RPS/02/2012

STUDENT RESEARCH PROJECT Test of Momentum Investment Strategy using Constituents of CNX 100 index
Prepared by
Tejas Mankar Student of PGDM Program of 2010-12 S P Jain Institute of Management & Research, Mumbai

Supervised by
Mayank Joshipura Associate Professor and Head, Finance S P Jain Institute of Management & Research, Mumbai

February 2012

Student Research Project Test of Momentum Investment Strategy using Constituents of CNX 100 index
Prepared by Tejas Mankar 1

February 2012

Abstract

By using the momentum investment strategy--a strategy of buying stocks that have performed well in the past and selling stocks that have performed poorly in the past--to generate returns over a 3 to 12-month holding period, this paper provides evidence against the weak form of market efficiency theory which claims that superior returns cannot be produced on the basis of investment strategies based on historical data and if any such returns are earned it may be a mere compensation for the higher risk taken. The trading strategy has been tested using the constituents of CNX 100 for a period between 2003 and 2011. The results of the study are in sync with the findings of Jegadeesh and Titman (1993).

The author is currently a student at S.P. Jain Institute of Management and Research, Mumbai. The views expressed in the paper are those of the author and not necessarily of the National Stock Exchange of India Ltd. The author acknowledges the opportunity as well as the research grant provided by National Stock Exchange of India Limited and also acknowledges the constant support and guidance provided by Dr. Mayank Joshipura for the preparation of the paper. The author can be contacted at [email protected] or [email protected].

Test of Momentum Investment Strategy using Constituents of CNX 100 Index

I. Introduction
Investment strategies have received a lot of attention from the academic world over the last two decades. Armed with vast databases and cheap computing power, researchers have explored investment strategies across different asset classes; equities, in particular, have received a lot of focus. Momentum investment strategy involves buying stocks that have performed well in the past and selling stocks that have performed poorly in the past.
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The aim of this strategy is to generate

significant returns over the holding period. Interest in momentum investment strategies has not just been limited to the researchers world. They have found applications in the real world of asset management. Professional fund management companies in the United States (US) have successfully employed momentum investment strategies and launched momentum-based fund schemes. Some momentum-based funds have been running for over a decade and have billions of dollars of assets under management. The weak form of the market efficiency hypothesis dictates that abnormal profits cannot be produced on the basis of investment strategies based on historical data and if any such returns are earned it is a mere compensation for the higher risk taken. However, near zero-beta portfolios have been created in the past, which have been found to produce superior absolute returns-much higher than risk free rate of return. 3 Momentum profits have thus remained an anomaly in the markets and provide fund managers with an excellent opportunity to create beta-neutral, superior-return portfolios. To date, no asset-pricing model has been able to explain short-term momentum returns fully. Fama and Frenchs three-factor version of capital asset-pricing model could explain most of the
Selling of stocks can achieved through short sale or selling of futures depending on the regulations prevailing in various markets. 3 A portfolio of assets so constructed as to have no systemic risk is referred to as a zero-beta portfolio. Systematic risk measures a portfolio's sensitivity to market price movements. A zero-beta portfolio is similar to a risk-free asset.
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anomalies including long-term contrarian profits but could not explain short-term momentum returns. Grundy and Martin studied the risk sources of momentum strategies and concluded that while factor models can explain most of the variability of momentum returns, they fail to explain their mean returns. Momentum profits have also been shown to exist across various financial markets. Some view this unexplained persistence of momentum returns throughout the last several decades as one of the most serious challenges to the asset-pricing literature. While momentum profits do exist, it is important to analyze whether the strategies based on the momentum effect remain viable after transaction costs are taken into account. In this context, Korajczyk and Sadka (2002) estimated that as much as 5 billion dollars can be invested in momentum strategies before the apparent profit opportunities vanish due to price impact induced by trades. 4 While many studies on momentum investment strategies have been undertaken in the developed markets, very few studies have been done on Indian markets. The Indian market has undergone many changes in the last couple of decades, the volumes and liquidity have improved considerably over last two decades. The increasing role of institutional investors and the introduction of online fully automated screen-based trading have resulted in improved efficiency and effectiveness of the market. Turnover ratio has vastly improved from 32.7 percent in 199091 to 81.8 percent in 2006-07. 5 Trading in derivatives such as stock index futures, stock index options and futures and options in individual stocks was introduced to provide hedging options to the investors and to improve the price-discovery mechanism in the market. In India, factors such as regulations allowing short sales in the cash market, reduction in transactions costs and the improved liquidity augur well for the successful implementation of momentum trading strategies. This paper analyzes momentum investment strategy to generate significant returns over a 3 to 12 month holding period. For the purpose of this study, we have employed a methodology used commonly by researchers studying momentum investment strategies (see Section III) and the sample for the study consists of the constituent stocks from CNX 100 Index for the period 2003 to 2011. The latter serves the important purpose of not including any small cap or illiquid stock
4 5

