Tools
Robust equity momentum
Each week, eight rules vote: for lookbacks of 3, 6, 9 and 12 months (63 to 252 sessions), the best of Nifty 100, Midcap 150, Smallcap 250 and the S&P 500 in rupees gets the vote if it beat cash (four rules) or closed above its average (four rules) over that lookback; otherwise the vote goes to the 5-year G-sec. Weights are the vote shares; trades only when a weight is more than 5 points off target. It holds S&P 500 since Oct 2026. From Apr 2006 it returned 7.9% a year after tax, against 13.1% for its benchmark; its worst fall was −42%.
What it holds now
Target since Oct 2026: S&P 500.
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal parts Nifty 100, Midcap 150, Smallcap 250 and S&P 500, rebalanced each January. The benchmark holds the assets the rule chooses from but never switches, so the gap is what the rule's timing added or cost. The marks show when the rule was published and when it entered this library; only the stretch after the second mark is free of hindsight.
Robust equity momentum: growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
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Robust equity momentum: fall from its previous peak
How to read it. How far each was below its own previous high, weekly: the model as the line, its benchmark as the grey area, so wherever the line sits above the grey the model was falling less. The model's worst fall was −42%, against −62% for its benchmark, on daily closes; the weekly line can look a little shallower.
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Apr 2006 to Oct 2026. Percentages except the Sharpe ratio, turnover and tax cost. Deflated Sharpe ratio against the benchmark: 0.00 (0.95 is the usual bar), counting every rule tried. With the S&P 500's dividends included (iShares IVV's total return), it would have returned 8.5% a year after tax. With remittance and forex costs of 0.25% each way instead of 0.60%, 9.4%.
| This model | Benchmark | |
|---|---|---|
| Return a year, before tax | 10.3 | 13.6 |
| Return a year, after tax | 7.9 | 13.1 |
| Volatility | 17.2 | 19.4 |
| Worst fall | −42.3 | −62.4 |
| Sharpe ratio | 0.3 | – |
| Average share in equity | 86.6 | – |
| Turnover a year | 7.9 | – |
| Tax cost, points a year | 2.4 | – |
The live log holds 1 sessions; its return differs from today's backtest over the same days by 0.54 points.
| Period | Dates | Total return | A year | More |
|---|---|---|---|---|
| Before the rule was published | Apr 2006 to Dec 2019 | 208.4% | 8.6% | |
| Published, before it entered this library | Dec 2019 to Oct 2026 | 144.3% | 14.1% | |
| Since it entered this library (live) | – | – | – |
As an index: Tipsheet Robust Equity Momentum
The same rule published as an index: total return, before any fund cost, trading cost or tax, set to 1,000 at the end of 2006 like every Tipsheet index. Its launch date is 14 Oct 2026, when the rule entered this library; the lighter line before it is back-calculated. Tipsheet indices are reference series for research only: not official indices, not investable, and not advice.
Tipsheet Robust Equity Momentum, 1,000 at the end of 2006
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- Rule
- Each week, eight rules vote: for lookbacks of 3, 6, 9 and 12 months (63 to 252 sessions), the best of Nifty 100, Midcap 150, Smallcap 250 and the S&P 500 in rupees gets the vote if it beat cash (four rules) or closed above its average (four rules) over that lookback; otherwise the vote goes to the 5-year G-sec. Weights are the vote shares; trades only when a weight is more than 5 points off target.
- Rebalancing
- Decided each week; trades only when a weight is more than 5 points off its target.
- Basis
- Total return, before any fund cost, trading cost or tax; 1,000 on 31 December 2006.
- Launch
- 14 Oct 2026. Earlier levels are back-calculated with a rule chosen after that history was known; later ones chain returns written once to a hash-chained log and are never restated.
- Download
- Daily levels, CSV · JSON · every index
What it held
The share of the model in each asset at every month-end.
Robust equity momentum: holdings at each month-end
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The rule
Each week, eight rules vote: for lookbacks of 3, 6, 9 and 12 months (63 to 252 sessions), the best of Nifty 100, Midcap 150, Smallcap 250 and the S&P 500 in rupees gets the vote if it beat cash (four rules) or closed above its average (four rules) over that lookback; otherwise the vote goes to the 5-year G-sec. Weights are the vote shares; trades only when a weight is more than 5 points off target.
The ensemble design of the Newfound/ReSolve Robust Equity Momentum Index (Solactive): many simple momentum and trend rules vote among equity markets, with government bonds as the fallback. Midcap 150 and Smallcap 250 are back-calculated before their launch on 2016-04-01. Rule published 2019; entered this library 14 Oct 2026.
Sources
The research this rule comes from. The Indian version substitutes Indian indices for the original assets, as the rule above says.
- Newfound Research and ReSolve Asset Management (2019). Newfound/ReSolve Robust Equity Momentum Index. Solactive, index factsheet (the index behind the ROMO ETF, launched November 2019).
- Newfound Research. Newfound Research U.S. Trend Equity Index (an ensemble of 360 trend rules). Newfound Research, index page.
- Gary Antonacci (2012). Risk Premia Harvesting Through Dual Momentum. SSRN working paper.
- Tobias Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen (2012). Time Series Momentum. Journal of Financial Economics.
Graded with the deflated Sharpe ratio of Bailey and López de Prado (2014), counting every rule tried: the pre-registered specification.
The workings
Data
Every chart has a table view, a CSV download and a link to its published JSON. Bundles are listed in data status.