Tag: momentum

Index Update 19.12.2015

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 2015-12-18 png

index momentum best 50 2015-12-18 png

index momentum worst 365 2015-12-18 png

index momentum worst 50 2015-12-18 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-18 png

Refactored Index Performance

50-day performance, from October 06, 2015 through December 18, 2015:

Equally Weighted Market Cap. Weighted
METAL (EQUAL) +4.55% ENERGY (CAP) +4.49%
ENERGY (EQUAL) +2.36% MEDIA (CAP) +4.07%
CONSUMPTION (EQUAL) +2.08% COMMODITIES (CAP) +1.92%
MEDIA (EQUAL) +1.71% AUTO (CAP) +1.75%
COMMODITIES (EQUAL) +0.95% METAL (CAP) +0.42%
INFRA (EQUAL) +0.01% CONSUMPTION (CAP) -1.13%
PSE (EQUAL) -0.29% MNC (CAP) -1.19%
LIQ 15 (EQUAL) -0.48% LIQ 15 (CAP) -2.33%
FMCG (EQUAL) -2.07% PSE (CAP) -3.51%
AUTO (EQUAL) -2.43% VALUE 20 (CAP) -4.15%
VALUE 20 (EQUAL) -2.62% FMCG (CAP) -4.20%
QUALITY 30 (EQUAL) -2.79% QUALITY 30 (CAP) -5.16%
MNC (EQUAL) -3.03% FIN SERVICE (CAP) -5.16%
REALTY (EQUAL) -4.19% MIDCAP LIQUID 15 (CAP) -5.41%
SERV SECTOR (EQUAL) -4.50% SERV SECTOR (CAP) -5.43%
CPSE (EQUAL) -4.51% BANK (CAP) -5.83%
MIDCAP LIQUID 15 (EQUAL) -4.80% REALTY (CAP) -6.50%
FIN SERVICE (EQUAL) -4.93% IT (CAP) -6.88%
GROWSECT 15 (EQUAL) -5.63% CPSE (CAP) -6.96%
IT (EQUAL) -5.79% GROWSECT 15 (CAP) -7.03%
PHARMA (EQUAL) -7.30% PSU BANK (CAP) -7.93%
BANK (EQUAL) -8.55% INFRA (CAP) -8.28%
PSU BANK (EQUAL) -8.75% PHARMA (CAP) -12.16%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
11.21
2015-Jan-27
NIFTY BANK LONG
19.27
2015-Jan-27
NIFTY COMMODITIES SHORT
36.24
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.41
2015-Aug-05
NIFTY ENERGY LONG
31.09
2008-Jan-14
NIFTY FIN SERVICE SHORT
16.66
2015-Jan-28
NIFTY FMCG SHORT
11.13
2015-Feb-25
NIFTY INFRA SHORT
57.24
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
15.34
2008-Jan-04
NIFTY METAL LONG
67.73
2008-Jan-04
NIFTY MNC LONG
10.02
2015-Aug-10
NIFTY PHARMA LONG
15.67
2015-Apr-08
NIFTY PSE LONG
35.76
2008-Jan-04
NIFTY PSU BANK LONG
45.99
2010-Nov-05
NIFTY REALTY LONG
91.07
2008-Jan-14
NIFTY SERV SECTOR SHORT
14.23
2015-Mar-03
Auto and Pharma – the darlings of days past.
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Index Update 12.12.2015

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 2015-12-11 png

index momentum best 50 2015-12-11 png

index momentum worst 365 2015-12-11 png

index momentum worst 50 2015-12-11 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-11 png

Refactored Index Performance

50-day performance, from September 28, 2015 through December 11, 2015:

