Does Momentum Investing Work in Indian Equities?

Abstract

The purpose of this paper is to examine the existence and persistence of momentum, “the premier anomaly” according to Eugene Fama, as a source of out-performance in the Indian equity markets. We test a set of relative-strength strategies on twenty years of Indian equity markets data to validate whether momentum offers higher returns than a Buy and Hold approach. We add signals to the traditional momentum application to evaluate the impact on returns, volatility and draw-downs.

Keywords: Momentum Investing, Indian Equities, Trend Following

JEL Classification: C00, C10, C50, G00, G11