Tag: momentum

Theme: Momentum Update 02.11.2015

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We rebalanced the Momentum (relative momentum) Theme today. Here is how the previous portfolio performed.

Details

held since returns (%)
KEI
2015-Aug-10
-10.60
TATAELXSI
2015-Sep-07
+3.64
CAPLIPOINT
2015-Sep-07
-15.22
8KMILES
2015-Sep-07
+40.95
RAJESHEXPO
2015-Sep-07
+37.76
GAYAPROJ
2015-Sep-07
+69.07
SANGAMIND
2015-Sep-07
+12.68
BLISSGVS
2015-Sep-07
+8.05
SKMEGGPROD
2015-Sep-07
+33.08
TAKE
2015-Sep-07
+65.22
MIRZAINT
2015-Sep-07
+30.75
CANFINHOME
2015-Oct-06
+3.98
JKIL
2015-Oct-06
-10.38
SHASUNPHAR
2015-Oct-06
+2.80
JUBILANT
2015-Oct-06
+4.84
DISHMAN
2015-Oct-06
-5.30
JUBLINDS
2015-Oct-06
-20.69
TIRUMALCHM
2015-Oct-06
-21.34
HIMATSEIDE
2015-Oct-06
-5.67
NCLIND
2015-Oct-06
+10.65
Since the last rebalance on 2015-Oct-06 till 2015-Oct-30, this strategy has returned -3.15%

You can find more details about the Momentum Theme here.

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Index Update 31.10.2015

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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 2015-10-30 png

index momentum best 50 2015-10-30 png

index momentum worst 365 2015-10-30 png

index momentum worst 50 2015-10-30 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-30 png

Refactored Index Performance

50-day performance, from August 18, 2015 through October 30, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +1.01% CNX PHARMA (CAP) +1.45%
CNX ENERGY (EQUAL) +0.66% CNX FMCG (CAP) -0.74%
CNX PHARMA (EQUAL) -0.32% CNX ENERGY (CAP) -1.02%
CNX INFRA (EQUAL) -1.10% CNX REALTY (CAP) -1.82%
CNX COMMODITIES (EQUAL) -2.12% NSE QUALITY 30 (CAP) -2.22%
CNX CONSUMPTION (EQUAL) -2.82% CNX MEDIA (CAP) -2.31%
NI15 (EQUAL) -3.17% NI15 (CAP) -2.35%
CNX FINANCE (EQUAL) -4.18% CNX CONSUMPTION (CAP) -2.57%
NSE QUALITY 30 (EQUAL) -4.20% CNX COMMODITIES (CAP) -3.04%
CNX PSE (EQUAL) -4.60% CNX IT (CAP) -5.04%
CNX FMCG (EQUAL) -5.64% CNX FINANCE (CAP) -5.11%
CNX IT (EQUAL) -5.85% CNX SERVICE (CAP) -5.54%
CPSE INDEX (EQUAL) -6.42% CNX AUTO (CAP) -6.50%
CNX SERVICE (EQUAL) -6.45% CNX METAL (CAP) -6.52%
CNX MNC (EQUAL) -7.44% CNX PSE (CAP) -7.06%
CNX METAL (EQUAL) -7.68% NV20 (CAP) -7.19%
LIX 15 (EQUAL) -7.99% CNX MNC (CAP) -7.43%
LIX15 Midcap (EQUAL) -8.32% CNX BANK (CAP) -7.68%
NV20 (EQUAL) -8.44% CPSE INDEX (CAP) -7.70%
CNX MEDIA (EQUAL) -9.15% LIX15 Midcap (CAP) -8.33%
CNX AUTO (EQUAL) -9.60% LIX 15 (CAP) -8.91%
CNX BANK (EQUAL) -14.15% CNX INFRA (CAP) -11.84%
CNX PSU BANK (EQUAL) -17.51% CNX PSU BANK (CAP) -18.66%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
11.07
2015-Jan-27
CNX BANK LONG
15.57
2015-Jan-27
CNX COMMODITIES SHORT
35.27
2008-Jan-04
CNX CONSUMPTION SHORT
6.47
2015-Aug-05
CNX ENERGY SHORT
32.57
2008-Jan-14
CNX FMCG LONG
9.76
2015-Feb-25
CNX INFRA LONG
54.74
2008-Jan-09
CNX IT LONG
87.97
2000-Feb-21
CNX MEDIA LONG
18.27
2008-Jan-04
CNX METAL SHORT
67.13
2008-Jan-04
CNX MNC SHORT
9.13
2015-Aug-10
CNX NIFTY LONG
10.34
2015-Mar-03
CNX PHARMA SHORT
4.78
2015-Apr-08
CNX PSE LONG
34.72
2008-Jan-04
CNX PSU BANK LONG
43.64
2010-Nov-05
CNX REALTY LONG
90.63
2008-Jan-14
CNX SERVICE LONG
10.93
2015-Mar-03
Relative Strength Spread widened out – a good sign for momentum strategies. Metals, infra and energy indices continued to troll the depths. Pharma was the strongest.
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Index Update 17.10.2015

