I have been running a midcap pf based on Nifty Midcap 150 for nearly 2 years now. People wanted to have a look at what I was doing. Hence, I am starting this new thread.
The methodology used here is identical to what I use for Smallcap250 and Microcap250.
- This is a 15 stock portfolio based on Nifty Midcap 150.
- I check returns over 1 year and 6 months.
- Divide the return by Standard Deviation of the daily returns for the appropriate period.
- Calculate Z-score for each scrip based on the respective time periods.
- Compute average of 1y and 6m Z-scores.
- Rank the stocks.
- Rebalance is done on 1st and 16th of every month.
- I don’t relax for Worst Rank Held (WRH) meaning if a stock falls below 15, I replace it at the next rebalance.
- No action is taken in the intervening period.
I am providing a link to the Sheet that I use.
I am not planning to update the thread after every rebalance. If someone has a request, I will post the changes.
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