HighIR Momentum
Automated Relative-Momentum Strategy.

A momentum strategy based on relative Information Ratio (IR) scores:

  1. On the top 200 stocks by free-float market value,
  2. Sort by descending order of relative IR,
  3. Sort again by ascending order of Information Discreteness scores on the top 50.

This Theme consists of an equally weighted portfolio of stocks selected by the above criteria and rebalanced automatically.

This model was created on 2015-Dec-31 and was last updated on 2024-Dec-23

Cumulative Returns
lookback (days) theme nifty 50 midcap 100
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Metrics
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risk-free rate: 2.5%; MAR: 0%; benchmark: NIFTY 50
Portfolio
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Drawdowns
From Trough To Depth Length To Trough Recovery
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Strategy vs. NIFTY 50 and MIDCAP 100
Returns through time
Returns & Portfolio Turnover