Tag: index

Index Update 14.02.2016

stockviz February 14, 2016February 14, 2016

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from December 03, 2015 through February 12, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-6.95%	IT (CAP)	-3.90%
QUALITY 30 (EQUAL)	-9.73%	PHARMA (CAP)	-4.29%
FMCG (EQUAL)	-10.08%	GROWSECT 15 (CAP)	-4.52%
CONSUMPTION (EQUAL)	-11.07%	QUALITY 30 (CAP)	-7.22%
AUTO (EQUAL)	-11.17%	ENERGY (CAP)	-8.90%
PHARMA (EQUAL)	-11.26%	FMCG (CAP)	-10.06%
ENERGY (EQUAL)	-11.53%	COMMODITIES (CAP)	-10.30%
MNC (EQUAL)	-12.24%	CONSUMPTION (CAP)	-10.41%
COMMODITIES (EQUAL)	-12.32%	SERV SECTOR (CAP)	-11.79%
IT (EQUAL)	-13.54%	VALUE 20 (CAP)	-12.03%
MEDIA (EQUAL)	-15.13%	MEDIA (CAP)	-12.18%
VALUE 20 (EQUAL)	-15.16%	MNC (CAP)	-12.86%
SERV SECTOR (EQUAL)	-16.18%	PSE (CAP)	-14.25%
PSE (EQUAL)	-17.26%	METAL (CAP)	-14.56%
CPSE (EQUAL)	-19.21%	AUTO (CAP)	-15.14%
FIN SERVICE (EQUAL)	-20.29%	CPSE (CAP)	-15.57%
LIQ 15 (EQUAL)	-20.52%	FIN SERVICE (CAP)	-16.78%
INFRA (EQUAL)	-21.81%	INFRA (CAP)	-16.79%
BANK (EQUAL)	-22.99%	BANK (CAP)	-18.51%
METAL (EQUAL)	-23.62%	LIQ 15 (CAP)	-20.52%
REALTY (EQUAL)	-25.92%	MIDCAP LIQUID 15 (CAP)	-23.99%
MIDCAP LIQUID 15 (EQUAL)	-25.97%	REALTY (CAP)	-26.29%
PSU BANK (EQUAL)	-38.49%	PSU BANK (CAP)	-36.73%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	22.25	2015-Jan-27
NIFTY BANK	LONG	32.03	2015-Jan-27
NIFTY COMMODITIES	LONG	42.67	2008-Jan-04
NIFTY CONSUMPTION	LONG	14.40	2015-Aug-05
NIFTY ENERGY	LONG	37.45	2008-Jan-14
NIFTY FIN SERVICE	LONG	28.84	2015-Jan-28
NIFTY FMCG	LONG	17.79	2015-Feb-25
NIFTY INFRA	LONG	63.65	2008-Jan-09
NIFTY IT	LONG	89.19	2000-Feb-21
NIFTY MEDIA	LONG	26.02	2008-Jan-04
NIFTY METAL	LONG	72.78	2008-Jan-04
NIFTY MNC	LONG	22.21	2015-Aug-10
NIFTY PHARMA	SHORT	19.88	2015-Apr-08
NIFTY PSE	LONG	43.76	2008-Jan-04
NIFTY PSU BANK	LONG	63.39	2010-Nov-05
NIFTY REALTY	LONG	93.12	2008-Jan-14
NIFTY SERV SECTOR	LONG	23.80	2015-Mar-03

FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.

Categories Your Money Tags index, momentum, weekly

Index Update 06.02.2016

stockviz February 6, 2016February 7, 2016

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from November 26, 2015 through February 05, 2016:

