Sandeep Kamath Portfolio | Momentum Investing

Hi All,

Although I have been around for a while on this forum, I haven’t actively contributed/participated and in fact this is the first time I am initiating a thread.

About Me → I trade for a living - am a full-time day trader. I also have started a Mutual fund advisory service. Prior to trading, spent 17 years in the IT industry during which I got into the markets in 2013. Used to buy/sell stocks purely on the basis of fundamental analysis. Liquidated everything in 2018-2019 to close out my home loan…post-that, I quit the IT industry to become a full-time trader. Now, its pretty much everything in mutual funds ( that I pledge to get the required margin for intraday trading ).

So while this being in place, I got interested in Momentum investing sometime last year. Over the last few months, I spent a lot of my free time to write backtesting programs to try and close on a framework. Idea was to drill down to a strategy that has the combination of optimal returns and controlled drawdowns. Just last week, I did manage to close on this and have initiated a portfolio for myself.

This portfolio has been initiated just this week so nothing to report on its performance. This is purely price-based at the moment. Going forward, want to add a couple of filters from a fundamental standpoint as well but havent yet been able to close on the same. Kicked off the 20-stock portfolio nevertheless. Universe I have chosen is Nifty 500 and I essentially look at 6-12 month returns to rank the stocks.

Portfolio

From a timing standpoint, this is probably a bad time for momentum investing considering the run-up we have had but then I also thought the next few months will test out the resilience of the portfolio. Lets see how it goes.

Will be happy to get more insights on Momentum style if there are any practitioners here.

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It is high risk game considering the expected volatility / wild swings due to pre-post budget events and loksabha elections. Also Q3 so far has been a mixed bag.

Can you elaborate on the selection criteria, holding period, stop loss, target expectation if any, inclusions and exclusions etc?

What was the thought process in keeping the weightage more or less around five percent for all the stocks or was it deliberate . With the budget , elections and the changing commentary on the rate cuts , it sure is a brave move but the who knows. Also a high percentage of your stocks are trading at all time high with high multiples hence what’s your protection mechanism in the event of any downturn.

Can you define what do you mean by momentum and what criteria do you use to know when stock is out of momentum ?

I did something similar on paper from August-2023 to till date by following Nick Radge’s weekend trend trader book, here are the results:

I believe momentum investing is like buying an index fund which is a notch or two riskier than the index fund. So while market rises you will be 10-20% above market and when market falls you’ll be 10-20% below.

Also there’s UTI Nifty200 Momentum 30 Index Fund which does momentum investing in Nifty 200 stocks.

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Well, the Nifty 200 Momentum 30 index has comfortably outperformed the Nifty by a significant margin over a 10-year period. Its performance is closer to the Midcap index though but again with lower drawdowns.

And thats the premise I am working on. Can we take the base premise of the Momentum 30 index and build on the flexibility that we as retail investors have ( like the ability to get into cash and stay in cash, shorter rebalance cycles, maybe some discretion )? I think the answer is yes and thats what I am set out to test.

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Equal weight portfolio so each is around 5%…

As to the other point, protection mechanism is timely exits…will be scanning through my portfolio every friday and will exit as needed…the idea is to be either in strong stocks or in cash…

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No changes to portfolio as yet…as i had mentioned, this portfolio will be evaluated every Friday afternoon and rebalanced as needed…

Portfolio start date → Jan 23, 2024
Total Returns → 4.94%

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This Friday, first rebalance got triggered. RHIM went out and MRPL made its way in…

RHIM exit price → 646.5
MRPL entry price → 241.9

Portfolio start date → Jan 23, 2024
Total returns → 7.7%

What is the reason for MRPL entry?

Hi Sandeep. I too just started Momentum investing for its simplicity and the passive nature of its structure. Finally took a plunge after reading ‘Stocks on the move’. I am running it on nifty 500 and rankings based on sharpe ratio.

What is your rebalance period?

Weekly Rebalance…I scan through my portfolio every Friday post Noon and then make changes if needed.

By the way, no changes since my last update on Feb 19. There was some turbulence last week but didnt trigger any sell decisions.

Overall portfolio down 3%

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Hi Sandeep,
Your strategy seems quite interesting and promising too
Curious to get insights on how much has the portfolio returned till now?
It would be great if you can keep posting returns biweekly/monthly, and insights you gained

Hi Sandeep, interesting work I must say. It would be great to keep track of this thread for many of us.
Also, there is a similar thread related to smallcap momentum investing (Smallcap momentum portfolio - #9 by visuarchie)
Finally, I had a request to make, maybe you could report your results bi-weekly with reasons for your entry/exit.
Thanks!

what is the exit criteria you are following?

Not much to update since no change in portfolio at all.

Portfolio start date → Jan 23, 2024
Total returns → 8.97%

Yes, will try and post updates at some fixed interval. Market looks neutral to bullish at the moment so am not anticipating too many changes in the portfolio in the near future…lets see.

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