Performance of Select Momentum Parameters
A.Momentum
- Momentum refers to the absolute price movement of an asset over a specific time period. It is typically measured as the difference or percentage change between the asset's price at the end of the period and its price at the beginning of the period.
- Example:
Calculating 9-Month momentum
- Start date: 31-03-2023
Price at start date: Rs.1,023.14
End date: 31-12-2023
Price at end date: Rs.1,546.29
Absolute return/momentum: ((Price at end date - price at start date) / price at start date) * 100 = ((1546.29-1023.14)/1023.14) * 100 = 51.13%
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative Growth of Rs.1000 |
| 3-Month Momentum Top 100 |
17.68 |
16.02 |
21.59 |
-70.17 |
Rs.19,567 |
| 3-Month Momentum Bottom 100 |
6.55 |
6.25 |
23.81 |
-72.87 |
Rs.3,185 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative Growth of Rs.1000 |
| 6-Month Momentum Top 100 |
21.04 |
22.07 |
21.35 |
-70.75 |
Rs.32,766 |
| 6-Month Momentum Bottom 100 |
5.12 |
4.21 |
24.25 |
-74.83 |
Rs.2,490 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative
Growth of Rs.1000 |
| 9-Month Momentum Top 100 |
21.90 |
21.79 |
21.10 |
-68.70 |
Rs.37,279 |
| 9-Month Momentum Bottom 100 |
4.71 |
4.30 |
24.66 |
-76.58 |
Rs.2,318 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative
Growth of Rs.1000 |
| 12-Month Momentum Top 100 |
20.76 |
20.99 |
21.10 |
-71.72 |
Rs.31,378 |
| 12-Month Momentum Bottom 100 |
3.95 |
3.67 |
24.97 |
-77.45 |
Rs.2,030 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
B.Risk-adjusted Momentum
- Risk-adjusted Momentum adjusts the raw momentum by incorporating the volatility of the asset's returns during the same period. It measures the momentum in a way that accounts for risk, making it more comparable across different assets or markets with varying risk profiles.
- Risk-adjusted Momentum = Momentum / Volatility
- Example:
Continuing the previous example, if we decide to scale the momentum by 12-month Daily volatility (Standard Deviation) for Stock A, that comes out to be 21.68%
Risk-adjusted Momentum = 51.13 / 21.68 = 2.35
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative
Growth of Rs.1000 |
| 3-Month Risk-adjusted Momentum Top 100 |
19.14 |
18.40 |
20.05 |
-68.20 |
Rs.24,532 |
| 3-Month Risk-adjusted Momentum Bottom 100 |
6.68 |
6.22 |
23.96 |
-73.17 |
Rs.3,261 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative
Growth of Rs.1000 |
6-Month Risk-adjusted
Momentum Top 100 |
22.71 |
23.91 |
20.01 |
-69.34 |
Rs.42,068 |
6-Month Risk-adjusted
Momentum Bottom 100 |
4.97 |
4.05 |
24.44 |
-74.83 |
Rs.2,426 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative
Growth of Rs.1000 |
9-Month Risk-adjusted
Momentum Top 100 |
21.90 |
23.81 |
21.10 |
-70.75 |
Rs.32,766 |
9-Month Risk-adjusted
Momentum Bottom 100 |
4.71 |
3.62 |
24.66 |
-74.83 |
Rs.2,490 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
| From Sep 2006 to Dec 2024 |
CAGR (%) |
10 Year Median
Rolling Returns (%) |
Annualised
Volatility (%) |
Maximum
Drawdown (%) |
Cumulative
Growth of Rs.1000 |
12-Month Risk-adjusted
Momentum Top 100 |
21.40 |
22.15 |
19.91 |
-71.75 |
Rs.34,543 |
12-Month Risk-adjusted
Momentum Bottom 100 |
3.33 |
2.90 |
25.13 |
-77.85 |
Rs.1,818 |
| Nifty 500 TRI |
12.92 |
13.03 |
20.18 |
-63.71 |
Rs.9,214 |
Source: CMIE, NJ’s Smart Beta Platform. Data for the period 30th September 2006 to 31st December 2024. Past performance may or may not be sustained in future and is not indication of future return.
