When we first launched our momentum strategy in India back in 2013, we were one of the few to openly talk about momentum as a systematic strategy. Even the thematic indices that were later launched by the NSE focused on value and beta. This resulted in momentum strategies being forced to inappropriately benchmark against market-cap weighted indices. Thankfully, that is not the case anymore.
S&P BSE Momentum Index
The BSE came out with a Momentum Index last year which can now be used to benchmark momentum strategies. An obvious flaw in this index is that it is rebalanced only once in 6 months whereas most academic research on momentum assume a monthly rebalance. However, if you look past that, it is a better alternative.
Here is how our Momo Relative Momentum strategy compares against the index:
Our risk-managed momentum strategy has out-performed the momentum index even after transaction costs.