Tag: momentum

Index Update 19.09.2015

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 2015-09-18 png

index momentum best 50 2015-09-18 png

index momentum worst 365 2015-09-18 png

index momentum worst 50 2015-09-18 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-18 png

Refactored Index Performance

50-day performance, from July 10, 2015 through September 18, 2015:

Equally Weighted Market Cap. Weighted
CNX MEDIA (EQUAL) +4.36% CNX IT (CAP) +10.26%
CNX IT (EQUAL) +3.67% CNX MEDIA (CAP) +7.19%
CNX PHARMA (EQUAL) +1.13% NI15 (CAP) +3.25%
NI15 (EQUAL) -0.07% NSE QUALITY 30 (CAP) +1.84%
NSE QUALITY 30 (EQUAL) -0.29% CNX PHARMA (CAP) +1.72%
CNX AUTO (EQUAL) -1.17% CNX FMCG (CAP) -1.96%
CNX CONSUMPTION (EQUAL) -3.57% CNX SERVICE (CAP) -2.30%
CNX SERVICE (EQUAL) -3.59% CNX CONSUMPTION (CAP) -2.49%
CNX REALTY (EQUAL) -4.07% CNX MNC (CAP) -4.25%
CNX MNC (EQUAL) -4.42% NV20 (CAP) -4.65%
CNX FMCG (EQUAL) -4.56% CNX AUTO (CAP) -4.75%
LIX15 Midcap (EQUAL) -5.98% LIX15 Midcap (CAP) -4.75%
CNX BANK (EQUAL) -6.21% CNX REALTY (CAP) -4.95%
LIX 15 (EQUAL) -6.50% CNX PSU BANK (CAP) -6.83%
CNX FINANCE (EQUAL) -6.77% CNX BANK (CAP) -7.11%
NV20 (EQUAL) -6.83% CNX FINANCE (CAP) -7.44%
CNX PSU BANK (EQUAL) -8.74% LIX 15 (CAP) -9.25%
CNX COMMODITIES (EQUAL) -9.06% CNX ENERGY (CAP) -10.50%
CNX ENERGY (EQUAL) -9.65% CNX COMMODITIES (CAP) -10.85%
CNX INFRA (EQUAL) -10.71% CNX PSE (CAP) -12.33%
CNX PSE (EQUAL) -11.16% CNX INFRA (CAP) -12.99%
CPSE INDEX (EQUAL) -12.55% CPSE INDEX (CAP) -15.78%
CNX METAL (EQUAL) -16.83% CNX METAL (CAP) -17.96%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.81
2015-Jan-27
CNX BANK LONG
15.31
2015-Jan-27
CNX COMMODITIES SHORT
36.65
2008-Jan-04
CNX CONSUMPTION LONG
8.85
2015-Aug-05
CNX ENERGY LONG
35.02
2008-Jan-14
CNX FMCG SHORT
12.55
2015-Feb-25
CNX INFRA LONG
53.46
2008-Jan-09
CNX IT LONG
87.72
2000-Feb-21
CNX MEDIA LONG
19.39
2008-Jan-04
CNX METAL SHORT
67.43
2008-Jan-04
CNX MNC LONG
9.58
2015-Aug-10
CNX NIFTY LONG
11.28
2015-Mar-03
CNX PHARMA SHORT
7.81
2015-Apr-08
CNX PSE SHORT
34.70
2008-Jan-04
CNX PSU BANK LONG
41.45
2010-Nov-05
CNX REALTY LONG
90.89
2008-Jan-14
CNX SERVICE LONG
10.94
2015-Mar-03
Momentum continued to be a train-wreck this week. All indices saw major drawdowns…
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Index Update 12.09.2015

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 2015-09-11 png

index momentum best 50 2015-09-11 png

index momentum worst 365 2015-09-11 png

index momentum worst 50 2015-09-11 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-11 png

Refactored Index Performance

50-day performance, from July 06, 2015 through September 11, 2015:

Equally Weighted Market Cap. Weighted
CNX MEDIA (EQUAL) +0.31% CNX IT (CAP) +3.65%
CNX PHARMA (EQUAL) -0.74% CNX MEDIA (CAP) +2.08%
CNX IT (EQUAL) -2.63% CNX PHARMA (CAP) -0.97%
NSE QUALITY 30 (EQUAL) -3.03% NI15 (CAP) -1.53%
CNX AUTO (EQUAL) -3.24% NSE QUALITY 30 (CAP) -2.28%
NI15 (EQUAL) -4.12% CNX FMCG (CAP) -4.74%
CNX CONSUMPTION (EQUAL) -5.60% CNX CONSUMPTION (CAP) -5.80%
CNX FMCG (EQUAL) -5.93% CNX MNC (CAP) -6.70%
CNX MNC (EQUAL) -6.06% LIX15 Midcap (CAP) -6.82%
CNX SERVICE (EQUAL) -8.67% CNX SERVICE (CAP) -7.54%
LIX15 Midcap (EQUAL) -8.89% CNX AUTO (CAP) -7.79%
CNX REALTY (EQUAL) -9.51% NV20 (CAP) -9.83%
CNX FINANCE (EQUAL) -9.61% CNX REALTY (CAP) -10.07%
LIX 15 (EQUAL) -11.38% CNX PSU BANK (CAP) -11.02%
NV20 (EQUAL) -11.55% CNX FINANCE (CAP) -11.59%
CNX BANK (EQUAL) -11.87% CNX BANK (CAP) -11.86%
CNX COMMODITIES (EQUAL) -12.41% CNX INFRA (CAP) -13.45%
CNX PSU BANK (EQUAL) -12.52% LIX 15 (CAP) -14.57%
CNX INFRA (EQUAL) -13.70% CNX COMMODITIES (CAP) -14.96%
CNX PSE (EQUAL) -14.50% CNX PSE (CAP) -16.53%
CPSE INDEX (EQUAL) -15.20% CNX ENERGY (CAP) -16.60%
CNX ENERGY (EQUAL) -15.97% CPSE INDEX (CAP) -19.61%
CNX METAL (EQUAL) -17.56% CNX METAL (CAP) -21.67%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
13.65
2015-Jan-27
CNX BANK LONG
19.18
2015-Jan-27
CNX COMMODITIES SHORT
37.69
2008-Jan-04
CNX CONSUMPTION LONG
9.96
2015-Aug-05
CNX ENERGY LONG
37.47
2008-Jan-14
CNX FMCG LONG
12.93
2015-Feb-25
CNX INFRA LONG
53.86
2008-Jan-09
CNX IT SHORT
88.03
2000-Feb-21
CNX MEDIA SHORT
20.45
2008-Jan-04
CNX METAL SHORT
67.83
2008-Jan-04
CNX MNC LONG
10.38
2015-Aug-10
CNX NIFTY SHORT
13.42
2015-Mar-03
CNX PHARMA SHORT
10.77
2015-Apr-08
CNX PSE LONG
36.23
2008-Jan-04
CNX PSU BANK LONG
44.30
2010-Nov-05
CNX REALTY SHORT
91.21
2008-Jan-14
CNX SERVICE LONG
13.95
2015-Mar-03
Has the momentum crash run its course? Seems like the pendulum has swung too far out…
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Index Update 05.09.2015

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 2015-09-04 png

index momentum best 50 2015-09-04 png

index momentum worst 365 2015-09-04 png

index momentum worst 50 2015-09-04 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-09-04 png