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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 2015-10-16 png

index momentum best 50 2015-10-16 png

index momentum worst 365 2015-10-16 png

index momentum worst 50 2015-10-16 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-16 png

Refactored Index Performance

50-day performance, from August 05, 2015 through October 16, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +2.75% CNX PHARMA (CAP) +5.01%
CNX REALTY (EQUAL) +1.57% CNX REALTY (CAP) +0.57%
CNX IT (EQUAL) -2.27% NI15 (CAP) -0.58%
CNX ENERGY (EQUAL) -2.77% CNX MEDIA (CAP) -0.81%
NI15 (EQUAL) -2.84% NSE QUALITY 30 (CAP) -1.25%
NSE QUALITY 30 (EQUAL) -3.24% CNX IT (CAP) -1.61%
CNX MEDIA (EQUAL) -3.27% CNX FMCG (CAP) -3.15%
CNX INFRA (EQUAL) -3.74% CNX CONSUMPTION (CAP) -3.58%
CNX SERVICE (EQUAL) -4.38% CNX SERVICE (CAP) -3.76%
CNX FINANCE (EQUAL) -4.92% CNX FINANCE (CAP) -4.16%
LIX15 Midcap (EQUAL) -5.00% LIX15 Midcap (CAP) -5.06%
CNX CONSUMPTION (EQUAL) -5.13% CNX ENERGY (CAP) -5.38%
CNX COMMODITIES (EQUAL) -5.94% CNX BANK (CAP) -5.47%
LIX 15 (EQUAL) -6.50% CNX AUTO (CAP) -5.94%
NV20 (EQUAL) -6.72% NV20 (CAP) -6.15%
CNX BANK (EQUAL) -6.74% CNX COMMODITIES (CAP) -7.72%
CNX PSE (EQUAL) -7.40% LIX 15 (CAP) -7.98%
CNX AUTO (EQUAL) -7.49% CNX MNC (CAP) -8.60%
CPSE INDEX (EQUAL) -8.32% CNX INFRA (CAP) -9.06%
CNX PSU BANK (EQUAL) -8.45% CNX PSE (CAP) -9.41%
CNX MNC (EQUAL) -8.57% CNX PSU BANK (CAP) -9.89%
CNX FMCG (EQUAL) -8.98% CPSE INDEX (CAP) -10.29%
CNX METAL (EQUAL) -10.22% CNX METAL (CAP) -13.97%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
9.15
2015-Jan-27
CNX BANK SHORT
12.86
2015-Jan-27
CNX COMMODITIES LONG
34.08
2008-Jan-04
CNX CONSUMPTION SHORT
5.14
2015-Aug-05
CNX ENERGY LONG
32.46
2008-Jan-14
CNX FMCG SHORT
8.34
2015-Feb-25
CNX INFRA LONG
51.93
2008-Jan-09
CNX IT LONG
88.13
2000-Feb-21
CNX MEDIA LONG
15.16
2008-Jan-04
CNX METAL LONG
65.79
2008-Jan-04
CNX MNC SHORT
9.23
2015-Aug-10
CNX NIFTY SHORT
8.43
2015-Mar-03
CNX PHARMA SHORT
4.54
2015-Apr-08
CNX PSE LONG
32.11
2008-Jan-04
CNX PSU BANK SHORT
39.36
2010-Nov-05
CNX REALTY SHORT
90.28
2008-Jan-14
CNX SERVICE SHORT
9.35
2015-Mar-03
A retracement is underway for most indices. CNX 100 broke about its 50-day SMA, activating the Tactical CNX 100 Theme. With most companies yet to announce their results, curb your enthusiasm.
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Relative Strength Spread Charts

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What is Relative Strength Spread?

Relative Strength Spread of a stock is the relative cumulative performance of the stock vs. the CNX 500 index over the same period.

