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Physical Momentum Portfolios in the Indian Stock Market

Article arXiv papers · Author: Naresh Kumar Devulapally et al.
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Summary

This study evaluates physical momentum portfolios formed from NSE 500 stocks across daily, weekly, monthly, and yearly horizons. It examines historical returns and risk profiles over 2014–2021, comparing the strongest-performing portfolio at each horizon with a NIFTY 50 portfolio. The authors report that each selected momentum portfolio had higher returns and better risk measures than the benchmark during the period studied.

The paper also reports that the daily horizon showed the strongest reversal in the physical momentum effect, and that its portfolio produced a 16-fold profit over the initial investment. These are historical findings for the stated market and sample window; the description does not give portfolio construction rules, costs, statistical significance, or out-of-sample evidence. The reported comparison therefore offers evidence about past Indian equity momentum portfolios, but the summary alone cannot establish whether the results survive implementation frictions or persist in other periods and markets.

Key ideas

  • The study forms physical momentum portfolios from NSE 500 stocks at four investment horizons.
  • It evaluates returns and risk profiles over 2014–2021 against a NIFTY 50 portfolio.
  • The best-performing portfolio at each horizon is reported to outperform the benchmark on returns and risk measures.
  • The daily portfolio is reported to show the strongest reversal and a 16-fold profit over initial investment.
  • The description does not provide construction, cost, or out-of-sample details.

Tags

EquitiesMomentumStatisticsBacktestingRisk management
Full text
# Physical Momentum in the Indian Stock Market


# Physical Momentum in the Indian Stock Market









Our study focuses on determining the presence of abnormal returns for physical momentum portfolios in the context of the Indian market. The physical momentum portfolios, comprising stocks from the NSE 500, are constructed for the daily, weekly, monthly, and yearly timescales. In the aforementioned timescales, we empirically evaluate the historical returns and varied risk profiles of these portfolios for the years 2014-2021. It has been observed that the best-performing physical momentum portfolios from each of the four timescales achieved higher returns and better risk measures when compared to the benchmark NIFTY 50 portfolio. We further find that the high-frequency daily time scale exhibits the strongest reversal in the physical momentum effect, wherein the portfolio yielded a 16-fold profit over the initial investment.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.