Affiliations: Shailesh J. Mehta School of Management, IIT Bombay, Mumbai, India
Correspondence:
[*]
Corresponding author: Piyush Pandey, Assistant Professor, Finance, Shailesh J. Mehta School of Management, IIT Bombay, Mumbai, India. Tel.: 022 25767776; E-mail: piyush@som.iitb.ac.in.
Abstract: Smart Beta Investing has revolutionized investment management field with the ability to offer higher returns with lower costs. The momentum factor in the Smart Beta universe often outperforms other popular factors, besides being well documented in the literature, it is found to be pervasive across different geographies and asset classes. In this paper, we implement a long-only momentum based investment strategy for the Indian equity markets that delivers superior risk-adjusted performance, derived upon comparing multiple strategies across time frames. Based on these tests, we find that the lagged 6-months’ compounded returns indicator with quarterly rebalancing can be used to generate the highest risk-adjusted performance.The paper also tests a related phenomenon called the Accelerated Effect of momentum as documented by Ardila et. al. (2021) for the Indian equity market, and finds that the accelerated momentum effect underperforms the traditional momentum both on an absolute and risk-adjusted basis.