We had discussed how the Relative Strength Spread Index is a coincident indicator of momentum earlier. With a new update, we are publishing charts of relative strengths of individual stocks over multiple lookback periods. This can be found under the ‘Quant’ tab of the equity pages.

How to interpret Relative Strength Spread?

Relative Strength Spread is a measure of historical out-performance. By observing the RS-Spread over different lookback periods, investors can get a sense of future direction of momentum. For example, if you look at the RS-Spread of TATAMOTORS, you can observe how the stock lagged the broad market for the better part of the year before suddenly turning around in the last few days.

TATAMOTORS.relstrength

Now contrast that to BHARATFORG:

BHARATFORG.relstrength

Unlike a price or return chart that looks at an individual stock, the RS-Spread chart incorporates information from a broad set of stocks and compares it to the market average. It has more information content than the ‘Relative Momentum’ chart as well.

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Index Update 10.10.2015

0

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 2015-10-09 png

index momentum best 50 2015-10-09 png

index momentum worst 365 2015-10-09 png

index momentum worst 50 2015-10-09 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-10-09 png

Refactored Index Performance

50-day performance, from July 29, 2015 through October 09, 2015:

Equally Weighted Market Cap. Weighted
CNX REALTY (EQUAL) +8.52% CNX REALTY (CAP) +11.07%
CNX PHARMA (EQUAL) +8.28% CNX PHARMA (CAP) +10.83%
CNX PSU BANK (EQUAL) +5.73% NI15 (CAP) +5.10%
CNX IT (EQUAL) +3.39% CNX IT (CAP) +4.48%
NI15 (EQUAL) +1.61% CNX FMCG (CAP) +2.82%
LIX15 Midcap (EQUAL) +0.56% NSE QUALITY 30 (CAP) +2.81%
NSE QUALITY 30 (EQUAL) -0.32% CNX PSU BANK (CAP) +0.88%
CNX SERVICE (EQUAL) -1.50% CNX CONSUMPTION (CAP) +0.22%
CNX CONSUMPTION (EQUAL) -1.58% CNX MEDIA (CAP) -0.50%
CNX MEDIA (EQUAL) -1.61% CNX SERVICE (CAP) -1.64%
CNX BANK (EQUAL) -1.79% LIX15 Midcap (CAP) -1.85%
CNX INFRA (EQUAL) -2.26% NV20 (CAP) -2.81%
CNX AUTO (EQUAL) -2.85% CNX FINANCE (CAP) -3.56%
CNX FINANCE (EQUAL) -3.09% CNX AUTO (CAP) -3.74%
NV20 (EQUAL) -4.37% CNX BANK (CAP) -4.05%
CNX FMCG (EQUAL) -4.42% CNX MNC (CAP) -6.36%
CNX ENERGY (EQUAL) -4.73% CNX ENERGY (CAP) -7.80%
LIX 15 (EQUAL) -5.13% LIX 15 (CAP) -7.87%
CNX COMMODITIES (EQUAL) -5.83% CNX COMMODITIES (CAP) -8.63%
CNX MNC (EQUAL) -6.43% CPSE INDEX (CAP) -9.24%
CPSE INDEX (EQUAL) -7.50% CNX INFRA (CAP) -10.30%
CNX PSE (EQUAL) -8.80% CNX PSE (CAP) -10.51%
CNX METAL (EQUAL) -9.31% CNX METAL (CAP) -13.10%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.52
2015-Jan-27
CNX BANK LONG
14.42
2015-Jan-27
CNX COMMODITIES LONG
35.32
2008-Jan-04
CNX CONSUMPTION LONG
5.71
2015-Aug-05
CNX ENERGY LONG
33.93
2008-Jan-14
CNX FMCG LONG
7.96
2015-Feb-25
CNX INFRA LONG
53.04
2008-Jan-09
CNX IT SHORT
87.64
2000-Feb-21
CNX MEDIA LONG
18.06
2008-Jan-04
CNX METAL LONG
66.60
2008-Jan-04
CNX MNC SHORT
9.28
2015-Aug-10
CNX NIFTY LONG
8.97
2015-Mar-03
CNX PHARMA LONG
4.00
2015-Apr-08
CNX PSE LONG
33.36
2008-Jan-04
CNX PSU BANK SHORT
40.81
2010-Nov-05
CNX REALTY LONG
90.30
2008-Jan-14
CNX SERVICE LONG
9.02
2015-Mar-03
And just like that, momentum is back!
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