As requested, I am giving below link to the Google Spreadsheet.
I have removed the formulae as the url will vary for everyone when they integrate the bhavcopy.
@hariharancj I am concerned that you are seeing big differences between the two. Please have a look at the sheet and let me know where the error is coming from. Look back dates or 1y / 6m price change or STDEV. Let us see where the error is.
Sir, Look back dates are 23/06/23 for 12 months & 22/12/23 for 6 months. I observed the difference was mainly on values in my file was due to earlier data pulled from google sheets which led to change in SD as well. Now i have updated all values as per your sheet and will check again next week while integrating with BHAV values.
However, there were no major difference in small cap momentum list .
50EMA (21390) > 200EMA (18948); hence, we can continue without any change.
Based on ranking:
KIRLOSENG
PURVA
JYOTICNC
TECHNOE
AZAD
TVSHLTD
KIRLOSBROS
IFCI
CHOICEIN
NETWEB
RTNPOWER
ITDCEM
SHARDAMOTR
KESORAMIND
KPIGREEN
THOMASCOOK
WABAG
GANESHHOUC
SENCO
HERITGFOOD
TIDEWATER
HGINFRA
TIMETECHNO
NAVA
GULFOILLUB
Based on A → for easy tracking:
AZAD*
CHOICEIN
GANESHHOUC
GULFOILLUB*
HERITGFOOD
HGINFRA
IFCI
ITDCEM
JYOTICNC
KESORAMIND
KIRLOSBROS
KIRLOSENG
KPIGREEN
NAVA*
NETWEB
PURVA
RTNPOWER
SENCO*
SHARDAMOTR*
TECHNOE
THOMASCOOK
TIDEWATER
TIMETECHNO
TVSHLTD
WABAG*
Exits:
ANANTRAJ, ASHOKA, ELECTCAST, IIFLSEC and MOIL exit.
BASF and VOLTAMP stay within the top 30 and hence remain.
Entries:
NAVA, SENCO, SHARDAMOTR, TIDEWATER and WABAG enter.
GULFOILLUB cannot enter as there is no vacancy.
AZAD is still under 6 months on the stock exchange and hence not considered.
Hi @visuarchie ,
Azad listed on 28/12/2023. It has completed 6 months now right or are you talking about 6 months of trading sessions(180 trading sessions)?
@SaurabhVj My bad; you are right. It has started from 28/12/2023 and that means it should have been in the pf. This week I have already completed my rebalancing. Will be in contention next week.
@Mohana_kri Hello, thanks for your comments. Please find below answers to your questions.
Please clarify when you say the results are different. Is the selection itself very different or the order?
2a. This is something that I have observed. This has a lot to do with the stock weights in the index. It is possible that the stocks we are holding may move a lot, but has a lower weightage in the index. This can cause differences between the two. I have been enquiring and asking several people about this. One of the suggestions was to compare the NAV of any MF running on this index and the NAV of this pf. I am working on this and I have been computing the NAV of these pfs on a daily basis.
2b. I have not seen any correlation like this, but I believe it is more related to 2a.
2c. Again, no such correlation as long as the comparison is with Microcap 250 index. Same explanation as 2a.
2d. Yes, we do not take any action mid week.
If you are referring to UTI Momentum pf, then the answer is yes. I have tried to understand their methodology and derived my own worksheet.
Both Order and selection both, can you please clarify the start date used in your calculation of 6 month and 12 month returns.
My list ordered by rank from 1 to 30
2a. I was using motilal oswal microcap250(MUTF_IN:MOTI_OSWA_NIFT_84KT56) to calculate index returns
2b. Let me clarify what I’m saying. I’m talking about daily returns, for eg when index(microcap250) is up 1% for a day and portfolio is up 1.3% for same day, I call it outperformance, else underperformance. There are days when portfolio underperform index. I wanted to confirm if you have also observed this.
Also, please check book " Quantitative Momentum: A Practitioner’s Guide to Building a Momentum-Based Stock Selection System"
My look back dates are 1y and 6m are 30/06/2023 and 29/12/2023 respectively.
2a. As I was mentioning, instead of looking at the index values, if we were to look at NAV of some MF, that might be a good reference. The NAV of this MF might also suffer from same issue of weightage as it is purely passive investing. However, it is good comparison as that is what an investor will get if he had invested in that fund. I did a quick check on the NAV of this fund and compared from 09th May (when I started to compute NAV) to 28th June. Motilal has given a return of 15.68% and this pf has given 17.67%.