Refer to Explicit trading costs and price pressures under implementation issues/considerations section. Reserve Bank of India Equity and Corporate Debt Market Report.

and thus negates the hypothesis that profits generated in momentum investment strategies are compensation for the risks associated with small and illiquid stocks. Our study aims at testing for existence of momentum profits and thus testing weak form of market efficiency which claims that superior returns cannot be produced on the basis of investment strategies based on historical data and if any such returns are earned it may be a mere compensation for the higher risk taken. While we essentially back-test the momentum investment strategy in this paper under the assumption of zero transaction costs, fund managers can actually test this strategy to examine its robustness in the real world.

The rest of the paper is organized as follows. Section II explains the momentum phenomenon. Section III discusses the methodology of the study. Section IV describes results and analysis. Section V discusses implementation issues. Finally, Section VI concludes the study summarizing the results and observations.

II. Momentum phenomenon

In their 1985 paper, Debondt & Thaler tested the momentum hypothesis and found significant momentum profits in the US market. In their subsequent 1987 paper, Debondt & Thaler studied the risk and size characteristics of the winning or losing firms. They found that neither risk nor size had any role to play in explaining the momentum effect. Jagdeesh & Titman (1993) studied the stock data in the US market from 1965 to 1989 and found that the strategy, which selects stocks, based on their past 6 months returns and holds them for 6 months, realizes a compounded momentum return of 12.01 percent per year on average. Rouwenhorst (1998) reported that the momentum profits documented by Jegadeesh and Titman for the US market could also be obtained in the European markets. Chui, Titman, and Wei (2000) documented that with the notable exception of Japan and Korea, momentum profits were also obtained in Asian markets. A number of behavioral scientists have also attempted to explain the momentum phenomenon. Daniel, Hirshleifer and Subrahmanyam (1998) attributed the momentum

phenomenon to two biases of informed investors: overconfidence and biased self-attribution.

Overconfidence induces them to have an exaggerated view on the precision of their private signals about a stocks value, leading them to overreact to such signals. Biased self-attribution on the other hand causes informed investors to under-estimate public signals about value, especially when the public signals contradict their private signals. This overreaction, however, persists only in the short-run. With the passage of time as more information comes along, investors get a realistic picture of the impact of past information and tend to realize their mistakes that lead to reversals in the long run. Providing a different explanation, Hong and Stein (1999) divided investors into two types"news-watchers" and "momentum traders. The news-watchers rely purely on their private information, while momentum traders rely exclusively on the information in past price changes. Hence, price is driven initially by the news-watchers as they receive and react to their private information as soon as they come. The news gradually gets transmitted to the market, where chartists may get breakouts on their charts and react to the news. This means that there is a period of under-reaction initially, that is, till the time momentum traders begin to react to the news and subsequently, there is overreaction when momentum traders react to the news. In the long-run, however, this overreaction disappears and the price reverts to its fundamental level. A significant strand of the literature discusses the possible reasons for momentum profits, some attributing it to investor behavior, while others attributing it to risk factors not captured by CAPM or the Fama-French three-factor model.

III. Data and Methodology

Sampling The sample for the study consists of the constituent stocks from CNX 100 index. It is a diversified 100-stock index accounting for 38 sectors of the economy. CNX 100 is computed using free-float market capitalization method. CNX 100 is owned and managed by India Index
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Both are well known behavioral bias. Self-attribution bias occurs when people attribute successful outcomes to their own skill but blame unsuccessful outcomes on bad luck.

