Tag: index

Index Update 12.12.2015

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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 2015-12-11 png

index momentum best 50 2015-12-11 png

index momentum worst 365 2015-12-11 png

index momentum worst 50 2015-12-11 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-11 png

Refactored Index Performance

50-day performance, from September 28, 2015 through December 11, 2015:

Equally Weighted Market Cap. Weighted
METAL (EQUAL) +5.60% ENERGY (CAP) +7.18%
ENERGY (EQUAL) +3.66% AUTO (CAP) +4.84%
CONSUMPTION (EQUAL) +3.63% COMMODITIES (CAP) +4.41%
COMMODITIES (EQUAL) +3.03% METAL (CAP) +3.04%
INFRA (EQUAL) +1.73% MEDIA (CAP) +2.23%
FMCG (EQUAL) +0.22% CONSUMPTION (CAP) +2.17%
PSE (EQUAL) +0.15% FMCG (CAP) +1.00%
VALUE 20 (EQUAL) -0.92% PSE (CAP) -0.81%
LIQ 15 (EQUAL) -1.16% LIQ 15 (CAP) -1.54%
MEDIA (EQUAL) -1.29% VALUE 20 (CAP) -1.78%
AUTO (EQUAL) -1.42% CPSE (CAP) -1.86%
CPSE (EQUAL) -1.70% MNC (CAP) -1.90%
QUALITY 30 (EQUAL) -2.14% QUALITY 30 (CAP) -2.97%
REALTY (EQUAL) -2.41% FIN SERVICE (CAP) -3.10%
MNC (EQUAL) -2.78% MIDCAP LIQUID 15 (CAP) -3.58%
FIN SERVICE (EQUAL) -3.01% SERV SECTOR (CAP) -4.02%
SERV SECTOR (EQUAL) -3.52% BANK (CAP) -4.50%
MIDCAP LIQUID 15 (EQUAL) -3.55% GROWSECT 15 (CAP) -4.58%
GROWSECT 15 (EQUAL) -3.70% INFRA (CAP) -4.68%
IT (EQUAL) -6.01% REALTY (CAP) -5.61%
PHARMA (EQUAL) -6.57% IT (CAP) -6.36%
BANK (EQUAL) -7.75% PSU BANK (CAP) -7.54%
PSU BANK (EQUAL) -8.82% PHARMA (CAP) -11.39%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
12.71
2015-Jan-27
NIFTY BANK LONG
20.49
2015-Jan-27
NIFTY COMMODITIES LONG
38.18
2008-Jan-04
NIFTY CONSUMPTION LONG
7.56
2015-Aug-05
NIFTY ENERGY LONG
33.38
2008-Jan-14
NIFTY FIN SERVICE LONG
18.47
2015-Jan-28
NIFTY FMCG LONG
11.98
2015-Feb-25
NIFTY INFRA LONG
58.43
2008-Jan-09
NIFTY IT SHORT
88.44
2000-Feb-21
NIFTY MEDIA SHORT
19.15
2008-Jan-04
NIFTY METAL LONG
69.06
2008-Jan-04
NIFTY MNC LONG
12.51
2015-Aug-10
NIFTY PHARMA SHORT
17.70
2015-Apr-08
NIFTY PSE LONG
37.51
2008-Jan-04
NIFTY PSU BANK LONG
46.32
2010-Nov-05
NIFTY REALTY LONG
91.37
2008-Jan-14
NIFTY SERV SECTOR LONG
16.10
2015-Mar-03
All eyes on the Fed…
Categories Tags , ,

Index Update 05.12.2015

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 2015-12-04 png

index momentum best 50 2015-12-04 png

index momentum worst 365 2015-12-04 png

index momentum worst 50 2015-12-04 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-12-04 png

Refactored Index Performance

50-day performance, from September 18, 2015 through December 04, 2015:

