Sandeep Kamath Portfolio | Momentum Investing

Not funds but indexes. Funds have been launched recently. As far as indexes are concerned, its all there on niftyindices.com

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Nice. What are the entry and exit rules? What is the universe?

Got it. Would you mind sharing the specific rules, or is that something you’d prefer to keep private?

Good point. All the results shown are from backtesting and they suffer from a huge leakage as they do not use the constituents of the index - Nifty 50, midcap etc definitions at that point in time

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The right way to do momentum investing is to:

  1. Choose a index: like Nifty 50, BSE 200, midcap, small cap
  2. Do momentum investing on the stocks in the index as that point in time
    Most times, the backtested gains are because of small caps that became mid caps or large caps over time. They are not part of the universe when the momentum strategy is run on the index in 1.

This is called look-forward bias and is very unintentional big mistake of most momentum investors

Not sure which backtesting results you are referring to. If you are talking about the Nifty momentum indexes, the 20 year record is obviously backtested results but I didnt understand the leakage part. If you look at the Nifty 200 Momentum 30 index results, they obviously started with the top 200 stocks from 2005. The backtesting has been done by NSE themselves. Not sure whats the issue we are referring to?

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