Introduction
Our “absolute” momentum strategy is about three months old now and has put in some decent performance numbers. It will be interesting to see how this absolute-momentum strategy compares to relative-momentum over a longer time-frame.
Performance Summary
| held since | returns (%) | |
|---|---|---|
| TATAELXSI |
2015-Sep-04
|
+14.98
|
| GAYAPROJ |
2015-Sep-04
|
+88.74
|
| GMBREW |
2015-Sep-04
|
+129.97
|
| SANGAMIND |
2015-Sep-04
|
+25.82
|
| RUSHIL |
2015-Sep-04
|
+108.01
|
| MIRZAINT |
2015-Sep-04
|
+42.70
|
| 8KMILES |
2015-Oct-06
|
+0.58
|
| WELSPUNIND |
2015-Oct-06
|
+1.45
|
| DISHMAN |
2015-Oct-06
|
-17.05
|
| SRIPIPES |
2015-Oct-06
|
-1.01
|
| TAKE |
2015-Oct-06
|
+21.04
|
| NCLIND |
2015-Oct-06
|
+45.22
|
| LYKALABS |
2015-Oct-06
|
+59.55
|
| NAVINFLUOR |
2015-Nov-02
|
+8.42
|
| DEEPIND |
2015-Nov-02
|
+6.78
|
| PGEL |
2015-Nov-02
|
-22.91
|
| AEGISCHEM |
2015-Nov-02
|
+7.13
|
| MADHUCON |
2015-Nov-02
|
+2.36
|
| EMMBI |
2015-Nov-02
|
+55.79
|
| IZMO |
2015-Nov-02
|
+36.50
|
Since the last rebalance on 2015-Nov-02 till 2015-Nov-30, this strategy has returned +9.22%
You can find more details about the Velocity Theme here.