Equally Weighted Market Cap. Weighted
ENERGY (EQUAL) +6.71% AUTO (CAP) +5.18%
INFRA (EQUAL) +6.01% ENERGY (CAP) +4.83%
CONSUMPTION (EQUAL) +4.41% CONSUMPTION (CAP) +3.75%
METAL (EQUAL) +4.31% FMCG (CAP) +3.06%
COMMODITIES (EQUAL) +3.83% COMMODITIES (CAP) +2.26%
PSE (EQUAL) +2.97% MEDIA (CAP) +1.52%
MEDIA (EQUAL) +2.94% REALTY (CAP) +0.78%
CPSE (EQUAL) +2.91% CPSE (CAP) -0.29%
REALTY (EQUAL) +2.67% MIDCAP LIQUID 15 (CAP) -0.30%
MIDCAP LIQUID 15 (EQUAL) +0.83% METAL (CAP) -0.32%
PSU BANK (EQUAL) +0.79% PSE (CAP) -0.83%
FMCG (EQUAL) +0.35% MNC (CAP) -1.71%
FIN SERVICE (EQUAL) -0.35% LIQ 15 (CAP) -1.83%
AUTO (EQUAL) -0.51% PSU BANK (CAP) -1.88%
VALUE 20 (EQUAL) -0.83% VALUE 20 (CAP) -1.90%
QUALITY 30 (EQUAL) -1.86% QUALITY 30 (CAP) -2.47%
LIQ 15 (EQUAL) -2.06% FIN SERVICE (CAP) -2.67%
PHARMA (EQUAL) -2.17% BANK (CAP) -3.00%
SERV SECTOR (EQUAL) -2.56% GROWSECT 15 (CAP) -3.43%
GROWSECT 15 (EQUAL) -2.71% SERV SECTOR (CAP) -3.99%
MNC (EQUAL) -3.08% IT (CAP) -6.33%
IT (EQUAL) -4.93% INFRA (CAP) -6.52%
BANK (EQUAL) -5.06% PHARMA (CAP) -8.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
9.44
2015-Jan-27
NIFTY BANK SHORT
17.80
2015-Jan-27
NIFTY COMMODITIES SHORT
35.95
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.81
2015-Aug-05
NIFTY ENERGY SHORT
31.97
2008-Jan-14
NIFTY FIN SERVICE SHORT
16.57
2015-Jan-28
NIFTY FMCG SHORT
9.90
2015-Feb-25
NIFTY INFRA SHORT
56.92
2008-Jan-09
NIFTY IT SHORT
88.51
2000-Feb-21
NIFTY MEDIA LONG
18.62
2008-Jan-04
NIFTY METAL LONG
67.66
2008-Jan-04
NIFTY MNC SHORT
11.10
2015-Aug-10
NIFTY PHARMA SHORT
15.81
2015-Apr-08
NIFTY PSE SHORT
35.06
2008-Jan-04
NIFTY PSU BANK LONG
42.61
2010-Nov-05
NIFTY REALTY LONG
90.84
2008-Jan-14
NIFTY SERV SECTOR SHORT
14.66
2015-Mar-03
NIFTY MNC has been trailing lately. Is the trade overdone?
Categories Tags , ,

Index Update 28.11.2015

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 2015-11-27 png

index momentum best 50 2015-11-27 png

index momentum worst 365 2015-11-27 png

index momentum worst 50 2015-11-27 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-27 png

Refactored Index Performance

50-day performance, from September 10, 2015 through November 27, 2015:

Equally Weighted Market Cap. Weighted
PSU BANK (EQUAL) +10.68% ENERGY (CAP) +10.44%
ENERGY (EQUAL) +10.51% PSU BANK (CAP) +8.58%
INFRA (EQUAL) +10.04% AUTO (CAP) +7.34%
REALTY (EQUAL) +7.90% CONSUMPTION (CAP) +7.16%
CONSUMPTION (EQUAL) +6.18% FMCG (CAP) +5.90%
FIN SERVICE (EQUAL) +5.16% REALTY (CAP) +4.96%
MIDCAP LIQUID 15 (EQUAL) +4.47% FIN SERVICE (CAP) +4.80%
BANK (EQUAL) +4.21% BANK (CAP) +4.63%
PSE (EQUAL) +4.06% MEDIA (CAP) +4.37%
SERV SECTOR (EQUAL) +3.88% COMMODITIES (CAP) +4.36%
COMMODITIES (EQUAL) +3.85% LIQ 15 (CAP) +3.19%
VALUE 20 (EQUAL) +3.77% VALUE 20 (CAP) +3.01%
CPSE (EQUAL) +3.43% CPSE (CAP) +2.75%
AUTO (EQUAL) +3.17% MIDCAP LIQUID 15 (CAP) +2.58%
METAL (EQUAL) +1.61% PSE (CAP) +2.56%
FMCG (EQUAL) +1.44% SERV SECTOR (CAP) +2.42%
MEDIA (EQUAL) +0.75% QUALITY 30 (CAP) +0.44%
GROWSECT 15 (EQUAL) +0.66% MNC (CAP) +0.11%
QUALITY 30 (EQUAL) +0.54% GROWSECT 15 (CAP) +0.06%
LIQ 15 (EQUAL) +0.37% METAL (CAP) -2.32%
PHARMA (EQUAL) +0.14% IT (CAP) -2.71%
IT (EQUAL) -0.47% INFRA (CAP) -4.01%
MNC (EQUAL) -1.48% PHARMA (CAP) -6.12%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
7.21
2015-Jan-27
NIFTY BANK SHORT
15.49
2015-Jan-27
NIFTY COMMODITIES SHORT
35.90
2008-Jan-04
NIFTY CONSUMPTION LONG
4.30
2015-Aug-05
NIFTY ENERGY LONG
31.03
2008-Jan-14
NIFTY FIN SERVICE SHORT
13.83
2015-Jan-28
NIFTY FMCG SHORT
8.34
2015-Feb-25
NIFTY INFRA SHORT
55.79
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
17.55
2008-Jan-04
NIFTY METAL SHORT
68.40
2008-Jan-04
NIFTY MNC SHORT
10.52
2015-Aug-10
NIFTY PHARMA SHORT
16.37
2015-Apr-08
NIFTY PSE SHORT
34.30
2008-Jan-04
NIFTY PSU BANK SHORT
40.16
2010-Nov-05
NIFTY REALTY SHORT
90.89
2008-Jan-14
NIFTY SERV SECTOR SHORT
12.35
2015-Mar-03
Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.
Categories Tags , ,

