Invest Without Emotions
A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.
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:
50-day performance, from July 16, 2015 through September 24, 2015:
| Index | Signal | % From Peak | Day of Peak |
|---|---|---|---|
| CNX AUTO | SHORT |
15.15
|
2015-Jan-27
|
| CNX BANK | LONG |
16.34
|
2015-Jan-27
|
| CNX COMMODITIES | SHORT |
38.78
|
2008-Jan-04
|
| CNX CONSUMPTION | SHORT |
9.43
|
2015-Aug-05
|
| CNX ENERGY | SHORT |
37.64
|
2008-Jan-14
|
| CNX FMCG | LONG |
12.60
|
2015-Feb-25
|
| CNX INFRA | SHORT |
55.65
|
2008-Jan-09
|
| CNX IT | LONG |
87.48
|
2000-Feb-21
|
| CNX MEDIA | SHORT |
18.71
|
2008-Jan-04
|
| CNX METAL | SHORT |
69.33
|
2008-Jan-04
|
| CNX MNC | SHORT |
10.28
|
2015-Aug-10
|
| CNX NIFTY | SHORT |
12.54
|
2015-Mar-03
|
| CNX PHARMA | LONG |
7.26
|
2015-Apr-08
|
| CNX PSE | SHORT |
36.45
|
2008-Jan-04
|
| CNX PSU BANK | LONG |
41.91
|
2010-Nov-05
|
| CNX REALTY | LONG |
90.96
|
2008-Jan-14
|
| CNX SERVICE | LONG |
11.70
|
2015-Mar-03
|
A lot of thick blue squares mean that positive correlations are high. Red squares mean negative correlations are high. Whites are the doldrums.
| MINTs | |
|---|---|
| JCI(IDN) | +0.46% |
| INMEX(MEX) | +1.72% |
| NGSEINDX(NGA) | +2.17% |
| XU030(TUR) | +5.25% |
| BRICS | |
|---|---|
| IBOV(BRA) | +2.11% |
| SHCOMP(CHN) | -3.20% |
| NIFTY(IND) | +2.47% |
| INDEXCF(RUS) | -0.42% |
| TOP40(ZAF) | +4.98% |
| Energy | |
|---|---|
| RBOB Gasoline | -1.41% |
| WTI Crude Oil | -0.38% |
| Natural Gas | -3.41% |
| Brent Crude Oil | -2.43% |
| Heating Oil | -4.14% |
| Ethanol | +3.91% |
| Metals | |
|---|---|
| Gold 100oz | +3.22% |
| Copper | -2.85% |
| Palladium | +2.54% |
| Platinum | +1.58% |
| Silver 5000oz | +5.52% |
| MINTs | |
|---|---|
| USDIDR(IDN) | +0.37% |
| USDMXN(MEX) | -0.95% |
| USDNGN(NGA) | -0.01% |
| USDTRY(TUR) | -1.30% |
| BRICS | |
|---|---|
| USDBRL(BRA) | +1.76% |
| USDCNY(CHN) | -0.17% |
| USDINR(IND) | -1.30% |
| USDRUB(RUS) | -1.73% |
| USDZAR(ZAF) | -1.82% |
| Agricultural | |
|---|---|
| Cattle | -3.34% |
| Feeder Cattle | -3.78% |
| Sugar #11 | -5.90% |
| White Sugar | -1.24% |
| Cocoa | +1.15% |
| Soybeans | -2.28% |
| Wheat | +2.85% |
| Coffee (Robusta) | +1.36% |
| Lean Hogs | +5.91% |
| Lumber | -5.86% |
| Orange Juice | -1.46% |
| Soybean Meal | -1.46% |
| Coffee (Arabica) | +4.42% |
| Corn | +0.73% |
| Cotton | -7.91% |
| Index | Change |
|---|---|
| Markit CDX EM | +0.87% |
| Markit CDX NA HY | +0.25% |
| Markit CDX NA IG | -2.42% |
| Markit iTraxx Asia ex-Japan IG | -6.65% |