Services and Products Ltd. (IISL), which is a joint venture between the NSE and CRISIL. The CNX 100 Index has a base date of Jan 1, 2003 and a base value of 1000 (Source: NSE website). The reason behind selecting S&P CNX 100 constituents stocks as sample is that in addition to the index representing almost the entire market, it also helps avoiding issues associated with small and illiquid stocks influencing the results. Data Collection Adjusted monthly closing prices of the stocks on NSE for the period starting January 2003 and ending August 2011 were obtained from the Capitaline database.
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This study is for the period

from January 2003 to August 2011, which includes the stock market rally from 2004 to 2008, the global financial meltdown of 2008-2009, and the subsequent recovery and the consolidation period beginning soon after. Thus, this period signifies all the major ups and downs in the Indian equity markets over the last decade. Selection of scrips 8 All stocks, which have been a part of the index at any point of time between January 2003 and August 2011, have been considered for the study. Any stock where the previous six months stock data is available (though it could be excluded from the index but continues to list on the NSE during the period of portfolio testing) is considered for portfolio formation. Any stock whose either last six months data is not available due to the stock being (a) unlisted during the portfolio formation or (b) getting delisted during the testing period, is not considered for portfolio formation. The number of CNX 100 stocks that qualify for 6 x 12 strategy according to the above mentioned criteria for each month of the selected period are shown in Annexure 1.

Stock price is adjusted for stock splits, dividends/distributions, etc. which facilitates calculation of return without any difficulty i.e. if current price of a stock is Rs. 100, the company has just gone ex bonus with bonus of 1:1, which means price before the bonus may be say Rs.200. Now if we go by absolute price, then the last months closing price may be somewhere around Rs. 200, while this months closing price is around Rs.100, which means negative returns. However, that is not true as the stock has gone ex-bonus and therefore the price should be adjusted to half of the price prevailing before the bonus of 1:1 to make it comparable to the price now. 8 Selection of scrips is done during the formation period.

Measurements of returns Stock returns are measured monthly on adjusted monthly price of the companies by using the formula ln(Pn/Pn-1) where Pn and Pn-1 are the adjusted closing prices of the last trading day of the two relevant months.
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The main advantage of using logarithmic returns is that it is not

affected by the base effect problem. For example, an investment of Rs.100 that yields an arithmetic return of 20 percent followed by an arithmetic return of (-20) percent results in a final value of Rs. 96; while an investment of Rs. 100 that yields a logarithmic return of 20 percent followed by a logarithmic return of (-20) percent results in Rs. 100. MxN strategy Here, we specifically use a strategy that selects stocks on the basis of returns over the past M months (i.e. formation period) and holds them for N months (holding period). This is called as the M x N strategy. At the beginning of each month t, the candidate stocks are ranked in descending order on the basis of their returns in the past M months. The top decile portfolio is called the winners portfolio and the bottom decile is called the losers portfolio. This strategy involves, simultaneously buying the winner portfolio and selling the loser portfolio and then holding this position for N months (total number of months). The strategies we consider in this paper involve selecting stocks based on their 3-month and 6month returns (for formation period). We then consider holding periods of 3, 6 and 12 months for stocks selected on the basis of returns in 3-month formation period--thus generating trading strategies: 3x3, 3x6, 3x12. On the basis of returns in 6-month formation period, however, we consider a holding period of only 12 months, thus generating the 6x12 trading strategy. Methodology To test the momentum trading strategy for Indian market, we have followed the methodology used by Debondt and Thaler (1985, 1987) and Jegadeesh and Titman (1993) with a slight modification i.e. instead of using abnormal returns, we use actual returns for the analysis, so that it serves two purposes. First, it does not have any adverse impact on robustness of analysis and
For e.g. The return of a stock for the period of January 2003 to March 2003 will be calculated as [ln(P1/P0) + ln(P2/P1)] where P0, P1 and P2 are the adjusted closing prices for the last trading days for the months of January, February and March.
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second, it simplifies understanding and makes implementation easier. Another important aspect to be noted about this strategy is that it uses overlapping portfolios. Jegadeesh and Titman (1993, 2001) suggest that using overlapping portfolios
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helps reduce the effects of bid-ask bounce 11

and provides more robust results. Hence, we have considered overlapping portfolios for the four trading strategies. Therefore, in any given month, the strategies hold a series of portfolios that are selected in the current month as well as in the previous N-1 months, where N is the holding period. In this paper, we explain the methodology for 6 x 12 strategy for illustration purpose, although similar methodology has been used in other strategies as well. The analysis is performed using first six months data for portfolio formation and next twelve months for portfolio testing period i.e. 6x12 strategy. As the study uses 104 months data (from January 2003 to August 2011), there are 86 winner and loser portfolios each for the testing period. 12 The methodology for 6x12 strategy is explained below in various steps which are followed in the formation period and the holding period.

