Point taken but don’t you feel they should have some idea. Q1 con call happened 1.5 months into Q2 so getting the margins off by such a huge amount is quite a lapse in my opinion. Specially when selling prices are fixed.
Posts in category Value Pickr
Smallcap momentum portfolio (26-12-2023)
oh yes, I am pretty late to the party in smallcaps, so there is a lot of risk for me in particular to pick the momentum now going forward.
I may pick a high risk path of riding the bull run as long as it lasts and come out in shortest possible time when the tide turns. (yeah i know all the pundits say that one can’t time the market, and I kind of agree, I have failed to time multiple time).
but then, I thank you for replicating the Momentum index into Smallcaps. that’s great work for mortals like us.
and I will be keen to know what is the allocation of your PF for each stock, eg for BSE scrip – how much weight it has added to from the starting point.
Smallcap momentum portfolio (26-12-2023)
Understood Point1, Yes, Momentum ratio captures, volatility(SD). however, I was not comparing mometum ratio ranking with Z score sanking, but plain vanilla 6 mnoths return vs z score. So with volatility or wihtout volatility accounted for constituents are almost same. May be this is bull run, therefore volatitlity is minimal and therefore not reflecting. calls for some more deep thinking.
on point 2 – i did change the weight – hardly any change in constituents.
Offcourse Ranks change and that calls for a case worth considering allocation of stocks basis ranks. but then, i agree to your argument that at this situation when bull run can burst in smallcaps, it is foolhardly to tinker the weightage of stocks without backtesting.
Smallcap momentum portfolio (26-12-2023)
Yes, this is a risk very well considered. This is a risk with momentum pfs always.
I have chosen to go ahead, but my thinking is that I will still hold the strongest 20 stocks in the index even if the market is down. This is the only consolation that my drawdown might be lower. I have also not gone outside of the index as I believe the index already contains the strongest stocks.
Smallcap momentum portfolio (26-12-2023)
Got it. Two factors were considered.
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Volatility of individual stock gets captured in the momentum ratio. How this compares with the universe gets captured in the Z score. If there have been particularly volatile stocks that have given good returns also, then they could be caught by this.
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I have tried to use both 6m and 12m look periods to arrive at final list. This is a way to use both time periods. I have used 50% weightage for both time periods. One could use different weightage, like 70% for near term performance (6m) and 30% for long term performance (12m) or any other ratio. This calculation will lend us to do this type of analysis.
Investing Basics – Feel free to ask the most basic questions (26-12-2023)
Any open source way to highlight […(and keep them highlighted)…] list of words [100+] in a pdf(Company AR) file? I googled but could not find a suitable solution. Hence, asked. Trust someone will help as a lot of software folks are part of the VP Tribe.
Thanks in advance.
Smallcap momentum portfolio (26-12-2023)
here is a caution and I am sure you have thought about. Small caps are running ahead of valuations since last couple of months. And when the carnage happens, all the 25 constituents give poor (or negative returns)
btw, I was going through a vlog that momentum and value strategies are inversely correlated. so, it was recommended to either have 50-50 of both strategies rebalanced periodically OR move from one strategy to another by moving entire portfolio when the carnage starts in smallcaps
Smallcap momentum portfolio (26-12-2023)
what i meant was that instead of ranking basis zscores, if we rank by plain 6month return, top 25 remains almost the same in both cases. check that in your sheet, as it is only 1 constituent changes.
so, i am yet to figure out how does it help to do all that complicated stats of finding zscores, if the PF constituents basis vanilla total returns would be almost identical.
Yash Pakka – (Previously Yash Paper) – Rising from ash (26-12-2023)
Did anyone visited their factory on Investors Day (18th December)?
Looking forward for visit notes.
FII/DII activity – and what we can make out of that! (26-12-2023)
What if the 64K Crore they invested in Indian markets in 2020, turned into 3L crore, and now they were just booking profits in 2022-2023.
Also if you see the returns of 2022, it is only 4.2% which is less than FD returns. So yes they definitely do have control on the Indian market.
DII is mostly Mutual funds, Insurance companies and NPS, which have to deploy the funds in Equity segment and has no other option than “Invest in India”.