| Markit iTraxx Australia | -1.53% |
| Markit iTraxx Europe | -0.30% |
| Markit iTraxx Europe Crossover | -2.09% |
| Markit iTraxx Japan | -1.94% |
| Markit iTraxx SovX Western Europe | -0.41% |
| Markit LCDX (Loan CDS) | +0.00% |
| Markit MCDX (Municipal CDS) | -0.22% |
|
5yr
|
2yr
|
1yr
|
1wk
|
|
|---|---|---|---|---|
| EWM iShares MSCI Malaysia |
-11.55%
|
-30.48%
|
-30.9%
|
+5.64%
|
| GREK Global X FTSE Greece 20 |
-45.28%
|
-45.54%
|
+4.76%
|
|
| NGE Global X MSCI Nigeria |
-37.25%
|
-40.9%
|
+4.22%
|
|
| EZA iShares MSCI South Africa |
-0.41%
|
-14.19%
|
-16.79%
|
+3.5%
|
| TUR iShares MSCI Turkey |
-41.1%
|
-37.41%
|
-30.19%
|
+3.15%
|
| EWY iShares MSCI South Korea Capped |
+0.4%
|
-20.12%
|
-20.37%
|
+3.11%
|
| GXG Global X MSCI Colombia |
-52.87%
|
-53.55%
|
-52.94%
|
+2.99%
|
| ICOL iShares MSCI Colombia Capped |
-53.45%
|
-53.5%
|
+2.58%
|
|
| EPHE iShares MSCI Philippines |
-2.17%
|
-8.73%
|
+2.57%
|
|
| INDA iShares MSCI India |
+18.41%
|
-10.88%
|
+2.35%
|
|
| EGPT Market Vectors Egypt |
-37.94%
|
-9.32%
|
-43.79%
|
+2.2%
|
| ENZL iShares MSCI New Zealand Capped |
+47.44%
|
-9.44%
|
-14.61%
|
+2.1%
|
| ECH iShares MSCI Chile Capped |
-49.65%
|
-33.38%
|
-18.67%
|
+1.63%
|
| EIRL iShares MSCI Ireland Capped |
+128.56%
|
+26.76%
|
+16.69%
|
+1.56%
|
| RSX Market Vectors Russia |
-43.09%
|
-42.19%
|
-29.21%
|
+1.39%
|
| EWA iShares MSCI Australia |
-1.38%
|
-23.64%
|
-24.2%
|
+1.36%
|
| ERUS iShares MSCI Russia Capped |
-42.52%
|
-27.7%
|
+1.14%
|
|
| EWT iShares MSCI Taiwan |
+16.88%
|
-0.86%
|
-12.23%
|
+1.1%
|
| PGAL Global X FTSE Portugal 20 |
-27.98%
|
+0.99%
|
||
| FXI iShares China Large-Cap |
-4.75%
|
-4.27%
|
-8.7%
|
+0.72%
|
| EWC iShares MSCI Canada |
-5.21%
|
-14.43%
|
-25.55%
|
+0.72%
|
| EWH iShares MSCI Hong Kong |
+27.47%
|
+1.13%
|
-6.89%
|
+0.41%
|
| EWG iShares MSCI Germany |
+32.24%
|
-6.97%
|
-12.02%
|
-2.72%
|
| EWI iShares MSCI Italy Capped |
+0.48%
|
+3.26%
|
-9.28%
|
-2.28%
|
| FEZ SPDR Euro STOXX 50 |
+13.31%
|
-7.27%
|
-14.7%
|
-2.16%
|
| EWD iShares MSCI Sweden |
+23.83%
|
-11.94%
|
-11.29%
|
-1.89%
|
| EWJ iShares MSCI Japan |
+24.7%
|
-2.62%
|
-1.79%
|
-1.88%
|
| EWZ iShares MSCI Brazil Capped |
-63.52%
|
-52.16%
|
-52.42%
|
-1.81%
|
| QAT iShares MSCI Qatar Capped |
-20.51%
|
-1.57%
|
||
| EWQ iShares MSCI France |
+18.69%
|
-6.81%
|
-9.71%
|
-1.56%
|
| EIDO iShares MSCI Indonesia |
-31.34%
|
-32.2%
|
-34.27%
|
-1.39%
|
| EWO iShares MSCI Austria Capped |
-9.4%
|
-17.77%
|
-10.68%
|
-1.23%
|
| EPOL iShares MSCI Poland Capped |
-16.52%
|
-22.39%
|
-23.13%
|
-1.09%
|
