Tag: momentum

Index Update 29.08.2015

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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 2015-08-28 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…
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Index Update 22.08.2015

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 2015-08-21 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.
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Index Update 15.08.2015

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 2015-08-14 png

index momentum best 50 2015-08-14 png

index momentum worst 365 2015-08-14 png

index momentum worst 50 2015-08-14 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-14 png

Refactored Index Performance

50-day performance, from June 08, 2015 through August 14, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +15.18% CNX MEDIA (CAP) +20.42%
CNX MEDIA (EQUAL) +14.87% CNX PHARMA (CAP) +13.39%
CNX AUTO (EQUAL) +13.00% LIX15 Midcap (CAP) +11.97%
NI15 (EQUAL) +10.16% NI15 (CAP) +9.76%
CNX MNC (EQUAL) +9.54% CNX MNC (CAP) +9.29%
LIX15 Midcap (EQUAL) +8.69% CNX IT (CAP) +8.89%
CNX CONSUMPTION (EQUAL) +8.43% CNX CONSUMPTION (CAP) +8.38%
NSE QUALITY 30 (EQUAL) +8.30% CNX PSU BANK (CAP) +8.28%
CNX FMCG (EQUAL) +8.24% CNX FINANCE (CAP) +7.93%
CNX FINANCE (EQUAL) +8.16% CNX AUTO (CAP) +7.92%
CNX PSU BANK (EQUAL) +7.84% CNX BANK (CAP) +7.34%
CNX BANK (EQUAL) +7.22% NSE QUALITY 30 (CAP) +7.17%
CNX IT (EQUAL) +5.44% CNX SERVICE (CAP) +7.10%
CNX SERVICE (EQUAL) +5.18% CNX FMCG (CAP) +6.53%
NV20 (EQUAL) +3.01% NV20 (CAP) +6.33%
CNX INFRA (EQUAL) +1.68% CNX INFRA (CAP) +2.22%
CNX REALTY (EQUAL) +0.47% CNX REALTY (CAP) +1.02%
CPSE INDEX (EQUAL) -1.45% CNX ENERGY (CAP) +0.18%
LIX 15 (EQUAL) -1.55% CNX COMMODITIES (CAP) -1.13%
CNX COMMODITIES (EQUAL) -2.38% LIX 15 (CAP) -1.98%
CNX PSE (EQUAL) -2.47% CNX PSE (CAP) -4.03%
CNX ENERGY (EQUAL) -3.60% CPSE INDEX (CAP) -6.51%
CNX METAL (EQUAL) -13.25% CNX METAL (CAP) -15.93%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
5.03
2015-Jan-27
CNX BANK SHORT
8.91
2015-Jan-27
CNX COMMODITIES LONG
32.16
2008-Jan-04
CNX CONSUMPTION SHORT
2.11
2015-Aug-05
CNX ENERGY LONG
29.99
2008-Jan-14
CNX FMCG SHORT
8.75
2015-Feb-25
CNX INFRA SHORT
48.15
2008-Jan-09
CNX IT LONG
87.38
2000-Feb-21
CNX MEDIA SHORT
15.03
2008-Jan-04
CNX METAL LONG
65.04
2008-Jan-04
CNX MNC SHORT
1.99
2015-Aug-10
CNX NIFTY SHORT
5.31
2015-Mar-03
CNX PHARMA LONG
5.02
2015-Apr-08
CNX PSE LONG
28.83
2008-Jan-04
CNX PSU BANK SHORT
35.20
2010-Nov-05
CNX REALTY SHORT
90.24
2008-Jan-14
CNX SERVICE SHORT
5.42
2015-Mar-03
Has the relative strength spread started to mean-revert? Watch out for momentum strategy drawdowns…
Categories Tags , ,

Index Update 08.08.2015

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 2015-08-07 png

index momentum best 50 2015-08-07 png

index momentum worst 365 2015-08-07 png

index momentum worst 50 2015-08-07 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-08-07 png