A. Formation Period
In case of a 6x12 strategy, if the portfolio has to be formed for the month of August 2003, then the cumulative returns of the selected stocks for last 6 months are calculated and then arranged in a descending order. The six months CR (Cumulative Returns) of the CNX 100 constituents is defined in equation (1).
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For every stock i in the sample (CNX 100), the cumulative returns

(CR) for the prior 6 months will be calculated as:

Consider the 3 x 6 strategy. The portfolio formed at the end of June based on April June returns would be held till December. Similarly portfolios formed at the end of July, August, September, October, November, would be held till the end of January, February, March, April and May respectively. Thus, in any given month t, the strategies hold a series of portfolios that are selected in the current month as well as in the previous n 1 months where n is the holding period. 11 Suppose a stock trades at bid 950 and ask 1000. Suppose no news appears for ten minutes. But, over this period, suppose that a buy order first comes in (at Rs.1000) followed by a sell order (at Rs. 950). This sequence of events makes it seem that the stock price has dropped by Rs.50. Even when no news is breaking, when a stock price is not changing, the `bid-ask bounce' is about prices bouncing up and down between bid and ask. These changes are spurious. This problem is the greatest with illiquid stocks where the bid-ask spread is wide. 12 Number of winner or loser portfolios for the m x n strategy for a sample period of t months = t m - n 13 Cumulative returns help in identifying the month-on-month pattern in return of the portfolio especially in studies on momentum based strategies where there is reversal in the returns of the winner and loser portfolios over a period of time.

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(1) where Rit is the return of the ith stock for the tth month. In simple words, cumulative returns are the sum total of the logarithmic month-on- month returns of the stock prices in the past six months. i.e. CRi = ln(P1/P0) + ln (P2/P1) + ln(P3/P2)+ ln(P4/P3) + ln(P5/P4) + ln(P6/P5) where P0, P1, P2, P3, P4, P5 , P6 and P7 are adjusted monthly closing prices for January, February, March, April, May ,June and July respectively. Based on the cumulative returns (CRi), the stocks are arranged in descending order. Based on these rankings, ten decile portfolios are formed. Each decile portfolio consists of stocks weighed equally in that decile. Top decile portfolio forms winner portfolio and bottom decile

portfolio forms loser portfolio.

It is to be noted that a portfolio is constructed by going long on the winner portfolio and short on the loser portfolio. This is done on a monthly basis and the step is repeated 86 times for the period starting August 2003 and ending on August, 2011 as mentioned above.

B. Holding Period
After the winner and loser portfolios are identified in a given month for a given formation period, the following calculations are to be done for the holding period. Step 1: Calculating month-on-month stock returns for all stocks selected in winner and loser portfolio

The first step involves calculating month-on-month returns for all candidate stocks in the winner and loser portfolio for each of the 12 months holding period (i.e. 1st month return, 2nd month return, 3rd monthand 12th month returns). 14 This is illustrated below with the help of Matrix 1.

As mentioned above, these returns are calculated using the logarithmic returns of adjusted monthly closing prices during the month i.e. R(1,1) = ln(P6/P5). R(12,10) = ln(P11/P10) and so on.