| EWU iShares MSCI United Kingdom |
+22.5%
|
-9%
|
-14.92%
|
-0.71%
|
| THD iShares MSCI Thailand Capped |
+25.81%
|
-18.42%
|
-22.42%
|
-0.63%
|
| NORW Global X MSCI Norway |
-29.21%
|
-32.51%
|
-0.56%
|
|
| UAE iShares MSCI UAE Capped |
-28.03%
|
-0.53%
|
||
| EDEN iShares MSCI Denmark Capped |
+36.37%
|
+7.13%
|
-0.48%
|
|
| SPY SPDR S&P 500 |
+87.49%
|
+16.81%
|
-1.77%
|
-0.25%
|
| ISRA Market Vectors Israel |
+15.03%
|
-0.1%
|
-0.19%
|
|
| EWL iShares MSCI Switzerland Capped |
+52.24%
|
+2.83%
|
-5.36%
|
-0.13%
|
| EPU iShares MSCI All Peru Capped |
-37.31%
|
-31.38%
|
-36.47%
|
-0.04%
|
For a deeper dive into indices, check out our weekly Index Update.
| Decile | Mkt. Cap. | Adv/Decl |
|---|---|---|
| 1 | +1.75% | 63/66 |
| 2 | +1.78% | 70/59 |
| 3 | +2.87% | 67/62 |
| 4 | +2.11% | 75/54 |
| 5 | +2.82% | 75/54 |
| 6 | +2.10% | 62/67 |
| 7 | +0.92% | 65/65 |
| 8 | +1.20% | 64/64 |
| 9 | +0.90% | 64/65 |
| 10 | +1.03% | 59/71 |
| TATAPOWER | +7.98% |
| YESBANK | +8.54% |
| CROMPGREAV | +9.17% |
| BHARATFORG | -10.20% |
| CONCOR | -5.10% |
| UPL | -5.02% |
| PSUBNKBEES | +4.89% |
| BANKBEES | +4.76% |
| JUNIORBEES | +2.18% |
| NIFTYBEES | +1.98% |
| CPSEETF | +1.75% |
| GOLDBEES | +1.26% |
| INFRABEES | -0.14% |
| Sub Index | Change in YTM | Total Return(%) |
|---|---|---|
| 0 5 | -0.05 | +0.29% |
| 5 10 | -0.05 | +0.43% |
| 10 15 | -0.06 | +0.62% |
| 15 20 | -0.06 | +0.72% |
| 20 30 | -0.06 | +0.79% |
| The RBI Restricted List | +4.69% |
| High Beta | +4.09% |
| Momentum | +3.30% |
| Velocity | +2.85% |
| ADAG stocks | +2.44% |
| PPFAS Long Term Value | +2.08% |
| Quality to Price | +2.07% |
| ASK Life | +1.35% |
| Balance Sheet Strength | +1.00% |
| Low Volatility | +0.91% |
| CNX 100 Enterprise Yield | +0.83% |
| Magic Formula | +0.70% |
| Financial Strength Value | +0.23% |
| Tactical CNX 100 | -0.00% |
| Next Trillion | -0.86% |
The golden age of the Western corporation was the product of two benign developments: the globalisation of markets and, as a result, the reduction of costs. Now a more difficult era is beginning. More than twice as many multinationals are operating today as in 1990, making for more competition. Margins are being squeezed and the volatility of profits is growing. Many companies in labour- and capital-intensive industries have been slaughtered by foreign competitors. What next?
Source: Death and transfiguration
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:
50-day performance, from July 10, 2015 through September 18, 2015:
| 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
|