Refactored Index Performance

50-day performance, from June 01, 2015 through August 07, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +22.78% CNX MEDIA (CAP) +18.97%
CNX MEDIA (EQUAL) +16.14% CNX PHARMA (CAP) +11.06%
CNX AUTO (EQUAL) +8.23% CNX MNC (CAP) +5.35%
CNX MNC (EQUAL) +6.50% CNX CONSUMPTION (CAP) +4.62%
CNX FMCG (EQUAL) +6.47% CNX AUTO (CAP) +3.44%
CNX CONSUMPTION (EQUAL) +6.37% NI15 (CAP) +2.57%
NSE QUALITY 30 (EQUAL) +4.31% CNX FINANCE (CAP) +2.42%
NI15 (EQUAL) +3.86% CNX INFRA (CAP) +2.26%
CNX FINANCE (EQUAL) +3.73% CNX FMCG (CAP) +2.20%
CNX SERVICE (EQUAL) +1.47% NSE QUALITY 30 (CAP) +1.92%
CNX INFRA (EQUAL) +0.13% CNX SERVICE (CAP) +1.88%
CNX BANK (EQUAL) -0.47% CNX IT (CAP) +1.75%
NV20 (EQUAL) -0.58% NV20 (CAP) +1.54%
CPSE INDEX (EQUAL) -0.75% CNX BANK (CAP) +1.43%
CNX IT (EQUAL) -0.77% CNX PSU BANK (CAP) +1.21%
CNX PSE (EQUAL) -1.55% CNX ENERGY (CAP) +0.73%
CNX COMMODITIES (EQUAL) -2.33% CNX COMMODITIES (CAP) -0.47%
CNX ENERGY (EQUAL) -2.91% CNX PSE (CAP) -1.57%
LIX 15 (EQUAL) -3.05% LIX 15 (CAP) -4.33%
CNX PSU BANK (EQUAL) -4.21% LIX15 Midcap (CAP) -4.34%
LIX15 Midcap (EQUAL) -5.22% CPSE INDEX (CAP) -4.37%
CNX METAL (EQUAL) -9.11% CNX REALTY (CAP) -10.49%
CNX REALTY (EQUAL) -9.43% CNX METAL (CAP) -11.15%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
3.26
2015-Jan-27
CNX BANK LONG
8.08
2015-Jan-27
CNX COMMODITIES SHORT
28.46
2008-Jan-04
CNX CONSUMPTION LONG
0.52
2015-Aug-05
CNX ENERGY LONG
27.88
2008-Jan-14
CNX FMCG LONG
6.25
2015-Feb-25
CNX INFRA SHORT
47.01
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA LONG
15.34
2008-Jan-04
CNX METAL LONG
61.19
2008-Jan-04
CNX MNC LONG
0.00
2015-Aug-07
CNX NIFTY LONG
4.80
2015-Mar-03
CNX PHARMA LONG
8.60
2015-Apr-08
CNX PSE SHORT
25.11
2008-Jan-04
CNX PSU BANK LONG
33.42
2010-Nov-05
CNX REALTY LONG
90.27
2008-Jan-14
CNX SERVICE SHORT
6.02
2015-Mar-03
A total nightmare for commodity, energy and infrastructure investors. It continues to be a consumption driven market…
Categories Tags , ,

Index Update 01.08.2015

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 2015-07-31 png

index momentum best 50 2015-07-31 png

index momentum worst 365 2015-07-31 png

index momentum worst 50 2015-07-31 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-07-31 png

Refactored Index Performance

50-day performance, from May 25, 2015 through July 31, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +19.59% CNX MEDIA (CAP) +16.92%
CNX MEDIA (EQUAL) +15.49% CNX CONSUMPTION (CAP) +7.13%
CNX FMCG (EQUAL) +8.37% CNX FMCG (CAP) +6.03%
CNX CONSUMPTION (EQUAL) +6.70% CNX MNC (CAP) +5.64%
CNX MNC (EQUAL) +5.13% CNX PHARMA (CAP) +4.62%
CNX AUTO (EQUAL) +3.69% CNX INFRA (CAP) +4.34%
CNX FINANCE (EQUAL) +3.20% CNX FINANCE (CAP) +3.13%
NI15 (EQUAL) +3.17% NI15 (CAP) +2.42%
NSE QUALITY 30 (EQUAL) +2.91% CNX SERVICE (CAP) +2.35%
CPSE INDEX (EQUAL) +2.40% CNX ENERGY (CAP) +2.29%
CNX PSE (EQUAL) +1.00% CNX BANK (CAP) +2.13%
CNX SERVICE (EQUAL) +0.79% NV20 (CAP) +1.85%
NV20 (EQUAL) +0.41% NSE QUALITY 30 (CAP) +1.14%
CNX ENERGY (EQUAL) -1.07% CNX PSE (CAP) +1.14%
CNX BANK (EQUAL) -1.07% CNX IT (CAP) +0.39%
CNX INFRA (EQUAL) -1.24% CNX COMMODITIES (CAP) +0.10%
CNX IT (EQUAL) -1.71% CNX AUTO (CAP) -0.36%
CNX COMMODITIES (EQUAL) -3.20% CNX PSU BANK (CAP) -2.11%
CNX PSU BANK (EQUAL) -6.27% CPSE INDEX (CAP) -2.61%
LIX 15 (EQUAL) -6.47% LIX 15 (CAP) -7.12%
CNX REALTY (EQUAL) -10.17% LIX15 Midcap (CAP) -11.45%
LIX15 Midcap (EQUAL) -11.63% CNX METAL (CAP) -11.67%
CNX METAL (EQUAL) -12.90% CNX REALTY (CAP) -12.45%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
6.10
2015-Jan-27
CNX BANK SHORT
8.88
2015-Jan-27
CNX COMMODITIES SHORT
29.07
2008-Jan-04
CNX CONSUMPTION SHORT
0.00
2015-Jul-31
CNX ENERGY LONG
27.48
2008-Jan-14
CNX FMCG SHORT
6.17
2015-Feb-25
CNX INFRA LONG
47.33
2008-Jan-09
CNX IT SHORT
87.86
2000-Feb-21
CNX MEDIA SHORT
16.68
2008-Jan-04
CNX METAL LONG
61.25
2008-Jan-04
CNX MNC SHORT
0.00
2015-Jul-31
CNX NIFTY SHORT
5.15
2015-Mar-03
CNX PHARMA LONG
10.69
2015-Apr-08
CNX PSE LONG
24.77
2008-Jan-04
CNX PSU BANK SHORT
36.53
2010-Nov-05
CNX REALTY LONG
90.60
2008-Jan-14
CNX SERVICE SHORT
6.10
2015-Mar-03
Relative strength spread shot through its long-term median – good for momentum strategies.
CONSUMPTION and MNC indices recovered from their drawdowns. Will NIFTY be next?
Categories Tags , ,