Equally Weighted		Market Cap. Weighted
GROWSECT 15 (EQUAL)	-1.76%	IT (CAP)	+4.77%
MEDIA (EQUAL)	-3.49%	GROWSECT 15 (CAP)	+1.72%
QUALITY 30 (EQUAL)	-3.92%	PHARMA (CAP)	+0.93%
COMMODITIES (EQUAL)	-5.06%	QUALITY 30 (CAP)	-0.90%
PHARMA (EQUAL)	-5.24%	MEDIA (CAP)	-1.60%
IT (EQUAL)	-5.28%	ENERGY (CAP)	-3.10%
ENERGY (EQUAL)	-5.31%	COMMODITIES (CAP)	-3.87%
CONSUMPTION (EQUAL)	-5.73%	METAL (CAP)	-4.07%
FMCG (EQUAL)	-6.37%	FMCG (CAP)	-4.58%
MNC (EQUAL)	-7.03%	SERV SECTOR (CAP)	-4.98%
PSE (EQUAL)	-8.15%	VALUE 20 (CAP)	-5.74%
AUTO (EQUAL)	-8.21%	CONSUMPTION (CAP)	-6.24%
SERV SECTOR (EQUAL)	-8.85%	PSE (CAP)	-6.44%
VALUE 20 (EQUAL)	-8.93%	CPSE (CAP)	-7.54%
CPSE (EQUAL)	-10.21%	MNC (CAP)	-8.08%
LIQ 15 (EQUAL)	-11.32%	FIN SERVICE (CAP)	-9.78%
METAL (EQUAL)	-11.54%	BANK (CAP)	-11.25%
FIN SERVICE (EQUAL)	-12.06%	AUTO (CAP)	-11.28%
REALTY (EQUAL)	-13.83%	INFRA (CAP)	-12.62%
INFRA (EQUAL)	-14.25%	REALTY (CAP)	-13.67%
BANK (EQUAL)	-15.02%	LIQ 15 (CAP)	-14.19%
MIDCAP LIQUID 15 (EQUAL)	-15.65%	MIDCAP LIQUID 15 (CAP)	-14.26%
PSU BANK (EQUAL)	-26.74%	PSU BANK (CAP)	-29.21%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	17.62	2015-Jan-27
NIFTY BANK	SHORT	26.24	2015-Jan-27
NIFTY COMMODITIES	SHORT	38.78	2008-Jan-04
NIFTY CONSUMPTION	SHORT	10.38	2015-Aug-05
NIFTY ENERGY	LONG	32.92	2008-Jan-14
NIFTY FIN SERVICE	SHORT	22.73	2015-Jan-28
NIFTY FMCG	LONG	12.69	2015-Feb-25
NIFTY INFRA	SHORT	61.52	2008-Jan-09
NIFTY IT	LONG	88.24	2000-Feb-21
NIFTY MEDIA	SHORT	18.97	2008-Jan-04
NIFTY METAL	SHORT	70.09	2008-Jan-04
NIFTY MNC	SHORT	18.01	2015-Aug-10
NIFTY PHARMA	SHORT	15.75	2015-Apr-08
NIFTY PSE	SHORT	38.71	2008-Jan-04
NIFTY PSU BANK	LONG	59.05	2010-Nov-05
NIFTY REALTY	SHORT	92.16	2008-Jan-14
NIFTY SERV SECTOR	SHORT	17.71	2015-Mar-03

The only bright spot was FMCG – probably aided by a flight to safety. It is brutal out there…

Categories Your Money Tags index, momentum, weekly

Index Update 30.01.2016

stockviz January 30, 2016January 30, 2016

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from November 18, 2015 through January 29, 2016:

Equally Weighted		Market Cap. Weighted
ENERGY (EQUAL)	+3.83%	ENERGY (CAP)	+8.25%
MEDIA (EQUAL)	+3.69%	MEDIA (CAP)	+7.69%
COMMODITIES (EQUAL)	-0.35%	IT (CAP)	+6.52%
IT (EQUAL)	-1.43%	COMMODITIES (CAP)	+3.03%
CONSUMPTION (EQUAL)	-1.51%	GROWSECT 15 (CAP)	+1.60%
PSE (EQUAL)	-1.85%	PHARMA (CAP)	+0.40%
GROWSECT 15 (EQUAL)	-2.00%	QUALITY 30 (CAP)	-0.04%
QUALITY 30 (EQUAL)	-2.41%	VALUE 20 (CAP)	-0.29%
CPSE (EQUAL)	-3.20%	PSE (CAP)	-0.63%
SERV SECTOR (EQUAL)	-3.85%	SERV SECTOR (CAP)	-1.63%
VALUE 20 (EQUAL)	-3.95%	CPSE (CAP)	-2.70%
PHARMA (EQUAL)	-4.70%	METAL (CAP)	-3.13%
AUTO (EQUAL)	-5.34%	CONSUMPTION (CAP)	-4.37%
INFRA (EQUAL)	-5.48%	FIN SERVICE (CAP)	-6.21%
FMCG (EQUAL)	-6.20%	FMCG (CAP)	-6.33%
REALTY (EQUAL)	-6.74%	REALTY (CAP)	-6.38%
METAL (EQUAL)	-6.81%	AUTO (CAP)	-7.04%
LIQ 15 (EQUAL)	-7.27%	MNC (CAP)	-7.34%
FIN SERVICE (EQUAL)	-8.18%	MIDCAP LIQUID 15 (CAP)	-7.34%
MNC (EQUAL)	-8.21%	BANK (CAP)	-7.88%
MIDCAP LIQUID 15 (EQUAL)	-8.49%	INFRA (CAP)	-9.87%
BANK (EQUAL)	-13.26%	LIQ 15 (CAP)	-10.92%
PSU BANK (EQUAL)	-24.84%	PSU BANK (CAP)	-25.75%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	16.42	2015-Jan-27
NIFTY BANK	SHORT	24.48	2015-Jan-27
NIFTY COMMODITIES	LONG	37.22	2008-Jan-04
NIFTY CONSUMPTION	SHORT	10.38	2015-Aug-05
NIFTY ENERGY	LONG	29.10	2008-Jan-14
NIFTY FIN SERVICE	SHORT	21.30	2015-Jan-28
NIFTY FMCG	SHORT	14.18	2015-Feb-25
NIFTY INFRA	SHORT	61.28	2008-Jan-09
NIFTY IT	LONG	88.23	2000-Feb-21
NIFTY MEDIA	LONG	16.13	2008-Jan-04
NIFTY METAL	LONG	69.81	2008-Jan-04
NIFTY MNC	LONG	17.75	2015-Aug-10
NIFTY PHARMA	LONG	15.00	2015-Apr-08
NIFTY PSE	LONG	36.55	2008-Jan-04
NIFTY PSU BANK	SHORT	57.35	2010-Nov-05
NIFTY REALTY	LONG	91.83	2008-Jan-14
NIFTY SERV SECTOR	SHORT	16.69	2015-Mar-03

