Wish you Happy New Year 2017 !
It has been a exciting first 9 months with mi50 performing way beyond expectations and targets. In the third quarter we hit a high at +50% before Demonetization took some sheen away. We believe that too is temporary and we should be at new highs likely in the new financial year.
Mi50 closed this month at +35.7% for the FY to date vis a vis 5.8% and 8.2% for NSE50 and CNX500 respectively. I am pretty pleased on this front.
The relative gain and the trajectory of Mi50 vs the two indices have more or less held steady in the period of turbulence that we witnessed in the last 7 weeks.
The drawdown (%lost from the peak at any point of time) is currently at 9.54%. It was as high as 12.5 % mid week this week and peaked in Nov at 14.5%. It think the worst is over for now.
The proof of concept for Mi50 hopefully now stands proven as we saw good variations of flat bull and bear phase in the 9 months. I continue to run only proprietary money on the strategy with lot of skin in the game.
The strategy had no additions or exits this week. The cash on hand is at 27.5%. The high cash is now impeding the expected high beta move as the markets start to revive and go up.
The sectoral map :
The trade internals after 93 trades look like the following:
All in all 60 exits in 9 months , we are now averaging about 7 exits a month or about 14% churn per month. On average I think safe to assume Mi50 may see a 150-200% churn per year. At under 0.25% churn cost for each transaction, the overall impact of the churn on the final result should be in the region of 1% which is very nominal IMHO. In the back-test model, I had assumed a 1% slippage and cost per transaction which in reality is turning out to be less than 0.5% on actual basis. Given these real life parameters I see no reason why mi50 will not achieve 15-20% CAGR going forth. I certainly feel confident of that as of now.
Another interesting study that I wanted to do since long was to see how the exited stocks have performed. The 60 exits overall have declined on average of 2% since exit with some deep shocks avoided (EDC DOWN 50%, KAJARIA and VLS down 25% each from exit price). The capital meanwhile got deployed in better opportunities.
The distribution of profit and loss on all trades is heavily skewed positively and that is indeed a pretty picture.
Some have asked me what is my intention to provide this live/free portfolio. I have always said and I repeat that I have no intention of providing any subscription based services. I will at some point start managing money for others who wish to run money on mi50. I currently run this on own capital with the reporting helping me build a auditable trail and a self conviction for sticking to the strategy core. I believe that many out there can learn to structure and run their respective strategies in a similar fashion and this blog can be motivational in that context.
Happy holidays again. We will have a great 2017, I believe.