Smallcase Mi_LT_CNX200

Mi_LT_CNX200, as the name suggests, is a Momentum Investing portfolio for capturing Longer Term trends of stocks chosen from the CNX200 universe only.

An up-to 20 stock portfolio with equal weights for each component has been selected  from the CNX200 universe (which is made up of the largest 200 companies based on market capitalization) based on their Momentum ranking. Momentum ranking is quantitative list of relative out-performance of each stock with respect to its peer group over the last many periods subject to some minimum qualifications. Every week the portfolio is reviewed and stocks which do not hold up the momentum ranks are shelved while new ones enter. At times, when new momentum picks are not available the portfolio will sit in cash (in interest bearing instruments like LIQUIDBEES).

The single biggest advantage of these momentum strategies is that the portfolios are never allowed to bleed endlessly in loss and the winner are allowed to run to their maximum potential. The mathematical advantage of having big winners and smaller losers ultimately are able to bring home the desired portfolio gain. Momentum portfolios out-perform the most in market up-trends and can under-perform in downtrends. However the out-performance in the bull market will almost always be much larger than the respective under-performance in bearish markets.

The results of this strategy from Apr 2016 to Nov 2018 are presented here:


The latest results are available here

The strategy generated 52 trades in this period and the winner: loser ratio was 44:56. Each winner however was up on average +55% while each loser was down -7.5%. The portfolio max drawdown recorded was -18%. The average holding period for any investment was about 45 weeks.

This is an entirely non discretionary strategy which means that there is no weight-age to any opinion , forecast or fundamental bias towards the stock selection or deletion and the strategy is run as per well tested mechanical rules. An advisory update (called the re-balance)  is issued every weekend through the small case platform and the changes required in the portfolio (if any) are communicated via email to the user the following Monday morning to be executed by a single click by the user.

The smallcases platform helps to execute this strategy in a seamless manner.   This service is currently available for Zerodha, AxisDirect, HDFCSec , Edelweiss and some other select brokerage users only. You can read more about the  Step- wise investing process for this strategy. strategy page links
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