Tag: momentum

Index Update 06.02.2016

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:

index momentum best 365 2016-02-05 png

index momentum best 50 2016-02-05 png

index momentum worst 365 2016-02-05 png

index momentum worst 50 2016-02-05 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-05 png

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…
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Theme: Momentum Update 02.02.2016

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.

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Index Update 30.01.2016

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:

index momentum best 365 2016-01-29 png

index momentum best 50 2016-01-29 png

index momentum worst 365 2016-01-29 png

index momentum worst 50 2016-01-29 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-01-29 png

Refactored Index Performance

50-day performance, from November 18, 2015 through January 29, 2016:

Equally Weighted Market Cap. Weighted
ENERGY (EQUAL) +3.83% ENERGY (CAP) +8.25%
MEDIA (EQUAL) +3.69% MEDIA (CAP) +7.69%
COMMODITIES (EQUAL) -0.35% IT (CAP) +6.52%
IT (EQUAL) -1.43% COMMODITIES (CAP) +3.03%
CONSUMPTION (EQUAL) -1.51% GROWSECT 15 (CAP) +1.60%
PSE (EQUAL) -1.85% PHARMA (CAP) +0.40%
GROWSECT 15 (EQUAL) -2.00% QUALITY 30 (CAP) -0.04%
QUALITY 30 (EQUAL) -2.41% VALUE 20 (CAP) -0.29%
CPSE (EQUAL) -3.20% PSE (CAP) -0.63%
SERV SECTOR (EQUAL) -3.85% SERV SECTOR (CAP) -1.63%
VALUE 20 (EQUAL) -3.95% CPSE (CAP) -2.70%
PHARMA (EQUAL) -4.70% METAL (CAP) -3.13%
AUTO (EQUAL) -5.34% CONSUMPTION (CAP) -4.37%
INFRA (EQUAL) -5.48% FIN SERVICE (CAP) -6.21%
FMCG (EQUAL) -6.20% FMCG (CAP) -6.33%
REALTY (EQUAL) -6.74% REALTY (CAP) -6.38%
METAL (EQUAL) -6.81% AUTO (CAP) -7.04%
LIQ 15 (EQUAL) -7.27% MNC (CAP) -7.34%
FIN SERVICE (EQUAL) -8.18% MIDCAP LIQUID 15 (CAP) -7.34%
MNC (EQUAL) -8.21% BANK (CAP) -7.88%
MIDCAP LIQUID 15 (EQUAL) -8.49% INFRA (CAP) -9.87%
BANK (EQUAL) -13.26% LIQ 15 (CAP) -10.92%
PSU BANK (EQUAL) -24.84% PSU BANK (CAP) -25.75%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
16.42
2015-Jan-27
NIFTY BANK SHORT
24.48
2015-Jan-27
NIFTY COMMODITIES LONG
37.22
2008-Jan-04
NIFTY CONSUMPTION SHORT
10.38
2015-Aug-05
NIFTY ENERGY LONG
29.10
2008-Jan-14
NIFTY FIN SERVICE SHORT
21.30
2015-Jan-28
NIFTY FMCG SHORT
14.18
2015-Feb-25
NIFTY INFRA SHORT
61.28
2008-Jan-09
NIFTY IT LONG
88.23
2000-Feb-21
NIFTY MEDIA LONG
16.13
2008-Jan-04
NIFTY METAL LONG
69.81
2008-Jan-04
NIFTY MNC LONG
17.75
2015-Aug-10
NIFTY PHARMA LONG
15.00
2015-Apr-08
NIFTY PSE LONG
36.55
2008-Jan-04
NIFTY PSU BANK SHORT
57.35
2010-Nov-05
NIFTY REALTY LONG
91.83
2008-Jan-14
NIFTY SERV SECTOR SHORT
16.69
2015-Mar-03
Pharma seems to be clawing its way back up the momentum charts…
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Index Update 16.01.2016

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:

index momentum best 365 2016-01-15 png

index momentum best 50 2016-01-15 png

index momentum worst 365 2016-01-15 png

index momentum worst 50 2016-01-15 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-01-15 png

Refactored Index Performance

50-day performance, from November 03, 2015 through January 15, 2016:

