 50 2015-05-29 png

index momentum worst 365 2015-05-29 png

index momentum worst 50 2015-05-29 png

Categories Tags , ,

Index Update 23.05.2015

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 2015-05-22 png

index momentum best 50 2015-05-22 png

index momentum worst 365 2015-05-22 png

index momentum worst 50 2015-05-22 png

Refactored Index Performance

50-day performance, from March 10, 2015 through May 22, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +0.18% CPSE INDEX (CAP) +0.65%
CNX CONSUMPTION (EQUAL) -0.18% CNX ENERGY (CAP) +0.62%
CNX MNC (EQUAL) -0.51% CNX COMMODITIES (CAP) +0.18%
CPSE INDEX (EQUAL) -1.30% LIX15 Midcap (CAP) -0.22%
CNX AUTO (EQUAL) -1.93% CNX CONSUMPTION (CAP) -0.47%
NI15 (EQUAL) -2.68% CNX AUTO (CAP) -0.77%
CNX PSE (EQUAL) -2.78% CNX METAL (CAP) -1.07%
NV20 (EQUAL) -2.94% CNX PSE (CAP) -2.09%
CNX ENERGY (EQUAL) -3.00% NV20 (CAP) -2.62%
CNX COMMODITIES (EQUAL) -3.22% CNX MNC (CAP) -2.65%
LIX15 Midcap (EQUAL) -3.32% CNX INFRA (CAP) -2.72%
CNX INFRA (EQUAL) -3.69% CNX FMCG (CAP) -2.89%
CNX BANK (EQUAL) -3.93% NI15 (CAP) -3.22%
CNX MEDIA (EQUAL) -4.54% LIX 15 (CAP) -3.28%
CNX SERVICE (EQUAL) -4.60% CNX BANK (CAP) -3.29%
LIX 15 (EQUAL) -5.32% CNX SERVICE (CAP) -3.78%
CNX FINANCE (EQUAL) -6.11% CNX FINANCE (CAP) -3.85%
CNX IT (EQUAL) -7.33% CNX PSU BANK (CAP) -5.10%
CNX PSU BANK (EQUAL) -7.73% CNX IT (CAP) -5.34%
CNX REALTY (EQUAL) -8.10% CNX PHARMA (CAP) -5.88%
CNX METAL (EQUAL) -8.64% CNX MEDIA (CAP) -5.88%
CNX PHARMA (EQUAL) -9.85% CNX REALTY (CAP) -9.30%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.69
2015-Jan-27
CNX BANK SHORT
10.32
2015-Jan-27
CNX ENERGY SHORT
29.07
2008-Jan-14
CNX FMCG SHORT
9.54
2015-Feb-25
CNX INFRA SHORT
49.37
2008-Jan-09
CNX IT SHORT
87.72
2000-Feb-21
CNX MEDIA SHORT
29.01
2008-Jan-04
CNX METAL SHORT
56.14
2008-Jan-04
CNX MNC SHORT
3.97
2015-Mar-12
CNX NIFTY SHORT
5.97
2015-Mar-03
CNX PHARMA SHORT
8.25
2015-Apr-08
CNX PSE SHORT
26.16
2008-Jan-04
CNX REALTY SHORT
89.23
2008-Jan-14
Pharma and banks seem to be perking up.
And boy-oh-boy! MNCs have more or less covered their draw-down.
Categories Tags , ,

Index Update 16.05.2015

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 2015-05-15 png

index momentum best 50 2015-05-15 png

index momentum worst 365 2015-05-15 png

index momentum worst 50 2015-05-15 png

Refactored Index Performance

50-day performance, from March 02, 2015 through May 15, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +2.48% CNX CONSUMPTION (CAP) -1.65%
CNX MNC (EQUAL) -1.05% CNX AUTO (CAP) -3.03%
CNX CONSUMPTION (EQUAL) -1.17% CNX FMCG (CAP) -3.22%
NI15 (EQUAL) -3.04% CNX PHARMA (CAP) -3.66%
CNX AUTO (EQUAL) -3.47% CNX MNC (CAP) -4.11%
CNX MEDIA (EQUAL) -6.28% CPSE INDEX (CAP) -4.28%
CPSE INDEX (EQUAL) -6.60% CNX ENERGY (CAP) -4.36%
CNX INFRA (EQUAL) -7.32% CNX COMMODITIES (CAP) -5.60%
CNX PHARMA (EQUAL) -7.44% NI15 (CAP) -5.95%
CNX PSE (EQUAL) -7.49% LIX15 Midcap (CAP) -6.08%
NV20 (EQUAL) -7.55% CNX METAL (CAP) -6.69%
LIX15 Midcap (EQUAL) -8.18% CNX PSE (CAP) -7.01%
CNX COMMODITIES (EQUAL) -8.38% CNX PSU BANK (CAP) -7.08%
CNX ENERGY (EQUAL) -8.86% NV20 (CAP) -7.67%
CNX PSU BANK (EQUAL) -8.87% CNX INFRA (CAP) -7.67%
CNX BANK (EQUAL) -9.34% LIX 15 (CAP) -8.92%
CNX SERVICE (EQUAL) -9.86% CNX BANK (CAP) -9.13%
LIX 15 (EQUAL) -10.57% CNX SERVICE (CAP) -9.42%
CNX FINANCE (EQUAL) -10.84% CNX FINANCE (CAP) -9.51%
CNX METAL (EQUAL) -11.02% CNX MEDIA (CAP) -9.79%
CNX IT (EQUAL) -12.03% CNX IT (CAP) -11.63%
CNX REALTY (EQUAL) -16.15% CNX REALTY (CAP) -16.09%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.15
2015-Jan-27
CNX BANK SHORT
11.54
2015-Jan-27
CNX ENERGY SHORT
30.63
2008-Jan-14
CNX FMCG SHORT
10.31
2015-Feb-25
CNX INFRA SHORT
50.32
2008-Jan-09
CNX IT SHORT
88.30
2000-Feb-21
CNX MEDIA SHORT
31.75
2008-Jan-04
CNX METAL SHORT
55.90
2008-Jan-04
CNX MNC SHORT
5.04
2015-Mar-12
CNX NIFTY SHORT
8.16
2015-Mar-03
CNX PHARMA SHORT
11.11
2015-Apr-08
CNX PSE SHORT
27.10
2008-Jan-04
CNX REALTY SHORT
89.34
2008-Jan-14
It looks like Autos and Pharma may be green-shooting. A rate cut would help autos and rupee depreciation can act as a tailwind for pharma.
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