Index Update 21.11.2015

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 2015-11-20 png

index momentum best 50 2015-11-20 png

index momentum worst 365 2015-11-20 png

index momentum worst 50 2015-11-20 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-20 png

Refactored Index Performance

50-day performance, from September 04, 2015 through November 20, 2015:

Equally Weighted Market Cap. Weighted
INFRA (EQUAL) +11.95% ENERGY (CAP) +11.02%
ENERGY (EQUAL) +11.25% AUTO (CAP) +10.45%
PSU BANK (EQUAL) +8.40% CONSUMPTION (CAP) +7.05%
REALTY (EQUAL) +7.09% PSU BANK (CAP) +6.87%
FIN SERVICE (EQUAL) +5.93% BANK (CAP) +5.70%
MIDCAP LIQUID 15 (EQUAL) +5.91% MEDIA (CAP) +5.52%
PSE (EQUAL) +5.86% FIN SERVICE (CAP) +5.46%
CONSUMPTION (EQUAL) +5.82% COMMODITIES (CAP) +5.43%
COMMODITIES (EQUAL) +5.41% 00 LIQ 15 (CAP) +4.26%
BANK (EQUAL) +5.04% FMCG (CAP) +4.02%
0 VALUE 20 (EQUAL) +4.54% MIDCAP LIQUID 15 (CAP) +3.80%
AUTO (EQUAL) +4.53% REALTY (CAP) +3.54%
CPSE (EQUAL) +4.45% 0 VALUE 20 (CAP) +3.35%
SERV SECTOR (EQUAL) +4.37% PSE (CAP) +3.26%
METAL (EQUAL) +2.35% SERV SECTOR (CAP) +2.82%
00 LIQ 15 (EQUAL) +1.89% CPSE (CAP) +2.41%
FMCG (EQUAL) +0.70% MNC (CAP) +1.83%
MEDIA (EQUAL) +0.47% QUALITY 30 (CAP) +0.15%
QUALITY 30 (EQUAL) +0.44% METAL (CAP) -0.27%
GROWSECT 15 (EQUAL) +0.39% GROWSECT 15 (CAP) -0.68%
MNC (EQUAL) +0.26% INFRA (CAP) -1.63%
PHARMA (EQUAL) -0.11% IT (CAP) -2.83%
IT (EQUAL) -0.63% PHARMA (CAP) -6.74%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
8.35
2015-Jan-27
NIFTY BANK SHORT
17.03
2015-Jan-27
NIFTY COMMODITIES LONG
36.30
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.11
2015-Aug-05
NIFTY ENERGY SHORT
32.35
2008-Jan-14
NIFTY FIN SERVICE SHORT
15.36
2015-Jan-28
NIFTY FMCG SHORT
8.28
2015-Feb-25
NIFTY INFRA SHORT
56.17
2008-Jan-09
NIFTY IT LONG
88.36
2000-Feb-21
NIFTY MEDIA LONG
19.97
2008-Jan-04
NIFTY METAL SHORT
68.58
2008-Jan-04
NIFTY MNC SHORT
9.35
2015-Aug-10
NIFTY PHARMA LONG
15.51
2015-Apr-08
NIFTY PSE LONG
34.98
2008-Jan-04
NIFTY PSU BANK LONG
41.92
2010-Nov-05
NIFTY REALTY LONG
91.28
2008-Jan-14
NIFTY SERV SECTOR LONG
13.63
2015-Mar-03
Is there a dash-for-trash thing going on where the beaten-down, heavily leveraged sectors are finding a bid? Look at the recent performance of INFRA and ENERGY. Is this a blip or a fundamental shift?
Categories Tags , ,

