Momentum
*Last Updated: 03-05-2021
This is a high risk equity strategy to participate in high momentum stocks with a check for volatility. This strategy is specifically build to take advantage of the bull market
Live Performance
Backtested Performance
Performance Metrics
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Rationale
This is a high risk equity strategy to participate in high momentum stocks with a check for volatility. This strategy is specifically build to take advantage of the bull market
Rebalancing Frequency
Monthly
Risk Management
Maximum single stock exposure of 10%. Constraints put to not take positions of more than 5% of stock’s liquidity
Mechanism
The strategy invests in high momentum stocks using mean variance optimization and risk targeting
Universe
Top 500 stocks by market capitalization on NSE
Risk Management
Equity Allocation 100%
