Well, I am quite aware of that – I have both backtested and am a practitioner of a momentum strategy myself ( only on Nifty 500 though). I am particularly referring to the microcap universe here where volatility was quite high in the 2018-2019 timeframe. While theory suggests the portfolio would have gone into cash, its not always that straight-forward. Not all stocks came down at the same time so one would have churned quite a lot before cash positions built up. Also, do keep in mind the pain of churning a large number of stocks at a loss – not easy.
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