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Matrix 1: Illustration of returns (month-on-month) during the holding period (12 months) for one sample winner portfolio formed during August 2003
Returns during the holding month
Stock No. 1 2 3 Name of Stocks Oriental CPCL Flextronics LIC Housing Fin M&M Bank of Baroda Bharat Electron ING Vyasa Bank Grasim Inds India Cement 1st month R(1,1) R(1,2) R(1,3) 2nd month R(2,1) R(2,2) R(2,3) 3rd month R(3,1) R(3,2) R(3,3) R(1,4) R(1,5) R(1,6) R(1,7) R(1,8) R(1,9) R(1,10) AR1 = avg (R(1,1) R(1,10)). R(2,4) R(2,5) R(2,6) R(2,7) R(2,8) R(2,9) R(2,10) AR2 = avg(R(2,1) R (2,10)) R(3,4) 5 6 7 8 9 10 R(3,5) R(3,6) R(3,7) R(3,8) R(3,9) R(3,10) AR3= avg (R(3,1) R(3,10)). R(9,10) AR9 = avg (R(9,1) R(9,10)). R(10,10) AR10=avg (R(10,1) R(10,10)). R(11,10) AR11 =avg(R(11,1) R(11,10)). R(12,10) AR12 =avg (R(12,1) R(12,10)) R(9,9) R(10,9) R(11,9) R(12,9) R(9,8) R(10,8) R(11,8) R(12,8) R(9,7) R(10,7) R(11,7) R(12,7) R(9,6) R(10,6) R(11,6) R(12,6) R(9,5) R(10,5) R(11,5) R(12,5) R(9,4) R(10,4) R(11,4) R(12,4) R(9,3) R(10,3) R(11,3) R(12,3) R(9,2) R(10,2) R(11,2) R(12,2) 9th month R(9,1) 10th month R(10,1) 11th month R(11,1) 12th month R(12,1)

Average Returns =

where:

R(1,1) is the month-on-month return of stock 1 for the month of August 2003; R(12,10) is the month-on-month return of stock 10 for July 2004 and so on.

Step 2: Calculating Average Return of Stocks

After Step 1, average of the stock returns are calculated for each month of the 12-month holding period for each winner and loser portfolio. This is illustrated in Matrix 1 where:

AR1 = Average(R(1,1),,R(1,2),R(1,3),R(1,4),R(1,5),R(1,6),R(1,7),R(1,8),R(1,9),R(1,10))

i.e. average of the

return of all stocks during the first month in the winner portfolio for the particular month.

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AR12 = Average(R(12,1),,R(12,2),R(12,3),R(12,4),R(12,5),R(12,6),R(12,7),R(12,8),R(12,9),R(12,10)) i.e. average of return of all stocks during the twelfth month in the winner portfolio for the particular month

Likewise, average returns are calculated for the winner and loser portfolios separately for each of the 86 iterations. Matrix 2 illustrates the average returns of all the winner portfolios. Similar matrix needs to be constructed for the loser portfolio.

Matrix: 2 Calculation of average returns of the 86 winner portfolios

Portfolios Average Returns ARW,1 (1st
month return)

1 (Aug 03)

2 (Sep 03)

3 (Oct 03)

4 (Nov 03)

83 (Jun 10)

84 (Jul 10)

85 (Aug 10)

86 (Sep 10)

AR1,1 AR2,1 AR3,1 AR4,1 AR5,1 AR6,1 AR7,1 AR8,1 AR9,1 AR10,1 AR11,1

AR1,2 AR2,2 AR3,2 AR4,2 AR5,2 AR6,2 AR7,2 AR8,2 AR9,2 AR10,2 AR11,2

AR1,3 AR2,3 AR3,3 AR4,3 AR5,3 AR6,3 AR7,3 AR8,3 AR9,3 AR10,3 AR11,3

AR1,4 AR2,4 AR3,4 AR4,4 AR5,4 AR6,4 AR7,4 AR8,4 AR9,4 AR10,4 AR11,4

AR1,83 AR2,83 AR3,83 AR4,83 AR5,83 AR6,83 AR7,83 AR8,83 AR9,83 AR10,83 AR11,83

AR1,84 AR2,84 AR3,84 AR4,84 AR5,84 AR6,84 AR7,84 AR8,84 AR9,84 AR10,84 AR11,84

AR1,85 AR2,85 AR3,85 AR4,85 AR5,85 AR6,85 AR7,85 AR8,85 AR9,85 AR10,85 AR11,85

AR1,86 AR2,86 AR3,86 AR4,86 AR5,86 AR6,86 AR7,86 AR8,86 AR9,86 AR10,86 AR11,86

AR(W,2) AR(W,3) AR(W),4) AR(W,5) AR(W,6) AR(W,7) AR(W,8) AR(W,9) AR(W,10) AR(W,11) AR(W,12)
(12th month return)

AR12,1

AR12,2

AR12,3

AR12,4

AR12,83

AR12,84

AR12,85

AR12,86

Step 3: Calculating Cumulative Average Returns

The monthly ARs (in Matrix 2) are used to calculate the Cumulative Average Returns (CARs) in each month (t), where t=1,, 12 during holding period, this step is repeated 86 times each i.e. for 86 winner and 86 loser portfolios for 6x12 strategy as shown in the Matrix 3.

