Tag: momentum

Residual Momentum

The conventional way of implementing momentum strategies rank either relative or absolute time series returns of a universe of stocks. If either market beta, value or the small-cap premium had a big hand in driving equity returns during the formation period, then the momentum portfolio will be overweight those factors. This leads to steep momentum crashes, or so the theory goes.

In their paper on Residual Momentum, Blitz, Huij and Martens propose ranking stocks based on the residuals obtained after fitting their return series to the Fama-French Three factor model. They argue that a portfolio created this way outperforms vanilla momentum strategies.

We have created an automated residual momentum strategy, Momo (Residual) v1.0, that implements the residual momentum strategy outlined in the paper.

Categories , Tags ,

Theme: Momentum Update 08.08.2016

held since returns (%)
COSMOFILMS
2016-Feb-02
+10.93
HIMATSEIDE
2016-Apr-04
+29.59
TRIVENI
2016-Apr-04
+16.24
MINDAIND
2016-Jun-08
+0.42
APLAPOLLO
2016-Jun-08
+1.41
NEULANDLAB
2016-Jun-08
+9.21
RUSHIL
2016-Jun-08
-8.30
GHCL
2016-Jun-08
+40.50
MANAPPURAM
2016-Jun-08
+50.13
MEGH
2016-Jun-08
+17.39
A2ZINFRA
2016-Jun-08
+47.24
LUMAXIND
2016-Jul-04
+4.67
KIRIINDUS
2016-Jul-04
-8.42
TIRUMALCHM
2016-Jul-04
+12.19
BALAMINES
2016-Jul-04
+8.28
GNFC
2016-Jul-04
-8.21
TRIGYN
2016-Jul-04
-16.24
PTL
2016-Jul-04
-1.10
BODALCHEM
2016-Jul-04
-0.67
PRICOL
2016-Jul-04
+38.99
Since the last rebalance on 2016-Jul-04 till 2016-Aug-05, this strategy has returned +1.73%

You can find more details about the Momentum Theme here.

Categories Tags ,

Theme: Momentum Update 04.07.2016

held since returns (%)
KWALITY
2016-Jan-01
-20.99
COSMOFILMS
2016-Feb-02
+22.18
GAYAPROJ
2016-Mar-02
+6.55
HIMATSEIDE
2016-Apr-04
+17.75
GENUSPOWER
2016-Apr-04
-7.99
TRIVENI
2016-Apr-04
+28.86
TRIDENT
2016-Apr-04
-2.48
MINDAIND
2016-Jun-08
+0.43
APLAPOLLO
2016-Jun-08
+0.98
NEULANDLAB
2016-Jun-08
+8.67
RUSHIL
2016-Jun-08
+12.19
SUPPETRO
2016-Jun-08
+0.79
GHCL
2016-Jun-08
+11.24
UNIPLY
2016-Jun-08
-10.03
ITDCEM
2016-Jun-08
+9.22
IOLCP
2016-Jun-08
+14.47
MANAPPURAM
2016-Jun-08
+25.84
ORIENTPPR
2016-Jun-08
+10.38
MEGH
2016-Jun-08
+0.13
A2ZINFRA
2016-Jun-08
+55.33
Since the last rebalance on 2016-Jun-08 till 2016-Jul-01, this strategy has returned +6.53%

You can find more details about the Momentum Theme here.

Categories Tags ,

Theme: Momentum Update 04.04.2016

held since returns (%)
SANGAMIND
2015-Sep-07
+14.87
NAVINFLUOR
2015-Dec-01
-8.90
8KMILES
2015-Dec-01
+10.09
RAJESHEXPO
2015-Dec-01
-12.27
KWALITY
2016-Jan-01
-16.69
MOREPENLAB
2016-Jan-01
-28.62
NILKAMAL
2016-Feb-02
-14.98
ICIL
2016-Feb-02
-7.74
GMBREW
2016-Feb-02
+18.41
COSMOFILMS
2016-Feb-02
+7.29
NDL
2016-Feb-02
-13.72
AEGISCHEM
2016-Feb-02
-0.10
MIC
2016-Feb-02
-10.63
WELSPUNIND
2016-Mar-02
+14.48
GAYAPROJ
2016-Mar-02
-12.90
JINDALPOLY
2016-Mar-02
+5.31
DISHMAN
2016-Mar-02
+0.59
JUBILANT
2016-Mar-02
+25.13
RUSHIL
2016-Mar-02
-34.70
CHENNPETRO
2016-Mar-02
+11.32
Since the last rebalance on 2016-Mar-02 till 2016-Apr-01, this strategy has returned +5.61%

You can find more details about the Momentum Theme here.

