Tag: momentum

Theme: Momentum Update 01.12.2015

stockviz December 1, 2015December 1, 2015 0

Introduction

Our relative momentum strategy, simply called Momentum, is our longest-running momentum strategy. Between its inception in Aug 2013 and now, it has clocked an impressive +212% translating to an IRR of about +65%.

Performance summary

	held since	returns (%)
KEI	2015-Aug-10	-3.38
TATAELXSI	2015-Sep-07	+16.24
CAPLIPOINT	2015-Sep-07	-5.33
GAYAPROJ	2015-Sep-07	+88.39
SANGAMIND	2015-Sep-07	+30.35
TAKE	2015-Sep-07	+86.91
MIRZAINT	2015-Sep-07	+46.51
JUBILANT	2015-Oct-06	+5.36
NCLIND	2015-Oct-06	+45.48
NILKAMAL	2015-Nov-02	+5.41
ICIL	2015-Nov-02	+16.02
KPRMILL	2015-Nov-02	+4.05
VADILALIND	2015-Nov-02	+12.26
SRIPIPES	2015-Nov-02	-8.64
NDL	2015-Nov-02	+9.77
LYKALABS	2015-Nov-02	+19.55
NIBL	2015-Nov-02	-1.20
EMMBI	2015-Nov-02	+55.53
IZMO	2015-Nov-02	+37.54
MIC	2015-Nov-02	+13.82

Since the last rebalance on 2015-Nov-02 till 2015-Nov-30, this strategy has returned +13.31%

You can find more details about the Momentum Theme here.

Categories Your Money Tags momentum, theme

Index Update 28.11.2015

stockviz November 28, 2015November 29, 2015 0

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:

Relative Strength Spread

Refactored Index Performance

50-day performance, from September 10, 2015 through November 27, 2015:

Equally Weighted		Market Cap. Weighted
PSU BANK (EQUAL)	+10.68%	ENERGY (CAP)	+10.44%
ENERGY (EQUAL)	+10.51%	PSU BANK (CAP)	+8.58%
INFRA (EQUAL)	+10.04%	AUTO (CAP)	+7.34%
REALTY (EQUAL)	+7.90%	CONSUMPTION (CAP)	+7.16%
CONSUMPTION (EQUAL)	+6.18%	FMCG (CAP)	+5.90%
FIN SERVICE (EQUAL)	+5.16%	REALTY (CAP)	+4.96%
MIDCAP LIQUID 15 (EQUAL)	+4.47%	FIN SERVICE (CAP)	+4.80%
BANK (EQUAL)	+4.21%	BANK (CAP)	+4.63%
PSE (EQUAL)	+4.06%	MEDIA (CAP)	+4.37%
SERV SECTOR (EQUAL)	+3.88%	COMMODITIES (CAP)	+4.36%
COMMODITIES (EQUAL)	+3.85%	LIQ 15 (CAP)	+3.19%
VALUE 20 (EQUAL)	+3.77%	VALUE 20 (CAP)	+3.01%
CPSE (EQUAL)	+3.43%	CPSE (CAP)	+2.75%
AUTO (EQUAL)	+3.17%	MIDCAP LIQUID 15 (CAP)	+2.58%
METAL (EQUAL)	+1.61%	PSE (CAP)	+2.56%
FMCG (EQUAL)	+1.44%	SERV SECTOR (CAP)	+2.42%
MEDIA (EQUAL)	+0.75%	QUALITY 30 (CAP)	+0.44%
GROWSECT 15 (EQUAL)	+0.66%	MNC (CAP)	+0.11%
QUALITY 30 (EQUAL)	+0.54%	GROWSECT 15 (CAP)	+0.06%
LIQ 15 (EQUAL)	+0.37%	METAL (CAP)	-2.32%
PHARMA (EQUAL)	+0.14%	IT (CAP)	-2.71%
IT (EQUAL)	-0.47%	INFRA (CAP)	-4.01%
MNC (EQUAL)	-1.48%	PHARMA (CAP)	-6.12%

Trend Model Summary

Index	Signal	% From Peak	Day of Peak
NIFTY AUTO	LONG	7.21	2015-Jan-27
NIFTY BANK	SHORT	15.49	2015-Jan-27
NIFTY COMMODITIES	SHORT	35.90	2008-Jan-04
NIFTY CONSUMPTION	LONG	4.30	2015-Aug-05
NIFTY ENERGY	LONG	31.03	2008-Jan-14
NIFTY FIN SERVICE	SHORT	13.83	2015-Jan-28
NIFTY FMCG	SHORT	8.34	2015-Feb-25
NIFTY INFRA	SHORT	55.79	2008-Jan-09
NIFTY IT	SHORT	88.35	2000-Feb-21
NIFTY MEDIA	LONG	17.55	2008-Jan-04
NIFTY METAL	SHORT	68.40	2008-Jan-04
NIFTY MNC	SHORT	10.52	2015-Aug-10
NIFTY PHARMA	SHORT	16.37	2015-Apr-08
NIFTY PSE	SHORT	34.30	2008-Jan-04
NIFTY PSU BANK	SHORT	40.16	2010-Nov-05
NIFTY REALTY	SHORT	90.89	2008-Jan-14
NIFTY SERV SECTOR	SHORT	12.35	2015-Mar-03

Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.

Categories Your Money Tags index, momentum, weekly

Cliff Asness on Momentum Investing

shyam November 21, 2015 0

In a wide ranging interview with Tyler Cowen, Cliff Asness discussed momentum and value investing strategies, disagreeing with Eugene Fama, the economics of Ayn Rand, bubble logic etc. The first half of the conversation was mostly about momentum investing and how it works.

Excepts on momentum:

Intro
A momentum investing strategy is the rather insane proposition that you can buy a portfolio of what’s been going up for the last 6 to 12 months, sell a portfolio of what’s been going down for the last 6 to 12 months, and you beat the market. Unfortunately for sanity, that seems to be true.

To some, it’s very intuitive. Just buy what’s going up.

Drawdowns
It has horrible streaks within that of not working. If your car worked like this, you’d fire your mechanic, if it worked like I use that word. I think it is harder than you might guess, even if something works long term, to have it go away because a lot of investors can’t live through the bad periods. They decide why it’s never going to work again at the wrong time.

Why it works
Underreation: News comes out. Price moves but not all the way. People update their priors but not fully efficiently. Therefore, just observing the price move is not going to move the same amount again but there’s some statistical tendency to continue.

Overreaction: People in fact do chase prices.

How to make it work
If you’re going to be momentum, you’ve got to really do it. You’ve got to be disciplined. You’ve got to come in every day, and you’ve got to count on these under- and overreaction things.

Momentum strategies on StockViz

We have been offering the Momentum Theme for more than two years now. It implements a relative momentum strategy where you compare the strengths of a universe of stocks to each other. 2014 returns were +90% and +36% so far this year (Compare.)

This year, we have introduced Velocity – an absolute momentum strategy – and Acceleration – a strategy that tracks changes in momentum.

If you are interested in momentum investing, please get in touch with us!

Source: A Conversation with Cliff Asness
Related: Small Cap Momentum Style Fund

Categories Investing Insight, Your Money Tags acceleration, investing, momentum, Velocity