Refactored Index Performance

50-day performance, from June 29, 2015 through September 04, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +5.40% CNX PHARMA (CAP) +5.00%
CNX MEDIA (EQUAL) +3.51% CNX IT (CAP) +3.52%
NSE QUALITY 30 (EQUAL) -0.27% CNX MEDIA (CAP) +2.80%
NI15 (EQUAL) -0.88% NI15 (CAP) +0.98%
CNX FMCG (EQUAL) -1.47% NSE QUALITY 30 (CAP) -0.24%
CNX AUTO (EQUAL) -2.55% CNX FMCG (CAP) -0.45%
CNX IT (EQUAL) -2.62% CNX CONSUMPTION (CAP) -3.80%
CNX MNC (EQUAL) -3.44% LIX15 Midcap (CAP) -4.45%
CNX CONSUMPTION (EQUAL) -3.54% CNX MNC (CAP) -4.76%
LIX15 Midcap (EQUAL) -7.02% CNX SERVICE (CAP) -7.43%
CNX SERVICE (EQUAL) -8.64% CNX PSU BANK (CAP) -8.93%
CNX FINANCE (EQUAL) -8.72% CNX AUTO (CAP) -9.22%
CNX PSU BANK (EQUAL) -9.44% NV20 (CAP) -10.05%
CNX REALTY (EQUAL) -10.24% CNX FINANCE (CAP) -11.44%
CNX BANK (EQUAL) -11.14% CNX BANK (CAP) -11.69%
NV20 (EQUAL) -11.51% CNX REALTY (CAP) -12.29%
CNX COMMODITIES (EQUAL) -11.78% CNX INFRA (CAP) -13.74%
LIX 15 (EQUAL) -11.88% CNX COMMODITIES (CAP) -14.25%
CNX PSE (EQUAL) -14.08% LIX 15 (CAP) -14.51%
CNX INFRA (EQUAL) -14.51% CNX PSE (CAP) -15.65%
CPSE INDEX (EQUAL) -14.60% CNX ENERGY (CAP) -16.94%
CNX ENERGY (EQUAL) -15.66% CPSE INDEX (CAP) -18.66%
CNX METAL (EQUAL) -18.38% CNX METAL (CAP) -22.27%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
16.93
2015-Jan-27
CNX BANK LONG
21.53
2015-Jan-27
CNX COMMODITIES SHORT
38.49
2008-Jan-04
CNX CONSUMPTION SHORT
11.06
2015-Aug-05
CNX ENERGY SHORT
38.72
2008-Jan-14
CNX FMCG SHORT
11.77
2015-Feb-25
CNX INFRA SHORT
55.03
2008-Jan-09
CNX IT SHORT
88.05
2000-Feb-21
CNX MEDIA LONG
23.79
2008-Jan-04
CNX METAL SHORT
68.17
2008-Jan-04
CNX MNC SHORT
11.03
2015-Aug-10
CNX NIFTY SHORT
14.91
2015-Mar-03
CNX PHARMA SHORT
9.47
2015-Apr-08
CNX PSE SHORT
36.96
2008-Jan-04
CNX PSU BANK LONG
45.62
2010-Nov-05
CNX REALTY SHORT
91.56
2008-Jan-14
CNX SERVICE SHORT
15.70
2015-Mar-03
A brutal selloff across the board…
Categories Tags , ,

Index Update 29.08.2015

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 2015-08-28 png

index momentum best 50 2015-08-28 png

index momentum worst 365 2015-08-28 png

index momentum worst 50 2015-08-28 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-28 png

Refactored Index Performance

50-day performance, from June 22, 2015 through August 28, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +10.47% CNX PHARMA (CAP) +8.94%
CNX MEDIA (EQUAL) +4.03% CNX MEDIA (CAP) +6.70%
NI15 (EQUAL) +2.67% NI15 (CAP) +3.73%
CNX AUTO (EQUAL) +2.45% CNX IT (CAP) +2.99%
NSE QUALITY 30 (EQUAL) +1.87% CNX FMCG (CAP) +2.64%
CNX FMCG (EQUAL) +0.46% NSE QUALITY 30 (CAP) +1.79%
CNX MNC (EQUAL) -0.74% CNX CONSUMPTION (CAP) -0.17%
CNX CONSUMPTION (EQUAL) -1.26% LIX15 Midcap (CAP) -0.32%
CNX IT (EQUAL) -3.37% CNX MNC (CAP) -1.45%
LIX15 Midcap (EQUAL) -3.40% CNX PSU BANK (CAP) -2.95%
CNX SERVICE (EQUAL) -5.46% CNX SERVICE (CAP) -3.85%
CNX FINANCE (EQUAL) -5.85% CNX AUTO (CAP) -4.51%
CNX BANK (EQUAL) -6.13% NV20 (CAP) -5.86%
CNX PSU BANK (EQUAL) -6.51% CNX FINANCE (CAP) -6.15%
NV20 (EQUAL) -7.07% CNX BANK (CAP) -6.18%
CNX REALTY (EQUAL) -8.41% CNX INFRA (CAP) -8.16%
LIX 15 (EQUAL) -8.75% LIX 15 (CAP) -10.78%
CNX COMMODITIES (EQUAL) -9.64% CNX REALTY (CAP) -11.08%
CNX INFRA (EQUAL) -10.56% CNX PSE (CAP) -11.47%
CNX PSE (EQUAL) -11.16% CNX COMMODITIES (CAP) -11.58%
CPSE INDEX (EQUAL) -11.87% CNX ENERGY (CAP) -13.23%
CNX ENERGY (EQUAL) -12.50% CPSE INDEX (CAP) -15.74%
CNX METAL (EQUAL) -18.33% CNX METAL (CAP) -20.63%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
11.83
2015-Jan-27
CNX BANK LONG
16.26
2015-Jan-27
CNX COMMODITIES LONG
36.29
2008-Jan-04
CNX CONSUMPTION LONG
7.46
2015-Aug-05
CNX ENERGY LONG
35.67
2008-Jan-14
CNX FMCG SHORT
9.51
2015-Feb-25
CNX INFRA LONG
52.21
2008-Jan-09
CNX IT LONG
87.87
2000-Feb-21
CNX MEDIA LONG
20.76
2008-Jan-04
CNX METAL LONG
66.87
2008-Jan-04
CNX MNC LONG
8.07
2015-Aug-10
CNX NIFTY LONG
11.05
2015-Mar-03
CNX PHARMA SHORT
6.44
2015-Apr-08
CNX PSE LONG
33.30
2008-Jan-04
CNX PSU BANK LONG
40.41
2010-Nov-05
CNX REALTY LONG
91.29
2008-Jan-14
CNX SERVICE LONG
11.61
2015-Mar-03
A week that saw momentum come crashing down. Worst part: CNX REALTY is more than 91% down from its peak in Jan’08…
Categories Tags , ,

