Tag: momentum

Index Update 20.06.2015

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 2015-06-19 png

index momentum best 50 2015-06-19 png

index momentum worst 365 2015-06-19 png

index momentum worst 50 2015-06-19 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-19 png

Refactored Index Performance

50-day performance, from April 09, 2015 through June 19, 2015:

Equally Weighted Market Cap. Weighted
CNX PHARMA (EQUAL) +7.13% CNX ENERGY (CAP) +2.16%
CNX MNC (EQUAL) +4.50% CNX MNC (CAP) +0.78%
CNX MEDIA (EQUAL) -1.96% CPSE INDEX (CAP) -0.72%
CPSE INDEX (EQUAL) -2.20% CNX COMMODITIES (CAP) -1.77%
CNX FMCG (EQUAL) -4.01% CNX PSE (CAP) -2.74%
CNX CONSUMPTION (EQUAL) -4.22% NV20 (CAP) -3.26%
CNX PSE (EQUAL) -4.46% CNX CONSUMPTION (CAP) -4.18%
NV20 (EQUAL) -4.52% CNX MEDIA (CAP) -4.37%
CNX ENERGY (EQUAL) -5.32% CNX INFRA (CAP) -4.53%
CNX AUTO (EQUAL) -6.21% CNX BANK (CAP) -5.27%
NSE QUALITY 30 (EQUAL) -7.12% CNX FINANCE (CAP) -5.59%
CNX COMMODITIES (EQUAL) -7.33% CNX SERVICE (CAP) -6.43%
CNX FINANCE (EQUAL) -8.10% CNX AUTO (CAP) -6.43%
CNX BANK (EQUAL) -8.65% CNX PHARMA (CAP) -7.77%
NI15 (EQUAL) -8.71% CNX FMCG (CAP) -8.29%
CNX SERVICE (EQUAL) -8.86% CNX IT (CAP) -8.53%
CNX INFRA (EQUAL) -10.17% NI15 (CAP) -9.17%
CNX IT (EQUAL) -10.37% NSE QUALITY 30 (CAP) -9.30%
LIX 15 (EQUAL) -11.35% CNX METAL (CAP) -9.70%
CNX PSU BANK (EQUAL) -14.33% CNX PSU BANK (CAP) -10.74%
CNX METAL (EQUAL) -14.68% LIX 15 (CAP) -10.80%
LIX15 Midcap (EQUAL) -18.72% LIX15 Midcap (CAP) -17.52%
CNX REALTY (EQUAL) -22.22% CNX REALTY (CAP) -25.02%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
8.73
2015-Jan-27
CNX BANK SHORT
13.01
2015-Jan-27
CNX ENERGY LONG
26.08
2008-Jan-14
CNX FMCG SHORT
13.23
2015-Feb-25
CNX INFRA SHORT
48.68
2008-Jan-09
CNX IT SHORT
88.23
2000-Feb-21
CNX MEDIA LONG
26.66
2008-Jan-04
CNX METAL SHORT
58.84
2008-Jan-04
CNX MNC SHORT
5.41
2015-Mar-12
CNX NIFTY SHORT
8.57
2015-Mar-03
CNX PHARMA SHORT
14.61
2015-Apr-08
CNX PSE SHORT
25.47
2008-Jan-04
CNX REALTY SHORT
90.75
2008-Jan-14
Looks like Banks, FMCG and Pharma are perking up. MNCs and Autos are recovering from their drawdowns as well…
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Index Update 13.06.2015

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 2015-06-12 png

index momentum best 50 2015-06-12 png

index momentum worst 365 2015-06-12 png

index momentum worst 50 2015-06-12 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-06-12 png

