Sector Momentum Update

Updating the short-term momentum model for the week ending 19^th October 2018.

Note: This does not include commissions, slippage & taxes and I have no positions in this. Just posted for academic purpose. + We do not have any sector ETF’s.

Technicals for week ending – 05th October 2018.

Note : This is not a recommendation and I am not a registered analyst, these are just data points and an assessment of the positives and negatives from a longer term point of view.

Nifty Weekly

Chart 1. Longer term trend model based on weekly prices triggered an exit on Friday’s close. It exits when Nifty spot closes the week below its 40 week moving average. I exited half my position before the policy announcement and rest after it. Since the price was way below the exit trigger I sold during market hours, if price would have been very close to the moving average then I would have acted on Monday morning based on the final closing. Even though this trade was closed at a tiny profit, but I gave back a lot in terms of open profit. I am OK with this since this fall was really fast, looking back at some previous exits – they were slow and took time so cant extrapolate that every exit would be like this. You win some, you lose some. On the intermarket signals- easy guess – Nifty TRI is below the 40 week MA & Bond TRI is above its MA. Past instances show tough times during this signal.

Chart 2 Nifty total returns/10 year Bond index ratio is BELOW its 40-week MA & momentum also now favours Bond index, indicating longer term outperformance for bonds vs Nifty.

Chart 3 Longer term intermarket strength as per the RS matrix is in IT, Pharma & FMCG. With Realty and Media at the bottom.

Chart 4 Damage in other indices as most are below their respective 40-week MA.

Chart 5 Avg. & Median distance of all sectors from their 52-week closing high is at -20.3% & -17.2%.

Chart 6 CLI flows in Index futures segment is positive and been holding positive for few months now.

Sector Momentum Update

Updating the short-term momentum model for the week ending 05^th October 2018.

Note: This does not include commissions, slippage & taxes and I have no positions in this. Just posted for academic purpose. + We do not have any sector ETF’s.

Monthly Update

Updated figures for the equity-bond rotation models as on end September’18.

Data set: Nifty Total Returns Index & S&P BSE India 10 Year Sovereign Bond Index

Note: This does not include commissions, slippage & taxes.

I first wrote about these here:

Sector Technical Analysis: Buy & Rotate

Sector Technical Analysis: The Simple strategy…

The Moving average model switched to Nifty total returns index in end April 2018

The Momentum model is still invested in Nifty total returns index since end February 2017

NO – This does NOT outperform every year – stop asking that!!

Stats:

Sector Momentum Update

Updating the short-term momentum model for the week ending 28^th September 2018.

Note: This does not include commissions, slippage & taxes and I have no positions in this. Just posted for academic purpose. + We do not have any sector ETF’s.

Technicals for week ending – 21st September 2018.

Note : This is not a recommendation and I am not a registered analyst, these are just data points and an assessment of the positives and negatives from a longer term point of view.

Nifty Weekly

Chart 1. Longer term trend model based on weekly prices is long & I am allocated to Niftybees ETF. Bonds flipped to a uptrend as the 10-year TRI is above its 40-week MA and the second chart highlights different scenarios of Nifty and Bonds with respect to their 40 week MA. Currently we are in the blue scenario and as per history past signals have shown positive returns.

Chart 2 Nifty total returns/10 year Bond index ratio is above its 40-week MA & momentum also favours Nifty index, indicating longer term outperformance for Nifty vs bonds.

Chart 3 Longer term intermarket strength as per the RS matrix is in IT, Pharma & Energy. With Realty and Media at the bottom.

Chart 4 Damage in other indices as most are below their respective 40-week MA.

Chart 5 Avg. & Median distance of all sectors from their 52-week closing high is at -12.6% & -10.7%.

Chart 6 CLI flows in Index futures segment is positive and been holding positive for few months now.

Sector Momentum Update

Updating the short-term momentum model for the week ending 21^st September 2018.

Note: This does not include commissions, slippage & taxes and I have no positions in this. Just posted for academic purpose. + We do not have any sector ETF’s.

Technicals for week ending – 14th September 2018.

Note : This is not a recommendation and I am not a registered analyst, these are just data points and an assessment of the positives and negatives from a longer term point of view.

Nifty Weekly

Chart 1. Longer term trend model based on weekly prices is long & I am allocated to Niftybees ETF. Bonds are now in a downtrend as the 10-year TRI is below its 40-week MA and the second chart highlights different scenarios of Nifty and Bonds with respect to their 40 week MA. Currently we are in the orange scenario and as per history past signals have shown flat returns.

Chart 2 Nifty total returns/10 year Bond index ratio is above its 40-week MA & momentum also favours Nifty index, indicating longer term outperformance for Nifty vs bonds.

Chart 3 Longer term intermarket strength as per the RS matrix is in IT, Pharma & Energy. With Realty and Media at the bottom.

Chart 4 Indecisiveness in other indices as few sector indices are over their 40-week MA whereas most broader indices above that moving average.

Chart 5 Avg. & Median distance of all sectors from their 52-week closing high is at -9.7% & -7.8%.

Chart 6 CLI flows in Index futures segment is positive and been holding positive for few months now.