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Matrix 3: Calculating Month wise cumulative average returns for 86 winner and loser portfolios

Cumulativ e Average Returns Month wise

Portfolios 1 (Aug 03) 2 (Sep 03) (Oct 03) 3 (Nov 03) 4 83 (Jun 10) 84 (Jul 10) 85 (Aug 10) 86 (Sep 10)

Mean Cumulative Average returns of all 86 Portfolios where K=86

MCAR1 = (CAR(1,1) + CAR(1,2) + .. + CAR(1,86))/K MCAR2 MCAR3 MCAR4 MCAR5 MCAR6 MCAR7 MCAR8 MCAR9 MCAR10 MCAR11 MCAR12=(CAR(12,1) + CAR(12,2) + ..+ CAR(1,86))/K

CAR(W,1) CAR(W,2) CAR(W,3) CAR(W,4) CAR(W,5) CAR(W,6) CAR(W,7) CAR(W,8) CAR(W,9) CAR(W,10) CAR(W,11)

CAR 1,1 = AR1 CAR 2 ,1=CAR1 + AR2 CAR3,1=CAR2 + AR3 CAR4,1=CAR3 + AR4 CAR5,1=CAR4 + AR5 CAR6,1=CAR5+ AR6 CAR7,1=CAR6 + AR7 CAR8,1=CAR7+ AR8 CAR9,1=CAR8 + AR9 CAR10,1=CAR9 + AR10 CAR11,1CAR10 + AR11

CAR 1,2 CAR 2 ,2 CAR 3 ,2 CAR4,2 CAR5,2 CAR6,2 CAR7,2 CAR8,2 CAR9,2 CAR10,2 CAR11,2

CAR 1,3 CAR 2 ,3 CAR 3 ,3 CAR4,3 CAR5,3 CAR6,3 CAR7,3 CAR8,2 CAR9,3 CAR10,3 CAR11,3

CAR 1,4 CAR 2 ,4 CAR 3 ,4 CAR4,4 CAR5,4 CAR6,4 CAR7,4 CAR8,2 CAR9,4 CAR10,4 CAR11,4

.. .. .. .. .. .. .. .. .. .. ..

CAR 1,83 CAR 2, 83 CAR 3 ,83 CAR4,83 CAR5,83 CAR6,83 CAR7,83 CAR8,83 CAR9,83 CAR10,83 CAR11,83

CAR 1,84 CAR 2, 84 CAR 3 ,84 CAR4,84 CAR5,84 CAR6,84 CAR7,84 CAR8,84 CAR9,84 CAR10,84 CAR11,84

CAR 1,85 CAR 2, 85 CAR 3 ,85 CAR4,85 CAR5,85 CAR6,85 CAR7,85 CAR8,85 CAR9,85 CAR10,85 CAR11,85

CAR 1,86 CAR 2, 86 CAR 3 ,86 CAR4,86 CAR5,86 CAR6,86 CAR7,86 CAR8,86 CAR9,86 CAR10,86 CAR11,86

CAR(W,12)

CAR12,1=CAR11 + AR12

CAR12,2

CAR12,3

CAR12,4

..

CAR12,83

CAR12,84

CAR12,85

CAR12,86

where:

CARW,1 denotes the Cumulative average returns for the winner portfolio for the one month and CARw,12 denotes the cumulative average returns for the winner portfolio for two months and so on. Similarly, cumulative average returns are calculated for loser portfolio.

Step 4: Mean Cumulative Average Returns Then average the CARs for these 86 portfolios are used to get Mean Cumulative Average Returns (MCARs). 15 (see Matrix 3)

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Since MCAR gives the average of the CAR of all the 86 portfolios, it removes any seasonality or cyclical bias from CAR.