Pharma seems to be clawing its way back up the momentum charts…

Categories Your Money Tags index, momentum, weekly

Index Update 16.01.2016

stockviz January 16, 2016January 16, 2016

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from November 03, 2015 through January 15, 2016:

Equally Weighted		Market Cap. Weighted
MEDIA (EQUAL)	+1.60%	ENERGY (CAP)	+4.06%
ENERGY (EQUAL)	+0.39%	MEDIA (CAP)	-0.99%
CONSUMPTION (EQUAL)	-2.87%	COMMODITIES (CAP)	-1.28%
COMMODITIES (EQUAL)	-4.49%	IT (CAP)	-4.54%
PSE (EQUAL)	-4.61%	CONSUMPTION (CAP)	-4.66%
IT (EQUAL)	-4.72%	PSE (CAP)	-4.91%
CPSE (EQUAL)	-6.20%	FMCG (CAP)	-5.61%
QUALITY 30 (EQUAL)	-6.21%	QUALITY 30 (CAP)	-6.33%
FMCG (EQUAL)	-6.30%	METAL (CAP)	-6.64%
AUTO (EQUAL)	-6.88%	GROWSECT 15 (CAP)	-6.65%
INFRA (EQUAL)	-7.91%	AUTO (CAP)	-6.87%
GROWSECT 15 (EQUAL)	-7.97%	CPSE (CAP)	-7.24%
VALUE 20 (EQUAL)	-8.67%	VALUE 20 (CAP)	-7.28%
METAL (EQUAL)	-9.06%	MNC (CAP)	-8.10%
SERV SECTOR (EQUAL)	-9.23%	SERV SECTOR (CAP)	-8.49%
MNC (EQUAL)	-9.81%	MIDCAP LIQUID 15 (CAP)	-9.19%
MIDCAP LIQUID 15 (EQUAL)	-11.01%	FIN SERVICE (CAP)	-11.37%
LIQ 15 (EQUAL)	-12.22%	BANK (CAP)	-12.46%
REALTY (EQUAL)	-12.81%	INFRA (CAP)	-12.63%
PHARMA (EQUAL)	-12.84%	REALTY (CAP)	-12.74%
FIN SERVICE (EQUAL)	-13.49%	PHARMA (CAP)	-13.74%
BANK (EQUAL)	-16.67%	LIQ 15 (CAP)	-14.14%
PSU BANK (EQUAL)	-25.89%	PSU BANK (CAP)	-23.64%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	17.09	2015-Jan-27
NIFTY BANK	LONG	26.02	2015-Jan-27
NIFTY COMMODITIES	SHORT	37.60	2008-Jan-04
NIFTY CONSUMPTION	LONG	10.19	2015-Aug-05
NIFTY ENERGY	SHORT	28.34	2008-Jan-14
NIFTY FIN SERVICE	LONG	22.84	2015-Jan-28
NIFTY FMCG	LONG	14.35	2015-Feb-25
NIFTY INFRA	LONG	60.96	2008-Jan-09
NIFTY IT	SHORT	88.49	2000-Feb-21
NIFTY MEDIA	LONG	18.33	2008-Jan-04
NIFTY METAL	LONG	70.43	2008-Jan-04
NIFTY MNC	LONG	15.76	2015-Aug-10
NIFTY PHARMA	LONG	18.59	2015-Apr-08
NIFTY PSE	SHORT	36.99	2008-Jan-04
NIFTY PSU BANK	LONG	56.98	2010-Nov-05
NIFTY REALTY	LONG	91.74	2008-Jan-14
NIFTY SERV SECTOR	LONG	18.49	2015-Mar-03

