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.
Got it. Two factors were considered.
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.
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.
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.
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
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.
Did anyone visited their factory on Investors Day (18th December)?
Looking forward for visit notes.
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”.
I am not fully clear of the question. Can you please reword it?
Hello @Rajneesh_Vashisht You are right. I could have changed the allocation differently for the top 5 or bottom 5, but this requires some back testing to check the efficacy. Therefore, I decided to go ahead with equal weighting when I started. For someone who is starting now with the list, I would recommend to start with equal weighting of 5% for each of stock.
Now, since I have let the winners run (without trimming them back to 5%), my weighting is very different to when I started. Every week, the value of entry is equal (more or less) to the value of exit.
you know what? i checked the ranking of total returns for last 12/6months and PF constituents will be same as if we rank basis Z scores. (barring ±1 constituents), Ranking offcourse changes…
So what’s the fun of doing all the pain for finding z score if that information is not being loaded/added into final PF construction