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where: MCAR1 = (CAR(1,1) + CAR(1,2) + ..+ CAR(1,86))/K MCAR12 = (CAR(12,1) + CAR(12,2) + ..+ CAR(1,86))/K where K = 86 ( Number of iterations) CAR(1,1) and CAR(1,86) are the Cumulative Average Returns for the 1st month of the holding period for the 1st and 86th portfolios respectively. CAR(12,1) and CAR(12,86) are the Cumulative Average Returns for the 12st month of the holding period for the 1st and 86th portfolios respectively.

Step 4: Mean Average Returns The mean average returns (MARs) are calculated by averaging the ARs for the 86 portfolios for the 86 months. 16
Matrix 4: Mean average returns (MAR) for 86 winner and loser portfolios
Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 5 Portfolio 84 Portfolio 85 Portfolio 86 Mean Average returns of all 86 Portfolios where K=86 MAR1 = (AR(1,1) + AR(1,2) + ..+ AR(1,86))/K MAR2 MAR3 MAR4 MAR5 MAR6 MAR7 MAR8

Average Returns

(Aug 03)

(Sep 04)

(Oct 04)

(Dec 04)

(Jul 10)

(Aug 10)

(Sep 10)

AR(W),1) AR(W,2) AR(W,3) AR(W,4) AR(W,5) AR(W,6) AR(W,7) AR(W,8)

AR1,1 AR2,1 AR3,1 AR4,1 AR5,1 AR6,1 AR7,1 AR8,1

AR1,2 AR2,2 AR3,2 AR4,2 AR5,2 AR6,2 AR7,2 AR8,2

AR1,3 AR2,3 AR3,3 AR4,3 AR5,3 AR6,3 AR7,3 AR8,3

AR1,5 AR2,5 AR3,5 AR4,5 AR5,5 AR6,5 AR7,5 AR8,5

AR1,84 AR2,84 AR3,84 AR4,84 AR5,84 AR6,84 AR7,84 AR8,84

AR1,85 AR2,85 AR3,85 AR4,85 AR5,85 AR6,85 AR7,85 AR8,85

AR1,86 AR2,86 AR3,86 AR4,86 AR5,86 AR6,86 AR7,86 AR8,86

Since MAR gives the average of the AR of all the 86 portfolios it removes any seasonality or cyclical bias from AR.

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Average Returns

Portfolio 1

Portfolio 2

Portfolio 3

Portfolio 5

Portfolio 84

Portfolio 85

Portfolio 86

(Aug 03) AR(W(L),9) AR(W(L),10) AR(W(L),11) AR9,1 AR10,1 AR11,1

(Sep 04) AR9,2 AR10,2 AR11,2

(Oct 04) AR9,3 AR10,3 AR11,3

(Dec 04) AR9,5 AR10,5 AR11,5

(Jul 10) AR9,84

(Aug 10) AR9,85 AR10,85 AR11,85

(Sep 10) AR9,86 AR10,86 AR11,86

Mean Average returns of all 86 Portfolios where K=86 MAR9 MAR10 MAR11 MAR12 = (AR(12,1) + AR(12,2) + ..+ AR(1,86))/K

AR10,84 AR11,84

AR(W(L),12)

AR12,1

AR12,2

AR12,3

AR12,5

AR12,84

AR12,85

AR12,86

where: MAR1 = (AR(1,1) + AR(1,2) + ..+ AR(1,86))/K MAR12 = (AR(12,1) + AR(12,2) + ..+ AR(12,86))/K K = 86 (Number of iterations) AR(1,1) and AR(1,86) are the Average Returns for the 1st month of the holding period for the 1st and 86th portfolios respectively. AR(12,1) and AR(12,86) are the Average Returns for the 12st month of the holding period for the 1st and 86th portfolios respectively. Box 1 gives the definition of AR, CAR, MCAR and MAR to test the momentum strategy.
Box 1: Definitions of AR, CAR, MCAR and MAR

(2) (3) (4) (5)

Where n=number of stocks in each portfolio t= 1 to 12 k = no of times test repetition (86 in our case)

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Test of Significance
MCARW (MCARL) indicates how much cumulated returns stocks in the winner (loser) portfolio earn on an average during 12 months in test period. If markets are efficient but weak then MCARW minus MCARL must be equal to zero. The momentum hypothesis implies that MCARw minus MCARL > 0. The two tests -- MCAR and MAR are used to test the hypothesis. The test of MCAR verifies significance of momentum returns and show if the returns grow stronger or are reversed at some stage during holding period on a cumulative basis. The test of MAR helps one to identify on a monthly basis whether the momentum returns are getting built up or reversed. Before analyzing the results of momentum hypothesis from MCAR test and MAR test, it is to be noted that one has to look at the returns of the momentum portfolio i.e. the return of the winner portfolio (W) minus the return of the loser portfolio (L).
17