Equally Weighted Market Cap. Weighted
MEDIA (EQUAL) +1.60% ENERGY (CAP) +4.06%
ENERGY (EQUAL) +0.39% MEDIA (CAP) -0.99%
CONSUMPTION (EQUAL) -2.87% COMMODITIES (CAP) -1.28%
COMMODITIES (EQUAL) -4.49% IT (CAP) -4.54%
PSE (EQUAL) -4.61% CONSUMPTION (CAP) -4.66%
IT (EQUAL) -4.72% PSE (CAP) -4.91%
CPSE (EQUAL) -6.20% FMCG (CAP) -5.61%
QUALITY 30 (EQUAL) -6.21% QUALITY 30 (CAP) -6.33%
FMCG (EQUAL) -6.30% METAL (CAP) -6.64%
AUTO (EQUAL) -6.88% GROWSECT 15 (CAP) -6.65%
INFRA (EQUAL) -7.91% AUTO (CAP) -6.87%
GROWSECT 15 (EQUAL) -7.97% CPSE (CAP) -7.24%
VALUE 20 (EQUAL) -8.67% VALUE 20 (CAP) -7.28%
METAL (EQUAL) -9.06% MNC (CAP) -8.10%
SERV SECTOR (EQUAL) -9.23% SERV SECTOR (CAP) -8.49%
MNC (EQUAL) -9.81% MIDCAP LIQUID 15 (CAP) -9.19%
MIDCAP LIQUID 15 (EQUAL) -11.01% FIN SERVICE (CAP) -11.37%
LIQ 15 (EQUAL) -12.22% BANK (CAP) -12.46%
REALTY (EQUAL) -12.81% INFRA (CAP) -12.63%
PHARMA (EQUAL) -12.84% REALTY (CAP) -12.74%
FIN SERVICE (EQUAL) -13.49% PHARMA (CAP) -13.74%
BANK (EQUAL) -16.67% LIQ 15 (CAP) -14.14%
PSU BANK (EQUAL) -25.89% PSU BANK (CAP) -23.64%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
17.09
2015-Jan-27
NIFTY BANK LONG
26.02
2015-Jan-27
NIFTY COMMODITIES SHORT
37.60
2008-Jan-04
NIFTY CONSUMPTION LONG
10.19
2015-Aug-05
NIFTY ENERGY SHORT
28.34
2008-Jan-14
NIFTY FIN SERVICE LONG
22.84
2015-Jan-28
NIFTY FMCG LONG
14.35
2015-Feb-25
NIFTY INFRA LONG
60.96
2008-Jan-09
NIFTY IT SHORT
88.49
2000-Feb-21
NIFTY MEDIA LONG
18.33
2008-Jan-04
NIFTY METAL LONG
70.43
2008-Jan-04
NIFTY MNC LONG
15.76
2015-Aug-10
NIFTY PHARMA LONG
18.59
2015-Apr-08
NIFTY PSE SHORT
36.99
2008-Jan-04
NIFTY PSU BANK LONG
56.98
2010-Nov-05
NIFTY REALTY LONG
91.74
2008-Jan-14
NIFTY SERV SECTOR LONG
18.49
2015-Mar-03
Pretty much every sub-index has a negative 50-day return…
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Theme: Momentum Update 01.01.2016

held since returns (%)
TATAELXSI
2015-Sep-07
+27.09
CAPLIPOINT
2015-Sep-07
-3.89
GAYAPROJ
2015-Sep-07
+75.96
SANGAMIND
2015-Sep-07
+38.79
TAKE
2015-Sep-07
+55.67
JUBILANT
2015-Oct-06
+4.25
NCLIND
2015-Oct-06
+46.64
ICIL
2015-Nov-02
+23.28
SRIPIPES
2015-Nov-02
-14.51
NDL
2015-Nov-02
+14.90
LYKALABS
2015-Nov-02
+17.59
EMMBI
2015-Nov-02
+45.50
MIC
2015-Nov-02
+20.10
NAVINFLUOR
2015-Dec-01
+0.06
8KMILES
2015-Dec-01
+15.74
RAJESHEXPO
2015-Dec-01
-5.41
ISFT
2015-Dec-01
-11.55
RUSHIL
2015-Dec-01
+2.76
DEEPIND
2015-Dec-01
-12.05
ESTER
2015-Dec-01
-2.57
Since the last rebalance on 2015-Dec-01 till 2015-Dec-31, this strategy has returned -0.40%

You can find more details about the Momentum Theme here.

Categories Tags ,