{"id":2080503,"date":"2018-05-16T11:10:52","date_gmt":"2018-05-16T05:40:52","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2080503"},"modified":"2018-05-16T11:10:52","modified_gmt":"2018-05-16T05:40:52","slug":"benchmarking-momentum-index","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2018\/05\/16\/benchmarking-momentum-index\/","title":{"rendered":"Benchmarking against a Momentum Index"},"content":{"rendered":"

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.<\/p>\n

S&P BSE Momentum Index<\/h3>\n

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.<\/p>\n

Here is how our Momo Relative Momentum strategy compares against the index:<\/p>\n

\"\"<\/a><\/p>\n

Our risk-managed momentum strategy has out-performed the momentum index even after transaction costs.<\/p>\n","protected":false},"excerpt":{"rendered":"

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 … <\/p>\n","protected":false},"author":2,"featured_media":2040131,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3491,960],"class_list":["post-2080503","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-momentum","tag-returns","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2080503","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2080503"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2080503\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2040131"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2080503"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2080503"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2080503"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}