Wright ⚡️Momentum

Wright ⚡️Momentum

Sonam Srivastava | Dec. 6, 2020

Momentum is one the most debated yet the most popular factor influencing equity market returns. Momentum is defined as the strong predictive power of past returns in influencing future returns. In its simplest form one looks at the past returns of the instrument as the signal influencing future returns.

A momentum-based investing approach can be confusing to investors who are often told that chasing performance is a mistake and it is impossible to time the markets. Yet as a systematic strategy, momentum sits upon nearly a quarter century of positive academic evidence and a century of successful empirical results. The momentum anomaly is difficult to explain with the efficient market hypothesis, where price change is warranted only by changes in demand and supply or new information. Momentum finds a basis in behavioural finance attributing it to various cognitive biases in irrational investors like herding behaviour, confirmation bias, initial under-reaction and delayed overreaction.

In a paper I co-authored at qplum on Momentum in the Indian Equity Markets: Positive Convexity and Positive Alpha we did a deep dive into the factor.

Seeing the encouraging performance of this factor in equity market returns recently, Wright is launching a Momentum basket as a free for all research product for the time being.


Our methodology is a combination of a few of the momentum factors along with a big focus on keeping the risks low.

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Please send us your details here for us to enable your access. Alternatively email us at info@wrightresearch.in

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