Index Update 22.08.2015

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 2015-08-21 png

index momentum best 50 2015-08-21 png

index momentum worst 365 2015-08-21 png

index momentum worst 50 2015-08-21 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-21 png

Refactored Index Performance

50-day performance, from June 15, 2015 through August 21, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.20% CNX PHARMA (CAP) +17.63%
CNX AUTO (EQUAL) +12.64% LIX15 Midcap (CAP) +12.38%
CNX MEDIA (EQUAL) +12.20% CNX PSU BANK (CAP) +11.78%
CNX PSU BANK (EQUAL) +10.34% NI15 (CAP) +11.38%
NI15 (EQUAL) +10.11% CNX MEDIA (CAP) +11.18%
LIX15 Midcap (EQUAL) +10.00% CNX IT (CAP) +10.24%
NSE QUALITY 30 (EQUAL) +9.33% CNX FMCG (CAP) +9.30%
CNX FMCG (EQUAL) +7.79% NSE QUALITY 30 (CAP) +8.72%
CNX MNC (EQUAL) +7.16% CNX CONSUMPTION (CAP) +7.77%
CNX BANK (EQUAL) +6.75% CNX MNC (CAP) +7.40%
CNX CONSUMPTION (EQUAL) +6.16% CNX AUTO (CAP) +4.78%
CNX IT (EQUAL) +5.36% CNX SERVICE (CAP) +3.84%
CNX FINANCE (EQUAL) +4.83% CNX BANK (CAP) +3.37%
CNX SERVICE (EQUAL) +2.75% NV20 (CAP) +3.26%
NV20 (EQUAL) +1.26% CNX FINANCE (CAP) +2.63%
CNX INFRA (EQUAL) -1.93% CNX INFRA (CAP) -1.35%
CNX REALTY (EQUAL) -2.06% CNX COMMODITIES (CAP) -4.46%
LIX 15 (EQUAL) -2.55% LIX 15 (CAP) -4.52%
CNX COMMODITIES (EQUAL) -3.28% CNX REALTY (CAP) -4.78%
CNX PSE (EQUAL) -5.70% CNX ENERGY (CAP) -5.07%
CPSE INDEX (EQUAL) -6.13% CNX PSE (CAP) -7.40%
CNX ENERGY (EQUAL) -6.70% CPSE INDEX (CAP) -11.20%
CNX METAL (EQUAL) -11.62% CNX METAL (CAP) -18.58%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
7.89
2015-Jan-27
CNX BANK LONG
12.15
2015-Jan-27
CNX COMMODITIES LONG
34.50
2008-Jan-04
CNX CONSUMPTION SHORT
3.78
2015-Aug-05
CNX ENERGY LONG
33.41
2008-Jan-14
CNX FMCG SHORT
7.13
2015-Feb-25
CNX INFRA LONG
50.11
2008-Jan-09
CNX IT LONG
87.40
2000-Feb-21
CNX MEDIA LONG
20.08
2008-Jan-04
CNX METAL LONG
66.83
2008-Jan-04
CNX MNC SHORT
3.39
2015-Aug-10
CNX NIFTY SHORT
7.74
2015-Mar-03
CNX PHARMA LONG
2.61
2015-Apr-08
CNX PSE LONG
31.90
2008-Jan-04
CNX PSU BANK SHORT
35.02
2010-Nov-05
CNX REALTY SHORT
91.14
2008-Jan-14
CNX SERVICE SHORT
8.30
2015-Mar-03
The few areas of strength were in CONSUMPTION, MNC and PHARMA. Momentum strategies would have gotten shellacked given the brutal mean reversion in relative strength spread.
Categories Tags , ,