Refactored Index Performance

50-day performance, from March 31, 2015 through June 12, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) -0.17% CNX ENERGY (CAP) +1.27%
CPSE INDEX (EQUAL) -0.70% CPSE INDEX (CAP) +0.09%
CNX PSE (EQUAL) -2.81% CNX PSE (CAP) -0.73%
CNX MNC (EQUAL) -3.08% CNX COMMODITIES (CAP) -1.45%
NV20 (EQUAL) -3.29% NV20 (CAP) -3.30%
CNX ENERGY (EQUAL) -4.23% CNX INFRA (CAP) -3.34%
CNX CONSUMPTION (EQUAL) -4.29% CNX CONSUMPTION (CAP) -3.50%
CNX MEDIA (EQUAL) -4.39% CNX BANK (CAP) -3.77%
CNX PHARMA (EQUAL) -4.82% CNX MNC (CAP) -4.09%
CNX COMMODITIES (EQUAL) -6.04% CNX METAL (CAP) -4.72%
CNX BANK (EQUAL) -6.17% CNX FMCG (CAP) -4.93%
NSE QUALITY 30 (EQUAL) -7.00% CNX MEDIA (CAP) -5.63%
CNX AUTO (EQUAL) -7.11% CNX FINANCE (CAP) -5.71%
CNX SERVICE (EQUAL) -7.43% CNX SERVICE (CAP) -6.04%
CNX FINANCE (EQUAL) -7.82% CNX PSU BANK (CAP) -7.07%
NI15 (EQUAL) -7.88% CNX AUTO (CAP) -7.36%
CNX IT (EQUAL) -8.06% LIX 15 (CAP) -8.12%
LIX 15 (EQUAL) -8.56% CNX IT (CAP) -8.22%
CNX INFRA (EQUAL) -10.30% NI15 (CAP) -8.34%
CNX PSU BANK (EQUAL) -10.51% NSE QUALITY 30 (CAP) -8.34%
CNX METAL (EQUAL) -10.77% CNX PHARMA (CAP) -11.36%
CNX REALTY (EQUAL) -15.20% LIX15 Midcap (CAP) -18.08%
LIX15 Midcap (EQUAL) -18.08% CNX REALTY (CAP) -19.31%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO LONG
13.13
2015-Jan-27
CNX BANK LONG
14.75
2015-Jan-27
CNX ENERGY SHORT
30.29
2008-Jan-14
CNX FMCG LONG
15.47
2015-Feb-25
CNX INFRA SHORT
49.72
2008-Jan-09
CNX IT LONG
88.43
2000-Feb-21
CNX MEDIA SHORT
29.56
2008-Jan-04
CNX METAL LONG
59.10
2008-Jan-04
CNX MNC LONG
8.01
2015-Mar-12
CNX NIFTY LONG
11.26
2015-Mar-03
CNX PHARMA LONG
18.09
2015-Apr-08
CNX PSE SHORT
26.34
2008-Jan-04
CNX REALTY LONG
90.71
2008-Jan-14
Given the state of the relative strength spread, good luck with trend following strategies! But it looks like there are some sectors where a positive trend is reasserting itself. Are we seeing green shoots in pharma, media and banks?
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Relative Strength Spread

Introduction

The Relative Strength Spread takes all the stocks in the CNX 500 index, sorts them by their relative performance vs. the index and takes the ratio between the median relative performance of the top decile and the bottom decile. When you plot the spread, a rising chart indicates that relative strength leaders are performing better than relative strength laggards.

Relative Strength Spread Charts

CNX 500.relative-spread-index.50

CNX 500.relative-spread-index.100

CNX 500.relative-spread-index.365

High Relative Strength Spread environments provide the largest momentum profits – winning trades easily eclipse losing trades.

The 365-day RS-Spread chart clearly demarcates the “Modi-Mania.” The Modi-Mania was manna from heaven for trend-following strategies. However, the post-Modi-Mania phase has seem most momentum algorithms struggle.

A silver-lining is that the 50-day chart shows that we are probably due for a momentum comeback. But it is not uncommon to have prolonged periods of the “doldrums” where momentum is just “average.” It maybe tempting to give up on trend-following strategies during these periods. But just like how we cannot predict momentum crashes, we cannot predict momentum comebacks. So it is important to maintain allocation to momentum strategies.

