Tag: index

Index Update 14.02.2016

stockviz February 14, 2016February 14, 2016 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:

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 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:

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 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:

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 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:

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 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:

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