@iyeron You got it right. Strongest means highest returns over 6 months and 1 year with low volatility. There are some momentum strategies where you would go to cash. However, with relative momentum strategy that I follow, I remain invested in the strongest stocks and never go to cash. Please note that in a falling market, the strongest stock in the index could still give negative returns, but would have fallen the lowest.
Once you start taking discretionary decisions, you are moving away from rule based investing, which is what I am following. With a weekly rebalance chances of excessive falls is generally low.
I faced such issues last year in another momentum portfolio tracking Nifty50 and Nifty Next50. The rebalance frequency was monthly. Adani stocks fell and there was no exit possible. Even when I decided to exit in between rebalances, the situation was so bad that there were no buyers, only sellers.
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