Momentum Investing

Market Beta, Size, Value, Momentum & Quality(1927-2015)*

Column1 Market Beta Size Value Momentum Quality

Annual Premium(%) 8.3 3.3 4.8 9.6 3.8

1 - Year odds of
outperformance(%) 66 59 63 73 65
3 - Year odds of
outperformance(%) 76 66 72 86 75
5 - Year odds of
outperformance(%) 82 70 78 91 80
10 - Year odds of
outperformance(%) 90 77 86 97 89
20 - Year odds of
outperformance(%) 96 86 94 100 96

*Source: Max Kozlov and Antti Petajisto , Author study "Global Return Premiums on Quality, Value & Size"
 Rank NSE Stocks
universe based on
Momentum Score – 12M
Returns/St Dev

Is Stock CMP
NO > 200 D EMA YES
on reset date
?

Reject Stock
Is Stock
CMP >
70% ATH

NO
YES

LC/UC
in last
Reject Stock
90 YES
days ?

NO
NO

Liquidity
Criteria
Met ?

Filtered Stock
NO list
Momentum Filter Criteria
• Momentum Score – 12M Returns/St Dev
• CMP should be greater than 200D EMA
• CMP should be within 70% of ATH
• There should not be any LC/UC in last 3 months
• Daily average volume value should be at least 3 cr