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:
- Choose a index: like Nifty 50, BSE 200, midcap, small cap
- 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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My apologies I went off the grid for a while. A weekend course that I was pursuing kept me occupied. Also, over the last 2 months, I reviewed the performance of this portfolio and clubbed it with my continued research on Momentum strategies.
Finally as of today I retired my existing portfolio ( ended up with total gains of 38% with a max drawdown of 26% ). I expanded the universe to around 1000 companies and I added certain metrics ( apart from just price movements ). These are Beta, Sharpe ratio, Volatility and RSI.
Thus my strategy now has 2 parts to it →
- 3M/6M/12M returns
- Beta, Sharpe, RSI and volatility over the last 12M
Based on both of these, I pick the top 25 stocks and thats my portfolio. Rebalancing will be on Monthly basis ( instead of weekly ). Each stock is 3.6% of total capital and 10% is in cash. Here’s my current portfolio which I created this week…
- KITEX GARMENTS
- JSW HOLDINGS
- AUTHUM INVEST & INFRA
- BSE
- AXISCADES TECH
- 63 MOONS TECHNOLOGIES
- MANG.CHEM.FERT.LTD
- FORCE MOTORS
- KRISHANA PHOSCHEM
- SUVEN LIFE SCIENCES
- GALLANTT ISPAT
- MANORAMA INDUSTRIES
- PARADEEP PHOSPHATES
- GODFREY PHILLIPS INDIA LT
- ONE 97 COMMUNICATIONS
- SHARDA CROPCHEM
- GABRIEL INDIA
- CARTRADE TECH
- CUPID
- CHOICE INTERNATIONAL
- LAURUS LABS
- MADHYA BHARAT AGRO P.
- MCX
- SML ISUZU
- WEBSOL ENERGY SYSTEM
- CASH - 10%
Will track it on basis of NAV ( with a starting value of 100 as of today ). Benchmark will be “Nifty 500 Momentum 50” index since thats the closest that comes to what I intend to do.
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How would be using beta, sharpe, RSI, volatility for 1000 stocks? You are taking help of some website where these values are readily given and updated daily?
Its my own code and a database that I maintain. Price data in any case is sourced via broker APIs and then its code that calculates all of the metrics.
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