2b. Thanks for your clarification. This is quite possible. We have chosen 25 out of 250 stocks for investment. On days when the stocks outside our 25 go up or when stocks in our 25 go down, then clearly we will underperform the index. However, over longer periods, I expect that this pf will benefit by the same logic that we are holding just 25 of the strongest stocks. I might compare the returns with this fund on 1m, 6m and 12m basis going forward (as and when my NAV data becomes mature).
Thanks for your recommendation regarding Wesley Gray’s book. Will check it out.
Hi sir,
I’ve been following your threads very actively but haven’t started investing on this pf yet, mainly due to laziness I would say.
What will be the minimum amount required to make a fresh investment on this pf and the smallcap momentum pf, for equal weighted pf?
What’s the main difference between your strategy and UTI nifty momentum 30? Is it just the index (uti is top 200 and yours is small and micro)? Or the rebalance period too (you rebalance every week, UTI does 6 months once?)
In Google docs is it possible to get daily NAV of MFs for a year like you do for individual stocks?
Your strategy is excellent, picking the top 20 momentum stocks. Instead of absolute momentum, if we pick rate of change of momentum as the criteria, will it yield better results (as top momentum stocks will be priced in already but the stocks which is picking up momentum will have more steam left)?
@Sudhakar_Subramanian As you have still not started, it might worthwhile to wait to understand the impact of a new SEBI order that might make discount brokers start charging brokerage. If they continue as today without brokerage, then we are all ok to continue.
This pf has got three high value scrips, TVSHLTD, VOLTAMP and BASF. Further, this is a 25 stock pf. Therefore, with all stocks in place, the min amount will be Rs. 3.4 lacs. Without TVSHLTD, the min amount is Rs. 2.98 lacs. Without TVSHLT and VOLTAMP, the min amount is Rs. 1.3 lacs. With all 3 not included, the minimum falls to 66k.
Similarly, the smallcap pf has one high price stock, POWERINDIA. With this included, the min amount is 2.79 lacs. Without POWERINDIA, the min amount is Rs. 85k. This is 20 stock pf.
Yes, the universe and the rebalancing frequency.
For some MFs (index funds and ETF) it is possible. Google Finance may not have symbols for all MFs.
Please clarify what you mean by rate of change and over what look back period? We use 2 look back periods of 1y and 6m and we also have a volatility control factor.
sir apologies if you have already answered this but my question is the calculation behind 3.4 lakhs for the 25 stock microcap pf - how many of each stock should we buy? we only seem to get 3 of tvshlt based on above calculation
@vamsi00797 The way we can calculate the min amount is to check the highest price stock and buy just 1 of it. We have decided that we want to have equal weighted pf to start with. Therefore, all 25 stocks must have the same value of the highest stock.
In our case, the highest price stock is TVSHLTD at Rs. 13,868. We buy only 1 of this. And we need to buy all other stocks for the same value. Therefore, the minimum amount becomes 13,868 x 25 = 3.4 lacs.
Continuing in our example, the lowest price stock is RTNPOWER at Rs. 17. We should buy 13,868 / 17 = 815 shares. We should do like this for all stocks.
What I meant by rate of change of momentum is, sort the stocks in terms of how many places it went up in momentum rank compared to previous week/month.
If a stock jumped 10 places in rank say from 50 to 40 this week. Is it not having a better momentum than a stock which jumped from 3rd to 2nd this week?
This is more of a derivative play of your current strategy.
Pardon me if this is deviating from already complex strategy.
I think I have understood what you are suggesting. Let me clarify.
You have added one more look back period (1 week) in addition to 1y and 6m.
You are not quantifying the rate of change, but looking at positional change only.
It could happen that a stock changes by 5% in one week and moves from 50 to 40 while another moves by 10% and moves from 30 to 20. Which is more important? Clearly, the one moving 10%.
Typically, we do not consider short look back periods like 1week or 1 month or even 3 months as you might get spikes in data that lead you to wrong conclusion. 6m and 1y are normally considered balanced periods where we do not miss out the momentum, but at the same time do not get swayed by spikes in price. Our volatility factor will protect us from considering stocks with sudden spurts.
