MysticWealth 2017 presentation at 4th DIA meet at India habitat centre.

1. Name: Manish Dhawan.
Website: www.mysticwealth.in
Model Portfolios
MWM
(momentum) MWV
(Value, SS)
Options

2. Momentum Investing.
OXYMORON
#trueStory.

3. Benjamin Graham, along with David Dodd, attempted a precise
definition of investing and speculation in their seminal
work Security Analysis (1934). “An investment operation is one
which, upon thorough analysis, promises safety of principal and a
satisfactory return. Operations not meeting these requirements
are speculative.”
BUT Y should I take his word for it??
#neverask a barber. #statinmanufacturer #commitment

4. That is All academic Mumbo Jumbo if you ask me.
How many of you would continue to be VALUE INVESTORS,
if it doesn’t make any money in any market.
#Theory is as good as its practical applicability.

5. The bottom line is that we are ALL here to make money

6. And therefore the ONLY thing that matters is
EDGE.
As a Market participant……

7. Eugene Fama, Father of Efficient Market hypothesis
he calls momentum the “biggest embarrassment
to the theory” out there.
#Noble Prize, #lifetime spent on a cause.

8. When stated in terms of lifetime dollar wealth
creation, the entire net gain in the U.S. stock market
since 1926 is attributable to the best-performing four
percent of listed stocks, as the other ninety six
percent collectively matched one-month Treasury
bills.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2900447
FAT TAILS
Something that has gone up 3x in an year is more likely to go up 10x rather than
one stuck in range.
#mostimportantslide. #winnertakesall, #anchorbias.

9. What about P/E ratios

10. For years, analysts have used P/E ratios as their
basic measurement tool in deciding whether a
stock is undervalued (has a low P/E) and should
be bought, or is overvalued (has a high P/E) and
should be sold. But our ongoing analysis of the
most successful stocks from 1880 to the
present shows that, contrary to most investors’
beliefs, P/E ratios were not a relevant factor in
price movement and have very little to do with
whether a stock should be bought or sold.
Much more crucial, we found, was the
percentage increase in earnings per share.
William J. O'Neil. How to Make Money in
Stocks (Kindle Locations 964-968). McGraw-
Hill. Kindle Edition.
Modelling of alpha (value/growth)

11. These findings strongly suggest that if you
weren’t willing to buy growth stocks at 25 to 50
times earnings, or even much more, you
automatically eliminated most of the best
investments available! You missed Microsoft,
Cisco Systems, Home Depot, America Online,
and many, many others during their periods of
greatest market performance.
William J. O'Neil. How to Make Money in
Stocks (Kindle Locations 976-978). McGraw-
Hill. Kindle Edition.
Indian story is not far from this fact either, growth is the way to alpha is a known fact

12. Primary consideration should be given to whether the
rate of change in earnings is substantially increasing or
decreasing.
William J. O'Neil. How to Make Money in Stocks (Kindle Location 970). McGraw-Hill.
Kindle Edition.

13. Xerox, which introduced the first dry
copier in 1959, sold for 100 times earnings in
1960—before it advanced 3,300% in price (from
a split-adjusted $5 to $170).
Syntex,the first company to submit a
patent for a birth control pill, sold for 45 times
earnings in July 1963—before it advanced
400%.
Genentech,a pioneer in the use of
genetic information to develop new wonder
drugs and the first biotech company to go
public, was initially priced at 200 times earnings
in November 1985. In five months, the new
stock bolted 300%. America
Online, whose software gave millions
access to the revolutionary new world of the
Internet, sold for over 100 times earnings in
November 1994 before climbing 14,900% to its
peak in December 1999.

14. Google’sP/E was in the 50s and 60s
from $115 a share in September 2004 until it hit
$475 a share in early January 2006.
William J. O'Neil. How to Make Money in
Stocks (Kindle Locations 1025-1031). McGraw-
Hill. Kindle Edition.

15. Concentrate on stocks with proven
records of significant earnings
growth in each of the last three
years plus strong recent quarterly
improvements. Don’t accept
anything less.
William J. O'Neil. How to Make Money in
Stocks (Kindle Locations 1040-1041). McGraw-
Hill. Kindle Edition.

16. EDGE.
What is it, and how do you define it.
Win % * average win - Loss% * average loss.
#road matters, not the speed.

17. #urge 2 be right. #upbringing defect

18. Baggage charges on Stock market flight are very steep.
Travel Lite, Leave preconceived notions at home.
Swami Manish

19. (43.70 * 9000) - (56.30 * 4000)
Data from April 1, 2017 to 23 November 2017.
RETURN: 31.50%

20. So Lets get down to business, shall we.
Momentum can be broadly divided into 02 parts.
Applied to Index. Rotation based on
Relative strength. Gary Antonacci.
Individual stock portfolio with
Predefined exits/entry.
#Read his book, #listen to our podcast

21. DUAL MOMENTUM
Step 1. Check the preceding 12 month ROC of all your selected indices.
Gary chose US equities ETF, Bonds and Emerging market ETF
Step 2. Check if the preceding 12 month return of the top performer beats your
Benchmark, lets say 8%.
Step 3. If answer is YES to both above conditions, park your funds in that index else
Move to cash.
Step 4. REPEAT EVERY MONTH on a fixed date.

22. I applied this to the Indian context by selecting NiftyBees, goldbees and N100.
Year 2005-2016. BUY AND HOLD RETURN
Your 01 lakh would have become 3.63 lakhs giving you a return of 12.65% CAGR.
to achieve this respectable CAGR, you had to go through a ditch of 59.67%

23. Dual momentum results
A respectable return of 18.03% CAGR with a
maximum drawdown of 29.92% during the same time period of 2005-2016.

24. While we improved the Buy and hold baloney by a considerable Margin, its still not good enou
Remember, Return is NEVER calculated standalone, It is always RISK Adjusted.
CAR/MAxdd
>= 1
#Somuch for Mutual Fund Sahi hai.

25. I received the feedback that nobody in India invests in Indices and so I ran
this System on DSP BLACK ROCK MICROCAP FUND.
The 10 year period ended with funds current NAV of 61.003 which is
a CAGR return of 19.29%

26. To achieve this respectable figure, our buy and hold client had to go
through a Peak (16.5) to trough (4.90) journey of around 70% in the sub-
prime lending crises of 2008.

27. I applied a simple rule of absolute momentum as a benchmark to say, We
only buy DSP blackrock microcap fund if its last quarter return was more than
our benchmark of 8% P.A.
RESULT: a stellar CAGR of 30.5% with a drawdown of 25%
Difference of 19% and 30% tantamount to a fortune.

28. Individual stock portfolio.
Select your Universe.
Decide your entry criteria
Decide your exit criteria
Position size
Back-test.
Paper trade.
Execution automation.
Develop the discipline to follow it blindfolded
Walkforward
Montecarlo
Maxdd/CAR
ROC/52whigh
Fundamentals
Trailing stop
support
ROC fall from grace
Excel/amibroker, multi charts, R
Python. Symphony etc.

29. Stress Test
Delete the top performers.
Increase the brokerage, transaction cost and slippage.
Change in sample and out of sample ranges
Change the Optimised parameters
Change the entry exit decision dates

30. Return: 41% CAGR. Max DD: 31%

31. Books/blogs to read. How to go about it.
http://www.followingthetrend.com/
http://www.aqr.com
http://www.cxoadvisory.com/
Contact: http://www.mysticwealth.in/
info@mysticwealth.in