Equally Weighted Market Cap. Weighted
METAL (EQUAL) +5.60% ENERGY (CAP) +7.18%
ENERGY (EQUAL) +3.66% AUTO (CAP) +4.84%
CONSUMPTION (EQUAL) +3.63% COMMODITIES (CAP) +4.41%
COMMODITIES (EQUAL) +3.03% METAL (CAP) +3.04%
INFRA (EQUAL) +1.73% MEDIA (CAP) +2.23%
FMCG (EQUAL) +0.22% CONSUMPTION (CAP) +2.17%
PSE (EQUAL) +0.15% FMCG (CAP) +1.00%
VALUE 20 (EQUAL) -0.92% PSE (CAP) -0.81%
LIQ 15 (EQUAL) -1.16% LIQ 15 (CAP) -1.54%
MEDIA (EQUAL) -1.29% VALUE 20 (CAP) -1.78%
AUTO (EQUAL) -1.42% CPSE (CAP) -1.86%
CPSE (EQUAL) -1.70% MNC (CAP) -1.90%
QUALITY 30 (EQUAL) -2.14% QUALITY 30 (CAP) -2.97%
REALTY (EQUAL) -2.41% FIN SERVICE (CAP) -3.10%
MNC (EQUAL) -2.78% MIDCAP LIQUID 15 (CAP) -3.58%
FIN SERVICE (EQUAL) -3.01% SERV SECTOR (CAP) -4.02%
SERV SECTOR (EQUAL) -3.52% BANK (CAP) -4.50%
MIDCAP LIQUID 15 (EQUAL) -3.55% GROWSECT 15 (CAP) -4.58%
GROWSECT 15 (EQUAL) -3.70% INFRA (CAP) -4.68%
IT (EQUAL) -6.01% REALTY (CAP) -5.61%
PHARMA (EQUAL) -6.57% IT (CAP) -6.36%
BANK (EQUAL) -7.75% PSU BANK (CAP) -7.54%
PSU BANK (EQUAL) -8.82% PHARMA (CAP) -11.39%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
12.71
2015-Jan-27
NIFTY BANK LONG
20.49
2015-Jan-27
NIFTY COMMODITIES LONG
38.18
2008-Jan-04
NIFTY CONSUMPTION LONG
7.56
2015-Aug-05
NIFTY ENERGY LONG
33.38
2008-Jan-14
NIFTY FIN SERVICE LONG
18.47
2015-Jan-28
NIFTY FMCG LONG
11.98
2015-Feb-25
NIFTY INFRA LONG
58.43
2008-Jan-09
NIFTY IT SHORT
88.44
2000-Feb-21
NIFTY MEDIA SHORT
19.15
2008-Jan-04
NIFTY METAL LONG
69.06
2008-Jan-04
NIFTY MNC LONG
12.51
2015-Aug-10
NIFTY PHARMA SHORT
17.70
2015-Apr-08
NIFTY PSE LONG
37.51
2008-Jan-04
NIFTY PSU BANK LONG
46.32
2010-Nov-05
NIFTY REALTY LONG
91.37
2008-Jan-14
NIFTY SERV SECTOR LONG
16.10
2015-Mar-03
All eyes on the Fed…
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Index Update 05.12.2015

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 2015-12-04 png

index momentum best 50 2015-12-04 png

index momentum worst 365 2015-12-04 png

index momentum worst 50 2015-12-04 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-04 png

Refactored Index Performance

50-day performance, from September 18, 2015 through December 04, 2015:

Equally Weighted Market Cap. Weighted
ENERGY (EQUAL) +6.71% AUTO (CAP) +5.18%
INFRA (EQUAL) +6.01% ENERGY (CAP) +4.83%
CONSUMPTION (EQUAL) +4.41% CONSUMPTION (CAP) +3.75%
METAL (EQUAL) +4.31% FMCG (CAP) +3.06%
COMMODITIES (EQUAL) +3.83% COMMODITIES (CAP) +2.26%
PSE (EQUAL) +2.97% MEDIA (CAP) +1.52%
MEDIA (EQUAL) +2.94% REALTY (CAP) +0.78%
CPSE (EQUAL) +2.91% CPSE (CAP) -0.29%
REALTY (EQUAL) +2.67% MIDCAP LIQUID 15 (CAP) -0.30%
MIDCAP LIQUID 15 (EQUAL) +0.83% METAL (CAP) -0.32%
PSU BANK (EQUAL) +0.79% PSE (CAP) -0.83%
FMCG (EQUAL) +0.35% MNC (CAP) -1.71%
FIN SERVICE (EQUAL) -0.35% LIQ 15 (CAP) -1.83%
AUTO (EQUAL) -0.51% PSU BANK (CAP) -1.88%
VALUE 20 (EQUAL) -0.83% VALUE 20 (CAP) -1.90%
QUALITY 30 (EQUAL) -1.86% QUALITY 30 (CAP) -2.47%
LIQ 15 (EQUAL) -2.06% FIN SERVICE (CAP) -2.67%
PHARMA (EQUAL) -2.17% BANK (CAP) -3.00%
SERV SECTOR (EQUAL) -2.56% GROWSECT 15 (CAP) -3.43%
GROWSECT 15 (EQUAL) -2.71% SERV SECTOR (CAP) -3.99%
MNC (EQUAL) -3.08% IT (CAP) -6.33%
IT (EQUAL) -4.93% INFRA (CAP) -6.52%
BANK (EQUAL) -5.06% PHARMA (CAP) -8.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
9.44
2015-Jan-27
NIFTY BANK SHORT
17.80
2015-Jan-27
NIFTY COMMODITIES SHORT
35.95
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.81
2015-Aug-05
NIFTY ENERGY SHORT
31.97
2008-Jan-14
NIFTY FIN SERVICE SHORT
16.57
2015-Jan-28
NIFTY FMCG SHORT
9.90
2015-Feb-25
NIFTY INFRA SHORT
56.92
2008-Jan-09
NIFTY IT SHORT
88.51
2000-Feb-21
NIFTY MEDIA LONG
18.62
2008-Jan-04
NIFTY METAL LONG
67.66
2008-Jan-04
NIFTY MNC SHORT
11.10
2015-Aug-10
NIFTY PHARMA SHORT
15.81
2015-Apr-08
NIFTY PSE SHORT
35.06
2008-Jan-04
NIFTY PSU BANK LONG
42.61
2010-Nov-05
NIFTY REALTY LONG
90.84
2008-Jan-14
NIFTY SERV SECTOR SHORT
14.66
2015-Mar-03
NIFTY MNC has been trailing lately. Is the trade overdone?
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Theme: Momentum Update 01.12.2015

Introduction

Our relative momentum strategy, simply called Momentum, is our longest-running momentum strategy. Between its inception in Aug 2013 and now, it has clocked an impressive +212% translating to an IRR of about +65%.

