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what is the bare minimum capital required to construct portfolio for this strategy.

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author

The portfolio can have a maximum of 25 positions. ₹10,000 per position is a reasonable minimum. So, an equal weight portfolio minimum would be ₹2.5 lakhs.

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This looks impressive. Some questions:

1. How do you account for the survivor ship bias of the top 300 companies?Have you back-tested the results with unlisted companies as well?

2. How do you decide when to move into cash? Do you use any index filter to move into cash?

3. What if one of the stocks in the portfolio doesn't move by 1-2% in the 3 months? What time frame do use to evaluate such stocks in your portfolio?

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author

Hi Abhishek,

1) we used the current NIFTY 500 constituents to backtest. But the portfolio looks only at the top 300. We haven't accounted for survivorship bias.

2) if we can't find stocks have hit their ATH, that slot is moved into cash. There is no other filter.

3) we don't. we feel its best to leave them alone. not sure if the opportunity cost is high enough to give them boot, given how most times its tough to find 25 stocks to fill all slots.

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Sep 4, 2020Liked by Shyam Sunder

Thanks Shyam. Appreciate the quick response. I am going to share this in my network

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