2023: A Year in Review

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In early 2023, we launched QuantMomo to democratize quantitative rules-based investing and introduced momentum strategies for both the Indian and US stock markets. Both the strategies went live and we gathered an audience and interest in tracking and trading the strategy. We invested our capital in these strategies and achieved stellar results in India while the strategy underperformed in the US against the S&P500.

In 2023, most of the US market action was focused on inflation and the Federal Reserve’s reaction function as well as the liquidity in the US markets. While those are reasons that any of us can provide, the reality is that the strategy’s momentum picks behaved like the majority of the S&P500 stocks (Most of the gains of the S&P were due to the FAANG stocks). While we were unable to generate above-market returns, we did generate positive returns.

As we have noted in our blogs, the Momentum strategy is one of many strategies that investors can allocate their capital to. This brings us to 2024, where we have some new things lined up for Portfolio Diversification. We are happy to announce that we will be introducing two more new rules-based strategies aimed at portfolio diversification. The strategies are Value and All weather which will be discussed in detail on our website.

We are also continuing the development of a simple app that enables users to place trades for momentum and other strategies with a brokerage account of their choice.

We are pleased that our approach to enabling the trading of quantitative strategies was validated in 2023. We thank all our initial supporters for a great 2023. As we turn to 2024, we are going to focus on:

1

Website Reorganization

The website will contain specific sections dedicated to the Indian and US markets so that our audiences can pick the geography and strategy easily.

2

Additional Strategies

Given the feedback from our audience, we will be adding more strategies in the Indian market while continuing to track the Momentum strategy in the US.

3

Launch Mobile App

In 2023, we integrated with Alpaca in the US and launched a demo app for alpha and beta testing with a select audience. We will be launching a mobile app with at least 1 Indian online broker in 2024.

Finally, I would like to thank the team at QuantMomo for working hard to make 2023 a great year. I and the team are super excited for what’s ahead in 2024.

 

NK

Founder & CEO

QuantMomo Momentum Strategy - Performance for Calendar Year 2023

It’s been a year since we launched QuantMomo and the momentum strategy in both India and the US markets. We are pleased with the overall performance and results that the algorithm has produced for our followers. We had the opportunity to live-trade the strategy with a few of our followers and witnessed the overall performance of the strategy. The following are a few key takeaways that we can summarize from our trades in 2023:

  • In the Indian market, the momentum algorithm outperformed the index in both directions – When returns for the index were positive, the momentum algorithm was more positive and when returns were negative, they were more negative. This behavior is confirmed by the backtests in our blogs.
  • In the US markets, the momentum algorithm was all over the place and did not behave the way our backtests indicated. The US market’s (S&P500) performance was dominated by the MAG7 stocks (Meta, Microsoft, Netflix, Google, Apple, Tesla, Alphabet) and these stocks did not enter the momentum list. While this year may be an aberration, it should not influence the rules of the strategy and our focus should be on the long term. However, this year’s performance becomes a very important data point.
  • Risk parity based allocation is very helpful in limiting losses on individual stocks. We have many months where a few stocks were down big but the allocation methodology of the algorithm protected the overall performance of the algorithm.
 
Now to the overall performance statistics for 2023 …

QuantMomo USA – Cumulative Performance

In the US, the momentum algorithm produced +4.38% on a cumulative basis. The $25K we invested in algorithm ended up being $26.1K at the end of the year. This pales in comparison to the +23.91% returns on S&P500 and the +11.07% returns on the Equal weighted S&P500 Index.

DateUS MOMOMOMO P&L % (Total)S&P 500S&P 500 P&L % (Total)S&P 500
(Equal Weighted Index)
S&P 500 P&L % (Total)
(Equal Weighted Index)
2022-12-29$25,000.000%3,849.280%5,764.560%
2023-01-31$26,277.535.11%4,076.605.91%6,158.686.84%
2023-02-28$25,611.622.45%3,970.153.14%5,944.163.12%
2023-03-31$26,000.594.00%4,109.316.76%5,878.101.97%
2023-04-27$25,412.851.65%4,135.357.43%5,829.271.12%
2023-05-30$25,693.712.77%4,179.838.59%5,707.72-0.99%
2023-06-29$26,990.657.96%4,396.4414.21%6,025.364.52%
2023-07-28$28,029.1312.12%4,582.2319.04%6,268.938.75%
2023-08-30$27,542.7610.17%4,514.8717.29%6,096.085.75%
2023-09-29$25,886.133.54%4,288.0511.40%5,754.77-0.17%
2023-10-30$24,541.10-1.84%4,166.828.25%5,467.52-5.15%
2023-11-29$25,388.501.55%4,567.8018.67%6,003.204.14%
2023-12-29$26,095.524.38%4,769.8323.91%6,402.8911.07%

QuantMomo India – Cumulative Performance

India had a slightly different performance than the US on a cumulative basis. It started out negative for the year where the strategy significantly lagged the Index. However, the strategy started picking up in May 2023 and continued to outperform the index. The NIFTY500 ended the year with +25.47% gains while the momentum algorithm generated returns of +67.82%.

DateIndia MOMOMOMO P&L % (Total)NIFTY 500NIFTY 500 P&L % (Total)
2022-12-29₹100,000.000%15,485.180%
2023-01-31₹98,800.26-1.20%14,935.50-3.55%
2023-02-28₹88,647.71-11.35%14,518.75-6.24%
2023-03-31₹88,182.11-11.82%14,557.85-5.99%
2023-04-27₹96,667.06-3.33%15,075.05-2.65%
2023-05-30₹102,003.612.00%15,766.401.82%
2023-06-29₹111,869.0611.87%16,430.006.10%
2023-07-28₹118,243.9118.24%16,948.359.45%
2023-08-31₹122,652.2122.65%16,924.309.29%
2023-09-29₹131,306.7631.31%17,292.6011.67%
2023-10-31₹131,993.9631.99%16,801.108.50%
2023-11-30₹150,525.5150.53%17,987.9516.16%
2023-12-29₹167,815.1167.82%19,429.1525.47%

In addition to the above, we have published complete results for 2023 in a separate page – check it out here.

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