ETF Core-Satellite Rotation
Rotates across Indian ETFs — index, sector, gold and debt — holding the 5 with the strongest 6-month trend, weighted by risk parity so a volatile gold or sector ETF cannot dominate the book. Monthly, with a liquidity floor to avoid the many ETFs that barely trade.
Why this is expected to work
Cross-asset momentum is the most robust version of the momentum effect. Asness, Moskowitz and Pedersen (2013) documented "value and momentum everywhere" across equity indices, bonds, currencies and commodities, and cross-asset trend-following has held up out-of-sample far better than single-stock momentum, partly because it is harder to arbitrage away and partly because asset-class trends are driven by slow-moving macro flows. The practical appeal for an Indian retail investor is that the ETF wrapper gives access to gold, debt and sector exposure in one account with one order type. Risk parity is used rather than equal weight for a specific reason: a gold ETF and a liquid-fund ETF differ in volatility by an order of magnitude, so equal rupee weights are not equal risk weights, and an equal-weighted book here is silently a leveraged bet on whichever holding moves most. One real caution: many Indian ETFs trade at persistent premiums or discounts to NAV in thin conditions, so the liquidity filter is doing more work than it looks.
How the pipeline works
Liquid: traded > Rs 1 cr/day
Keeps rows where turnover > 10000000
turnover > 10000000 Price 6 months ago
Computes price_6m_ago = @shift(close, 126)
@shift(close, 126) Has 6 months of history
Keeps rows where price_6m_ago > 0
price_6m_ago > 0 6-month trend
Computes trend_6m = close / price_6m_ago
close / price_6m_ago Trend is positive
Keeps rows where trend_6m > 1
trend_6m > 1 Top 5 by 6-month trend
Selects the top 5 by trend_6m
What this template teaches
- ETFs as a distinct security type
- RiskParityWeighting — equal risk contribution, not equal rupees
- Cross-asset rotation inside one universe
Cross-Asset Momentum: The Version That Held Up Out of Sample
Single-stock momentum has decayed since publication. Momentum across asset classes has held up far better, and Indian ETFs now make it accessible from one account with one order type.
Related strategy templates
Find the right starting point for your next trading thesis.
Mutual Fund Momentum Rotation
Ranks mutual fund schemes on 12-month NAV growth and holds the top 10, rebalanced monthly. The same momentum logic as the equity template, applied to funds instead of stocks — and a direct test of whether chasing last year's best fund works.
View detailsLow-Cost Large Fund Core
The opposite of chasing performance. Selects the cheapest schemes by total expense ratio among funds with meaningful assets under management, holds 12 of them equally weighted, and rebalances only twice a year.
View detailsCorporate Bond Carry Basket
A diversified basket of the most consistently quoted corporate bonds on NSE's debt segment, spread across 25 issues so no single credit event dominates, and rebalanced semi-annually to match how slowly the tradeable set changes.
View details