Conclusion

The Relative Strength Spread index can be useful in explaining momentum profits. However, it is not much of a predictor of future momentum returns. It could also be used to explain the “skill vs. luck” question of returns – just like how a rising tide lifts all boats, a high RS-Spread environment will lift all portfolio returns.

Going forward, we will update the 50-day Relative Strength Spread chart on our weekly Index Update posts.

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Index Update 06.06.2015

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 2015-06-05 png

index momentum best 50 2015-06-05 png

index momentum worst 365 2015-06-05 png

index momentum worst 50 2015-06-05 png

Refactored Index Performance

50-day performance, from March 24, 2015 through June 05, 2015:

Equally Weighted Market Cap. Weighted
CNX FMCG (EQUAL) +2.20% CNX ENERGY (CAP) +1.31%
CPSE INDEX (EQUAL) -0.02% CPSE INDEX (CAP) +0.64%
CNX CONSUMPTION (EQUAL) -0.67% CNX PSE (CAP) +0.17%
CNX MNC (EQUAL) -0.74% CNX COMMODITIES (CAP) +0.15%
CNX MEDIA (EQUAL) -0.89% CNX INFRA (CAP) -1.09%
CNX PSE (EQUAL) -0.96% CNX CONSUMPTION (CAP) -1.35%
CNX PHARMA (EQUAL) -2.15% CNX MNC (CAP) -2.29%
NV20 (EQUAL) -2.39% NV20 (CAP) -3.07%
CNX AUTO (EQUAL) -2.71% CNX MEDIA (CAP) -3.32%
CNX ENERGY (EQUAL) -2.94% CNX FMCG (CAP) -3.33%
CNX COMMODITIES (EQUAL) -3.04% CNX METAL (CAP) -3.48%
NSE QUALITY 30 (EQUAL) -4.30% CNX AUTO (CAP) -3.49%
CNX BANK (EQUAL) -5.19% CNX BANK (CAP) -4.29%
NI15 (EQUAL) -5.99% NSE QUALITY 30 (CAP) -5.96%
CNX SERVICE (EQUAL) -6.91% CNX SERVICE (CAP) -6.18%
CNX INFRA (EQUAL) -7.03% CNX PSU BANK (CAP) -6.26%
CNX IT (EQUAL) -7.19% NI15 (CAP) -6.34%
LIX 15 (EQUAL) -7.32% LIX 15 (CAP) -6.42%
CNX FINANCE (EQUAL) -7.46% CNX FINANCE (CAP) -6.84%
CNX METAL (EQUAL) -8.03% CNX IT (CAP) -6.98%
CNX PSU BANK (EQUAL) -8.38% CNX PHARMA (CAP) -8.66%
CNX REALTY (EQUAL) -10.28% CNX REALTY (CAP) -15.64%
LIX15 Midcap (EQUAL) -15.34% LIX15 Midcap (CAP) -16.09%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
11.07
2015-Jan-27
CNX BANK SHORT
14.62
2015-Jan-27
CNX ENERGY SHORT
29.22
2008-Jan-14
CNX FMCG SHORT
13.62
2015-Feb-25
CNX INFRA SHORT
49.05
2008-Jan-09
CNX IT SHORT
88.18
2000-Feb-21
CNX MEDIA SHORT
27.38
2008-Jan-04
CNX METAL SHORT
57.85
2008-Jan-04
CNX MNC SHORT
6.54
2015-Mar-12
CNX NIFTY SHORT
9.80
2015-Mar-03
CNX PHARMA SHORT
15.29
2015-Apr-08
CNX PSE SHORT
25.24
2008-Jan-04
CNX REALTY SHORT
90.30
2008-Jan-14
Banks and pharma down more than 15% from its April peak, Nifty 10% and MNC 7%…
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Index Update 30.05.2015

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 2015-05-29 png

index momentum best 50 2015-05-29 png

index momentum worst 365 2015-05-29 png

index momentum worst 50 2015-05-29 png

Categories Tags , ,