Frankly This quantitative momentum strategy is not a basket of stocks and neither its for short term. Because any individual stocks can get dropped anytime, based on its momentum score and that action will not depend upon any basket approach. Basket approach is like you are buying a basket of pharma companies or chemical companies and may be buy them together and also sell them at the same time. That basket approach doesnot apply here. Also its neither short term, nor long term. A stock , if its momentum score keep it in top 20 list for next 3-4 years, it will be hold for that term or if it gets dropped in a week also. There is no pre-determined time horizon to hold any stock here.
My point was that, most stocks which come in top 20 list will be in stage 2 , but some stocks may be in stage 3 but still due to high momentum score may get shortlisted in top 20 list…so whether they can be dropped from selection applying this criteria?
Also allocation , to start with, can be eqqual…and if the stock remains in list and becomes a multibagger, then be it…For additional capital deployment, one can distribute equally or add to weak weights…
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