Pretty much every sub-index has a negative 50-day return…

Categories Your Money Tags index, momentum, weekly

Index Update 19.12.2015

stockviz December 19, 2015December 19, 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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from October 06, 2015 through December 18, 2015:

Equally Weighted		Market Cap. Weighted
METAL (EQUAL)	+4.55%	ENERGY (CAP)	+4.49%
ENERGY (EQUAL)	+2.36%	MEDIA (CAP)	+4.07%
CONSUMPTION (EQUAL)	+2.08%	COMMODITIES (CAP)	+1.92%
MEDIA (EQUAL)	+1.71%	AUTO (CAP)	+1.75%
COMMODITIES (EQUAL)	+0.95%	METAL (CAP)	+0.42%
INFRA (EQUAL)	+0.01%	CONSUMPTION (CAP)	-1.13%
PSE (EQUAL)	-0.29%	MNC (CAP)	-1.19%
LIQ 15 (EQUAL)	-0.48%	LIQ 15 (CAP)	-2.33%
FMCG (EQUAL)	-2.07%	PSE (CAP)	-3.51%
AUTO (EQUAL)	-2.43%	VALUE 20 (CAP)	-4.15%
VALUE 20 (EQUAL)	-2.62%	FMCG (CAP)	-4.20%
QUALITY 30 (EQUAL)	-2.79%	QUALITY 30 (CAP)	-5.16%
MNC (EQUAL)	-3.03%	FIN SERVICE (CAP)	-5.16%
REALTY (EQUAL)	-4.19%	MIDCAP LIQUID 15 (CAP)	-5.41%
SERV SECTOR (EQUAL)	-4.50%	SERV SECTOR (CAP)	-5.43%
CPSE (EQUAL)	-4.51%	BANK (CAP)	-5.83%
MIDCAP LIQUID 15 (EQUAL)	-4.80%	REALTY (CAP)	-6.50%
FIN SERVICE (EQUAL)	-4.93%	IT (CAP)	-6.88%
GROWSECT 15 (EQUAL)	-5.63%	CPSE (CAP)	-6.96%
IT (EQUAL)	-5.79%	GROWSECT 15 (CAP)	-7.03%
PHARMA (EQUAL)	-7.30%	PSU BANK (CAP)	-7.93%
BANK (EQUAL)	-8.55%	INFRA (CAP)	-8.28%
PSU BANK (EQUAL)	-8.75%	PHARMA (CAP)	-12.16%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	SHORT	11.21	2015-Jan-27
NIFTY BANK	LONG	19.27	2015-Jan-27
NIFTY COMMODITIES	SHORT	36.24	2008-Jan-04
NIFTY CONSUMPTION	SHORT	5.41	2015-Aug-05
NIFTY ENERGY	LONG	31.09	2008-Jan-14
NIFTY FIN SERVICE	SHORT	16.66	2015-Jan-28
NIFTY FMCG	SHORT	11.13	2015-Feb-25
NIFTY INFRA	SHORT	57.24	2008-Jan-09
NIFTY IT	SHORT	88.35	2000-Feb-21
NIFTY MEDIA	LONG	15.34	2008-Jan-04
NIFTY METAL	LONG	67.73	2008-Jan-04
NIFTY MNC	LONG	10.02	2015-Aug-10
NIFTY PHARMA	LONG	15.67	2015-Apr-08
NIFTY PSE	LONG	35.76	2008-Jan-04
NIFTY PSU BANK	LONG	45.99	2010-Nov-05
NIFTY REALTY	LONG	91.07	2008-Jan-14
NIFTY SERV SECTOR	SHORT	14.23	2015-Mar-03

Auto and Pharma – the darlings of days past.

Categories Your Money Tags index, momentum, weekly