Categories Tags ,

Index Update 14.02.2016

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2016-02-12 png

index momentum best 50 2016-02-12 png

index momentum worst 365 2016-02-12 png

index momentum worst 50 2016-02-12 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-12 png

Refactored Index Performance

50-day performance, from December 03, 2015 through February 12, 2016:

Equally Weighted Market Cap. Weighted
GROWSECT 15 (EQUAL) -6.95% IT (CAP) -3.90%
QUALITY 30 (EQUAL) -9.73% PHARMA (CAP) -4.29%
FMCG (EQUAL) -10.08% GROWSECT 15 (CAP) -4.52%
CONSUMPTION (EQUAL) -11.07% QUALITY 30 (CAP) -7.22%
AUTO (EQUAL) -11.17% ENERGY (CAP) -8.90%
PHARMA (EQUAL) -11.26% FMCG (CAP) -10.06%
ENERGY (EQUAL) -11.53% COMMODITIES (CAP) -10.30%
MNC (EQUAL) -12.24% CONSUMPTION (CAP) -10.41%
COMMODITIES (EQUAL) -12.32% SERV SECTOR (CAP) -11.79%
IT (EQUAL) -13.54% VALUE 20 (CAP) -12.03%
MEDIA (EQUAL) -15.13% MEDIA (CAP) -12.18%
VALUE 20 (EQUAL) -15.16% MNC (CAP) -12.86%
SERV SECTOR (EQUAL) -16.18% PSE (CAP) -14.25%
PSE (EQUAL) -17.26% METAL (CAP) -14.56%
CPSE (EQUAL) -19.21% AUTO (CAP) -15.14%
FIN SERVICE (EQUAL) -20.29% CPSE (CAP) -15.57%
LIQ 15 (EQUAL) -20.52% FIN SERVICE (CAP) -16.78%
INFRA (EQUAL) -21.81% INFRA (CAP) -16.79%
BANK (EQUAL) -22.99% BANK (CAP) -18.51%
METAL (EQUAL) -23.62% LIQ 15 (CAP) -20.52%
REALTY (EQUAL) -25.92% MIDCAP LIQUID 15 (CAP) -23.99%
MIDCAP LIQUID 15 (EQUAL) -25.97% REALTY (CAP) -26.29%
PSU BANK (EQUAL) -38.49% PSU BANK (CAP) -36.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
22.25
2015-Jan-27
NIFTY BANK LONG
32.03
2015-Jan-27
NIFTY COMMODITIES LONG
42.67
2008-Jan-04
NIFTY CONSUMPTION LONG
14.40
2015-Aug-05
NIFTY ENERGY LONG
37.45
2008-Jan-14
NIFTY FIN SERVICE LONG
28.84
2015-Jan-28
NIFTY FMCG LONG
17.79
2015-Feb-25
NIFTY INFRA LONG
63.65
2008-Jan-09
NIFTY IT LONG
89.19
2000-Feb-21
NIFTY MEDIA LONG
26.02
2008-Jan-04
NIFTY METAL LONG
72.78
2008-Jan-04
NIFTY MNC LONG
22.21
2015-Aug-10
NIFTY PHARMA SHORT
19.88
2015-Apr-08
NIFTY PSE LONG
43.76
2008-Jan-04
NIFTY PSU BANK LONG
63.39
2010-Nov-05
NIFTY REALTY LONG
93.12
2008-Jan-14
NIFTY SERV SECTOR LONG
23.80
2015-Mar-03
FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.
Categories Tags , ,