Performance summary

held since returns (%)
KEI
2015-Aug-10
-3.38
TATAELXSI
2015-Sep-07
+16.24
CAPLIPOINT
2015-Sep-07
-5.33
GAYAPROJ
2015-Sep-07
+88.39
SANGAMIND
2015-Sep-07
+30.35
TAKE
2015-Sep-07
+86.91
MIRZAINT
2015-Sep-07
+46.51
JUBILANT
2015-Oct-06
+5.36
NCLIND
2015-Oct-06
+45.48
NILKAMAL
2015-Nov-02
+5.41
ICIL
2015-Nov-02
+16.02
KPRMILL
2015-Nov-02
+4.05
VADILALIND
2015-Nov-02
+12.26
SRIPIPES
2015-Nov-02
-8.64
NDL
2015-Nov-02
+9.77
LYKALABS
2015-Nov-02
+19.55
NIBL
2015-Nov-02
-1.20
EMMBI
2015-Nov-02
+55.53
IZMO
2015-Nov-02
+37.54
MIC
2015-Nov-02
+13.82
Since the last rebalance on 2015-Nov-02 till 2015-Nov-30, this strategy has returned +13.31%

You can find more details about the Momentum Theme here.

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Index Update 28.11.2015

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 2015-11-27 png

index momentum best 50 2015-11-27 png

index momentum worst 365 2015-11-27 png

index momentum worst 50 2015-11-27 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-27 png

Refactored Index Performance

50-day performance, from September 10, 2015 through November 27, 2015:

Equally Weighted Market Cap. Weighted
PSU BANK (EQUAL) +10.68% ENERGY (CAP) +10.44%
ENERGY (EQUAL) +10.51% PSU BANK (CAP) +8.58%
INFRA (EQUAL) +10.04% AUTO (CAP) +7.34%
REALTY (EQUAL) +7.90% CONSUMPTION (CAP) +7.16%
CONSUMPTION (EQUAL) +6.18% FMCG (CAP) +5.90%
FIN SERVICE (EQUAL) +5.16% REALTY (CAP) +4.96%
MIDCAP LIQUID 15 (EQUAL) +4.47% FIN SERVICE (CAP) +4.80%
BANK (EQUAL) +4.21% BANK (CAP) +4.63%
PSE (EQUAL) +4.06% MEDIA (CAP) +4.37%
SERV SECTOR (EQUAL) +3.88% COMMODITIES (CAP) +4.36%
COMMODITIES (EQUAL) +3.85% LIQ 15 (CAP) +3.19%
VALUE 20 (EQUAL) +3.77% VALUE 20 (CAP) +3.01%
CPSE (EQUAL) +3.43% CPSE (CAP) +2.75%
AUTO (EQUAL) +3.17% MIDCAP LIQUID 15 (CAP) +2.58%
METAL (EQUAL) +1.61% PSE (CAP) +2.56%
FMCG (EQUAL) +1.44% SERV SECTOR (CAP) +2.42%
MEDIA (EQUAL) +0.75% QUALITY 30 (CAP) +0.44%
GROWSECT 15 (EQUAL) +0.66% MNC (CAP) +0.11%
QUALITY 30 (EQUAL) +0.54% GROWSECT 15 (CAP) +0.06%
LIQ 15 (EQUAL) +0.37% METAL (CAP) -2.32%
PHARMA (EQUAL) +0.14% IT (CAP) -2.71%
IT (EQUAL) -0.47% INFRA (CAP) -4.01%
MNC (EQUAL) -1.48% PHARMA (CAP) -6.12%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
7.21
2015-Jan-27
NIFTY BANK SHORT
15.49
2015-Jan-27
NIFTY COMMODITIES SHORT
35.90
2008-Jan-04
NIFTY CONSUMPTION LONG
4.30
2015-Aug-05
NIFTY ENERGY LONG
31.03
2008-Jan-14
NIFTY FIN SERVICE SHORT
13.83
2015-Jan-28
NIFTY FMCG SHORT
8.34
2015-Feb-25
NIFTY INFRA SHORT
55.79
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
17.55
2008-Jan-04
NIFTY METAL SHORT
68.40
2008-Jan-04
NIFTY MNC SHORT
10.52
2015-Aug-10
NIFTY PHARMA SHORT
16.37
2015-Apr-08
NIFTY PSE SHORT
34.30
2008-Jan-04
NIFTY PSU BANK SHORT
40.16
2010-Nov-05
NIFTY REALTY SHORT
90.89
2008-Jan-14
NIFTY SERV SECTOR SHORT
12.35
2015-Mar-03
Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.
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