Author: shyam

Relative Momentum Back-test

Daily data of over 35,000 global indexes published by NASDAQ OMX including Global Equity, Fixed Income, Dividend, Green, Nordic, etc. are available for free download on Quandl. Out of which about 1000 indices are USD denominated Total Return (TR) indices. We were curious to find out the result of applying our Relative Momentum algorithm on this subset. We also wanted to know if the rank of the Indian TR Index within this subset can be used to time NIFTY or MIDCAP investments. To know more, download the pdf Relative Momentum Back-test.

The charts in the document are low-res. Whatsapp us on +918026650232 for the high-res ones.

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Book Review: Hedge Fund Market Wizards

Hedge Fund Market Wizards: How Winning Traders Win by Jack Schwager (Amazon,) is a collection of interviews of successful hedge fund mangers.

I excerpted the parts I found interesting and personally applicable to me in Evernote. Read that to get an idea of what the book is about.

The book would have been even better if he included some quant hedge fund managers other than Bridgewater’s Dalio.

Recommendation: Read it now!

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Book Review: Founders at Work

Founders at Work: Stories of Startups’ Early Days (Amazon,) is a collection of interviews of successful, white, men who founded tech startups.

The book is good for two things:

  1. Knowing that start up founders come from a wide variety of backgrounds and walk their own path.
  2. Creating a list of twitter users you may want to follow.

Recommendation: skip.

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Trend Following vs. Trend Prediction, Part II

We are finally past the 100-day milestone on our machine-learning trend-following models. Here is how it compares against our other momentum models:

The ML algos out-performed a majority of traditional momentum algorithms. “NN” here stand for Neural Network and “ML” for models that use a SVM under the hood. It will be interesting to see how these models look under the 200-day lens as the short-term “luck-factor” evens out.

You can check out these models here.
The first post in this series is here.

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Benchmarking against a Momentum Index

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.

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