24 results for “Backtest”

The Factor Zoo and the Animal that is Momentum

Momentum investing sounds simple, but the choices behind it create a zoo of possible strategies. Read on to know how these choices shape momentum factors, and why economic intuition matters more than backtest performance.

Apex India: Large-Cap Investing for NRIs Without the Mutual Fund Tax Hassle

The Apex India is our large-cap, stock-based strategy for NRIs and OCIs, designed to capture the essence of the Nifty 50 without holding all 50 stocks of the index. This naturally raises the question: Why not just buy an index fund?  Read on for the answer.

Anchor: The Missing Piece in Your PMS Portfolio

This is the third and final article in our series on making a case for hybrid asset allocation. The first made a case for the need of a buffer. The second unpacked the four hybrid Mutual Fund categories. This one introduces Anchor, our new investment approach within Capitalmind PMS. Read on to know more.

Risk, Regret, and the Case for a Buffer

Most people understand asset allocation just fine in the abstract but look at it as unnecessary friction especially when the markets are booming. But what has three years of ignoring it quietly cost Indian investors? Read on to know more.

A Strategy Blueprint For Profitability Factor Investing in India

Building on Robert Novy-Marx’s foundational work in “The Other Side of Value”, we explore the role of Profitability as a key investment factor in Indian equity markets. Our findings reveal several key insights: Factor strategies based on profitability measures generate excess returns in Indian markets. Companies with higher profitability show faster, predictable revenue growth. Profitability-focused strategies tend to favour defensive stocks. Lastly, profitability factor stocks have lately commanded higher valuations, possibly explaining its sub-par performance in recent years.

[Podcast] EP 76: Momentum Investing in India with Anoop Vijaykumar

Explore the power of momentum investing with Anoop Vijaykumar from Capitalmind, as he delves into the intricacies and successes of the momentum portfolio. Celebrating five years of remarkable performance, Anoop discusses how this quantitative strategy has yielded an impressive annualized return of nearly 29%, significantly outpacing traditional benchmarks like the Nifty and NSE 500. Learn how the adaptive momentum strategy skillfully navigates market volatility and what the future holds for momentum investing. Tune in to discover how strategic adaptations in challenging times, like March 2020, minimized losses and reinforced the robustness of momentum investing. Whether you're a seasoned investor or new to the market, this episode offers valuable insights into a proven approach that leverages market trends to achieve superior returns. Don't miss out on this insightful exploration of momentum investing at Capitalmind.

Demystifying Momentum

The Adaptive Momentum Portfolio in our PMS, Capitalmind Wealth, completed five successful years of live operation in March 2024, making it India’s longest-running quantitative PMS momentum strategy. We wrote this article for the non-finance investor to understand, jargon-free, from our experience managing a quantitative momentum strategy with real capital.

Looking for the best PMS for your investments? Find Capitalmind PMS Strategies and Performance here

As a high-net-worth investor in India, you have a wide range of options when it comes to choosing a portfolio management service (PMS) to invest your money. PMS are investment vehicles that are designed to provide professional management of portfolios, enabling investors to achieve their financial goals. Choosing the right PMS is critical to ensure that your investments are managed effectively for the long term and generate the returns you are looking for.

Growth Investing In India: A Quantitative Approach

In this article, we outline a strategy blueprint for growth investing in India, and explore how we leverage quantitative tools to guide our decision-making in our portfolios.

The Yield Frontier: Profiting from G-Sec & Sensex Yield Dynamics

Who doesn't want to time the market? Everyone looks out for the perfect time to shift from debt to equities and vice versa. In this post, we delve into the tactical allocation between equities and debt, as well as the role of interest rate cycles. Do we see a pattern here? Let's find out

Introducing the Capitalmind Low-Volatility Portfolio

Introducing the Capitalmind Low Volatility Portfolio Factor Investing is about defining a characteristic (also called factor), and consistently applying a set of criteria to buy a diversified portfolio of stocks that share that characteristic For a factor to be implemented over the long-term, it needs to be persistent, pervasive, robust, investable, and intuitive. The last condition makes sure investors don't fall into the Bangladesh Butter Production problem Based on its run in the last 18 months, Momentum is one of the better-known factors. A long-term portfolio should ideally have adequate factor diversification. In a paper, the authors go as far as to say "...factor diversification is more effective at reducing portfolio volatility and market directionality than asset class diversification" Our backtests show a quarterly rebalanced portfolio of stocks with lowest volatility can outperform the NIFTY both from a returns and downside volatility perspective

ITI Value Fund NFO: Old bottle. Cracked Cork.

ITI Mutual Fund has launched an NFO (New Fund Offering) for an active equity fund called the ITI Value Fund. The NFO is open from 25th May to 8th June 2021. We took a look to see if it makes sense for investors. Short Answer: Since discretionary bottom up strategies can't be backtested, how long would it take to be convinced of an individual or team's superior discretionary stock-picking skills? Five years? Ten? ITI Value Fund says all the right things about picking underpriced stocks. A few too many things in fact. The problem is so does every discretionary equity fund. We'd have to see evidence before investing. Read on for our detailed take on the ITI Value Fund NFO.

Nippon India Asset Allocator FoF NFO: Should you invest?

Nippon India Mutual Fund has launched an NFO (New Fund Offering) for Asset Allocator FoF, a new Fund of Funds that will invest in a combination of equity, debt, and gold funds. The NFO is open from 18th Jan to 1st Feb 2021. We took a look to see if it makes sense for investors. Short Answer: A rules-based asset allocation approach as this fund describes can be a powerful method to manage long-term returns. However the lack of information on backtest results, and the fact that Nippon India launched another similar fund less than 6 months ago make this fund's purpose puzzling. We wouldn't jump in yet. Read on for our take on the Nippon India Asset Allocator FoF NFO.

Podcast #33: Momentum Investing, Unintuitive yet Effective

In this episode of the Capitalmind Podcast we discuss what is momentum investing, the key research by academics and practitioners that started the exploration into this strategy, the two schools of thought that explain why it exists. How it applies to Indian markets, and our analysis into whether it has worked. Also the downsides of momentum, both real and perceived, and in what ways it can be a good counterweight to a bottom-up fundamentally picked portfolio. We close with how we manage the Momentum portfolio at Capitalmind, and the differences between the Premium and the PMS Momentum portfolio.

Podcast #31: How trend following can make buy and hold better

In this episode, Shray and Sandeep discuss how adding a trend following layer to a long-only portfolio can help enhance returns and lower drawdowns, in the context of Capitalmind Chase - our own such strategy.

How to think about Asset Allocation in India - Part 1

Getting usual Asset allocation advice is like listening to in-flight safety demonstrations. The airline crew has to give it, and you don't even have to pretend to listen.  That's because the way we think and talk about Asset Allocation is broken. Asset Allocation is NOT about settling for lower return if you don't want to deal with volatility.

ICICIDirect's ETF Intelligent Portfolio - A Product For Passive Investors

Momentum Investing: How many stocks is too many / too few?

Does Momentum Investing work in India?

Podcast: Momentum- The Anomaly that Persists (Episode-6)

Guest Post: A value investor’s experiment with momentum

On Slack: Corporate Bonds, Aircel-Maxis-ED, RE Himalayan, New gold rule and more....

LearnTA: BackTesting a Systematic Trading Strategy

Learn TA: Moving Averages