Sector Rotation

oxusmorouz · #81 29th June 2008, 04:49 PM

For the day ended 27 June 2008:

Code:

Best Performing:
                                  Values       ROC (30 day)
1) Pharma                          88.9154     -04.0310    
2) Software                        79.7853     -11.0608
3) FMCG                            76.5714     -10.1994
 
Worst Performing:
1) Real Estate                    36.6667     -39.1765
2) Civil Construction             43.5922     -31.3737
3) Cables                         44.2069     -24.9890

kkseal · #82 29th June 2008, 08:34 PM

Oxy, any wide deviations in the rankings by ROC as compared to the rankings by abs val or are the 2 pretty much the same?

oxusmorouz · #83 29th June 2008, 09:00 PM

Quote:

Originally Posted by kkseal

Oxy, any wide deviations in the rankings by ROC as compared to the rankings by abs val or are the 2 pretty much the same?

Haven't ranked it based on ROC, Kalyan. It's kind of a hectic process, considering you can't copy data from explorer in metastock to a text file or excel.

kkseal · #84 29th June 2008, 09:13 PM

Woo, an 'export' option should have been there.

Anyway, an interesting phenomena to track i think (the laggards, the beaten down sectors moving up the momentum ranks might even signal a mkt turn)

And perhaps you could consider reducing the ROC period to 20 days (i.e. 1 trading month)

Pardon me if i'm asking for too much.

Regards

oxusmorouz · #85 30th June 2008, 07:09 AM

Quote:

Originally Posted by kkseal

Woo, an 'export' option should have been there.

Anyway, an interesting phenomena to track i think (the laggards, the beaten down sectors moving up the momentum ranks might even signal a mkt turn)

And perhaps you could consider reducing the ROC period to 20 days (i.e. 1 trading month)

The export option is only for stocks filtered, not for the indicator values unfortunately.

No problem Kalyan, can reduce the ROC days to 20. An interesting phenomenon is that 18 sectors have underperformed the Nifty and only 8 are above it.

kkseal · #86 30th June 2008, 07:54 PM

Even more significant is the fact that the best performing in the bull phase have become the worst performing i.e. they have moved from one extreme to the other. Another bit of evidence perhaps that abs momentum is persistent (perhaps over a bull-bear cycle)*. I have always been a bit unsure as to what would make better positions (in terms of subsequent returns) at the 'turning pts' - what has hitherto been strong/weak or the converse. This study of indices data might provide some answers.

*statistical equivalent can perhaps be found in beta & alpha
& fundamental equivalent perhaps in valuations reverting to the mean (the leaders of the bull phase would tend to be most overvalued near the inflection point & ... you know the rest of the blah blah

)

oxusmorouz · #87 30th June 2008, 08:58 PM

For the day ended 30 June 2008:

Code:

Best Performing:
                                  Values       ROC (30 day)
1) Pharma                          88.6727     -06.0688    
2) Software                        77.7225     -13.9206
3) FMCG                            75.6738     -11.7268
 
Worst Performing:
1) Real Estate                    34.5269     -42.2626
2) Cables                         41.6926     -28.9073
3) Civil Construction             41.9772     -34.8518

oxusmorouz · #88 30th June 2008, 09:16 PM

Quote:

Originally Posted by kkseal

Even more significant is the fact that the best performing in the bull phase have become the worst performing i.e. they have moved from one extreme to the other. Another bit of evidence perhaps that abs momentum is persistent (perhaps over a bull-bear cycle)*. I have always been a bit unsure as to what would make better positions (in terms of subsequent returns) at the 'turning pts' - what has hitherto been strong/weak or the converse. This study of indices data might provide some answers.

*statistical equivalent can perhaps be found in beta & alpha
& fundamental equivalent perhaps in valuations reverting to the mean (the leaders of the bull phase would tend to be most overvalued near the inflection point & ... you know the rest of the blah blah

)

It does seem that way. Looks like they are averaging out. What went up at the speed of light came down the same way.

oxusmorouz · #89 1st July 2008, 08:36 PM

For the day ended 1 July 2008:

Code:

Best Performing:
                                  Values       ROC (20 day)
1) Pharma                          86.6498     -06.7890    
2) Software                        75.7153     -13.0497
3) FMCG                            73.6076     -11.1649
 
Worst Performing:
1) Real Estate                    32.4281     -37.1002
2) Cables                         39.8167     -25.5879
3) Civil Construction             40.3393     -28.4504

Nifty                             63.4201     -17.3700

ROC changed to 20days on Kalyan's request.

Out of the 26 sectors, only 6 : Pharma, Software, FMCG, Sugar, Aluminium, Oil exploration are outperforming nifty on an absolute basis.

uasish · #90 2nd July 2008, 12:09 AM

Very help full Analysis.