Index Update 07.11.2015

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 2015-11-06 png

index momentum best 50 2015-11-06 png

index momentum worst 365 2015-11-06 png

index momentum worst 50 2015-11-06 png

Relative Strength Spread

CNX_500 relative-spread-index 50 2015-11-06 png

Refactored Index Performance

50-day performance, from August 25, 2015 through November 06, 2015:

Equally Weighted Market Cap. Weighted
CNX ENERGY (EQUAL) +11.14% CNX ENERGY (CAP) +10.20%
CNX INFRA (EQUAL) +9.42% CNX REALTY (CAP) +9.27%
CNX REALTY (EQUAL) +9.40% CNX MEDIA (CAP) +6.32%
CNX COMMODITIES (EQUAL) +4.72% CNX COMMODITIES (CAP) +5.83%
CNX FINANCE (EQUAL) +4.56% CNX CONSUMPTION (CAP) +3.16%
CNX CONSUMPTION (EQUAL) +4.49% CNX AUTO (CAP) +2.93%
CNX PSE (EQUAL) +3.65% CPSE INDEX (CAP) +2.67%
CNX SERVICE (EQUAL) +3.08% CNX FMCG (CAP) +1.94%
CPSE INDEX (EQUAL) +3.03% CNX PSE (CAP) +1.91%
LIX 15 (EQUAL) +1.90% CNX IT (CAP) +1.69%
CNX MEDIA (EQUAL) +1.72% CNX SERVICE (CAP) +1.38%
LIX15 Midcap (EQUAL) +0.89% CNX FINANCE (CAP) +1.09%
CNX FMCG (EQUAL) +0.72% NSE QUALITY 30 (CAP) +1.01%
CNX IT (EQUAL) +0.54% NV20 (CAP) +0.73%
NV20 (EQUAL) +0.10% LIX 15 (CAP) +0.65%
CNX PSU BANK (EQUAL) -0.02% NI15 (CAP) +0.10%
CNX METAL (EQUAL) -0.40% CNX METAL (CAP) -0.41%
NSE QUALITY 30 (EQUAL) -0.40% CNX BANK (CAP) -0.72%
NI15 (EQUAL) -0.45% LIX15 Midcap (CAP) -0.94%
CNX PHARMA (EQUAL) -0.85% CNX MNC (CAP) -1.02%
CNX MNC (EQUAL) -1.31% CNX PSU BANK (CAP) -3.97%
CNX AUTO (EQUAL) -2.26% CNX INFRA (CAP) -4.26%
CNX BANK (EQUAL) -2.58% CNX PHARMA (CAP) -4.32%

Trend Model Summary

Index Signal % From Peak Day of Peak
CNX AUTO SHORT
10.50
2015-Jan-27
CNX BANK LONG
16.88
2015-Jan-27
CNX COMMODITIES SHORT
35.50
2008-Jan-04
CNX CONSUMPTION SHORT
6.49
2015-Aug-05
CNX ENERGY SHORT
32.00
2008-Jan-14
CNX FMCG LONG
9.17
2015-Feb-25
CNX INFRA LONG
55.66
2008-Jan-09
CNX IT SHORT
87.97
2000-Feb-21
CNX MEDIA LONG
20.59
2008-Jan-04
CNX METAL LONG
68.69
2008-Jan-04
CNX MNC SHORT
9.63
2015-Aug-10
CNX NIFTY LONG
11.58
2015-Mar-03
CNX PHARMA LONG
11.60
2015-Apr-08
CNX PSE LONG
34.06
2008-Jan-04
CNX PSU BANK LONG
42.26
2010-Nov-05
CNX REALTY LONG
90.82
2008-Jan-14
CNX SERVICE LONG
12.09
2015-Mar-03
The DRL fiasco dinged the last samurai. Will FMCG lead from hear on out?
Categories Tags , ,