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

Momentum

Live Performance
Backtested Performance
Performance Metrics

More Details

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%


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