@Srisailesh_M_B Thank you. I don’t do any back testing as I do not have the resources for that.
I also have momentum pf strategies based on Midcap150 and Nifty 50.
@krishnasristy Correct! In fact, I have said it in multiple interactions. I have tried to base my strategy on Nifty Momentum Index and lot of the inputs I took from a strategy document of UTI who offer a MF using this index.
Please note that the universe is very different. I have created pfs based on Microcap250 and Smallcap250. This is also the reason why I use a weekly rebalance strategy. In my view, rebalancing a momentum index every 6 months does not make too much of sense. Even for large caps like Nifty 50 people use monthly rebalancing.
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I agree with you on the rebalancing frequency part. It must be more frequent than 6 months. I’m wondering if we could just enter the momentum index based ETFs via lump sum mode once every 6 months and move out of it within 1-2 months once the momentum has played out. We save the transactional costs and burden of very frequent DIY tracking. 2-3% lower returns must be OK for the peace of mind. Anyway, the allocation to this strategy can’t be more than 10% in anyone’s portfolio. Spending time every week on buy, sell and rebalance for 10% of portfolio may be a huge opportunity cost. Your thoughts?
Opportunity cost is the cost of missing a lucrative opportunity going for a lesser lucrative option. Here the reward is more, so opportunity cost w.r.t return does not exist here. Time spent is another matter. Also, one gets better at this by implementing many ideas which have the potential to give more returns, in a trending market. And, this can be automated too, as time becomes unavailable.
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No doubt one can make insane returns if one has the time and skill to capture the trend and move into it with meaningful allocation.
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@krishnasristy If you invest in an MF or a ETF, it depends on the underlying portfolio. If the rebalancing is done at 6 months interval, you may lose quite a bit waiting for the next rebalance. Investing and then moving out - not sure if you can time it that well either.
It also depends on the universe. If your universe is the same as the ETF or the MF, then you can simply follow it. But if your universe is different, it is incumbent upon you to do the tracking.
If you are transacting via a discount broker, you save straight away on brokerages. You will still have other statutory costs, but on an overall basis it will reduce the returns marginally only.
I do this over the weekend only and hence time is not an issue.
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@krishnasristy I am not sure about insane returns, but clearly I have seen that you can make a decent amount of money. With the evidence of over 15 months, I have seen that the pf is able to catch the trend quite well.
Whats your typical churn every week in a Large and midcap momentum portfolio?
@krishnasristy I don’t rebalance the midcap or large cap pfs every week.
I rebalance the Nifty 50 based pf once a month (on the 1st of the month) and the midcap based pf once in 15 days (on 1st and 16th).
These are just some of the rules that I have set for myself.
Typically, I end up changing one or two stocks during these rebalances.
Hi there, really impressed with your concept-based investing style.
I want to say that the google sheet you shared has error cells where i dont get to see the references, can you please share the current sheet again. it would of great help for studying.
Thankyou in advance.
Keep up the good work.
@Manish_Kumar3 I had shared this version as of last weekend with someone else. Please find below the link.
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@visuarchie Thanks for sharing this sheet. It is incredibly transparent way of sharing your work. Kudos!
Just couldn’t understand these numbers in the sheet. Could you please help
Smallcap250 index value and the weekly change in index.
Momentum ranking for the week ending 22nd March 2024.
- BSE
- MEDANTA
- MRPL
- SOBHA
- SUZLON
- HUDCO
- KALYANKJIL
- BSOFT
- MOTILALOFS
- COCHINSHIP
- SWANENERGY
- EIHOTEL
- CHALET
- TATAINVEST
- NBCC
- POWERINDIA
- MCX
- BRIGADE
- INTELLECT
- SJVN
The portfolio has recovered in the last two trading days.
In terms of change, INFIBEAM would have gone out and CHALET would have come in.
However, I will not be making any rebalance this week. This coming week is a truncated trading week with Monday (25th) and Friday (29th) being holidays. In addition, the Smallcap250 index will be rejigged end of next week.
I will plan my rebalance considering that event also for week beginning April 1st.
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In simple way, i can do this …
STEP 1: find 6 month price and 12 month price of stock
SETP 2: calculate the ratio of 6 month and 12 month price repesctively.
STEP3: Add both ratio giving 50% weightage of both ratio.
STEP 4: finally RANK the stocks and choose top ranking stocks.
for example: recently you added CHALET in your pf.
current price 819
6 month closing price 549
12 month closing price 361
ratio:
6 m = 819/549=. 1.491
12m = 819/361=. 2.268
Ranking of CHALET
(1.491+2.268)/2= 1.879.
find the ranking of all stocks and select top ranking stocks.
am i right? and is this a way to make pf ?
@kuldeep_agarwal Your strategy might also work.
What I suggested was slightly different. You have to do ranking 3 times.
- Check 1 year performance. Rank the stocks.
- Check 6 months performance. Rank the stocks.
- Add the rank of 1 year and 6 months. You will get total rank.
- Rank the stocks based on total rank.
This is the simplest and easiest way to start a momentum portfolio. You can add more factors to reduce the volatility or reduce drawdown etc.
But this should work for you well.
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i was calculating the avg. of rank…
ratio:
6 m = 819/549=. 1.491
12m = 819/361=. 2.268
Ranking of CHALET
(1.491+2.268)/2= 1.879.
but u r saying u add the ranks
ratio:
6 m = 819/549=. 1.491
12m = 819/361=. 2.268
Ranking of CHALET
(1.491+2.268)= 3.759…
so, according to you, the ranking will be 3.75
@kuldeep_agarwal My suggestion was different.
-
Check price change over 1 year. Rank the stocks. For ex: 1. BSE, 2. Suzlon, 3. TATAINVEST, 4. HUDCO, 5. BSOFT… upto 250.
-
Check price range over 6m. Rank the stocks. For example: 1. TATAINVEST, 2. HUDCO, 3. MRPL, 4. MCX, 5. BLUESTARCO.
-
Add the 1y and 6m ranking. In our example. TATAINVEST = 4 (3+1), HUDOCO = 6 (4 +2), like this for all stocks.
-
Rank the 250 stocks based on results obtained in Sl. No. 3.
-
You may need up with two or multiple stocks having the same rank. Ex. 1+4=5 or 4+1=5 or 2+3=5 etc. In such cases, please give priority to the nearer term performance, ie 6 months. Whichever has better performance at 6m has higher ranking.
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