Abstract
We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded across the Indian markets to evaluate this anomaly. We evaluate momentum across the two datasets based on frequency - daily data and intraday bar data. On the daily scale we compare momentum with other style factors. In the intraday scale we evaluate time series momentum or absolute momentum and cross-sectional momentum or relative momentum. We demonstrate that at the optimal horizon, momentum strategies on securities in India can be a source of uncorrelated alpha. We use active risk-budgeting at a given target risk for portfolio construction. We will show in a separate publication how it outperforms mean-variance optimization.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have