{"id":40890483,"date":"2026-02-18T13:47:00","date_gmt":"2026-02-18T08:17:00","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890483"},"modified":"2026-02-18T13:47:00","modified_gmt":"2026-02-18T08:17:00","slug":"sector-momentum","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2026\/02\/18\/sector-momentum\/","title":{"rendered":"Sector Momentum"},"content":{"rendered":"\n<p><a href=\"https:\/\/stockviz.biz\/2021\/10\/13\/spdr-sector-etf-momentum-rotation\/\">Previously<\/a>, we had looked at using the momentum of S&amp;P 500 Sector SPDRs for potential rotation strategies. How would the Indian story unfold?<\/p>\n\n\n\n<p>We take 16 sector indices, use a 6-month look-back window and go long the sector with the highest returns, holding it for a month.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/sector-rotation\/momentum-6mo.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>You end up with higher returns but lower Sharpe &#8211; makes sense given the super-concentrated nature of the portfolio.<\/p>\n\n\n\n<p>The 4 points of out-performance (after costs, pre-tax) over the NIFTY 100 index is not much to write home about. Besides, this strategy trailed the benchmark pre-2020. If this were pitched back then, nobody would&#8217;ve deployed it and nobody would&#8217;ve been around for the post-2020 out-performance. On a positive note, the availability of index funds and ETFs should make this strategy fairly easy to implement.<\/p>\n\n\n\n<p>The main caveat is that the index construction rules themselves are subject to change. Mid last year, SEBI capped the maximum concentration of a single stock for a sector index at 35% and required them to have at least 10 stocks.<\/p>\n\n\n\n<p>Code and charts are on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/sector-rotation\">github<\/a>.<\/p>\n\n\n\n<p><em>Here are some other things we tried, so that you don&#8217;t have to:<\/em><\/p>\n\n\n\n<h3 class=\"wp-block-heading\">Equal-weight all Sector Indices<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/sector-rotation\/eq-wt.gross.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\">Inverse-volatility weight all Sector Indices<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/sector-rotation\/inv-vol-wt.gross.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\">Equal-weight Sectors in an Up Trend<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/sector-rotation\/sma-20.gross.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\">Inverse-volatility weight Sectors in an Up Trend<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/sector-rotation\/sma-20.inv-vol-wt.gross.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p><em>The excess returns of these alternatives do not justify the costs.<\/em><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Previously, we had looked at using the momentum of S&amp;P 500 Sector SPDRs for potential rotation strategies. How would the Indian story unfold? We take 16 sector indices, use a 6-month look-back window and go long the sector with the highest returns, holding it for a month. You end up with higher returns but lower &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[31,3491,2761],"class_list":["post-40890483","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-etf","tag-momentum","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890483","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=40890483"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890483\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890483"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890483"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890483"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}