Therefore, if the momentum profits exist then

winners should always outperform losers irrespective of the direction of the market movement and thereby generate absolute positive returns. Let us understand this by following two possible scenarios. Scenario 1: Market Goes Up

If the entire market goes up significantly say by 10 percent, both the winner as well as loser portfolios would generate positive returns. The only difference being that winner portfolio would outperform the market and may earn 12 percent returns whereas the loser portfolio would underperform the market and may earn only 8 percent. Therefore, the momentum portfolio i.e. W minus L would yield a return of 12 percent 8 percent = 4 percent.

Scenario-2: Market Goes Down

If the entire market goes down by 10 percent, both the winner as well loser portfolios would expectedly generate negative returns. The only difference being that the winner portfolio would
17

As mentioned earlier, in the momentum investment strategy one has to simultaneously buy the winner portfolio(W) and sell the loser portfolio (L).

16

lose percent while the loser portfolio would underperform and may go down by 12 percent. Therefore the momentum portfolio i.e. W minus L would yield a return of -8 percent -(-12 percent) = 4 percent.

Thus, an important point to be noted is that irrespective of direction of market movement, the momentum portfolio (W minus L) would generate absolute positive return of 4 percent. This is also known as a zero beta or non-directional strategy.

IV. Results and Analysis

In this section, we analyze the results of the 6 x 12 strategy using MCAR and MAR tests explained in section IVA and IV B.

IVA. Mean Cumulative Average Returns Test MCARt of a portfolio shows the cumulated returns of the portfolio till the tth month (for example MCAR3 denotes mean cumulative average returns of 86 winner and loser portfolios in the third month). As shown in Table 1, the winner portfolio delivers a 1.64 percent return in the first month of testing period that goes on increasing to 12.14 percent in the 12th month of the testing period. Similarly, the MCAR of loser portfolio in the 1st month of the testing period is 1.53 percent, which increases to 11.03 percent at the end of the 12th month of the testing period. Column 3 of table 1 gives the mean cumulated average return of the long winner and short loser portfolio. The return on the momentum portfolio i.e. the difference between MCARW and MCARL, becomes 3.88 percent in the 6th month, which is the highest in the 12 months testing period and reduces to 1.11 percent at the end of the 12 month testing period. Interestingly in this 12 month testing period, the MCAR of loser portfolio remains positive. This can be contributed to the fact that in the test period of January 2003 to August 2011, the CNX 100 saw a huge rally during which it climbed to a peak of 6204 on 4th January 2008, fell to a low of 2456 on October 24, 2008 and rose again to close at 4921 on 30th August 2011.

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Table 1: MCAR of winner and loser portfolio for the testing period for 6x12 trading strategy
MCAR(W,t) (A) 1.64% 3.69% 5.66% 7.32% 9.00% 9.64% 9.81% 10.16% 10.38% 10.93% 11.57% 12.15% MCAR(L,t) (B) 1.53% 3.31% 3.85% 4.92% 5.82% 5.76% 6.27% 6.93% 7.82% 8.80% 9.85% 11.03% MCAR of Momentum Portfolio (A-B) 0.11% 0.38% 1.80% 2.39% 3.17% 3.88% 3.54% 3.23% 2.56% 2.14% 1.72% 1.11%

MCAR MCAR1 MCAR2 MCAR3 MCAR4 MCAR5 MCAR6 MCAR7 MCAR8 MCAR9 MCAR10 MCAR11 MCAR12

Data in Table 1 are put in the form of a Chart (see Chart 1).
Chart 1: MCAR of winner and loser portfolios over the testing period for 6 x12 trading strategy

18

It may be observed from Chart 1, that although the returns of both the loser and the winner 1, portfolio rise throughout the 12 month period, the pace of increase slows down for both 12-month portfolios after the 6th month. It may also be observed that the MCAR of winner portfolio continues to diverge from the loser portfolio till the 6th month and after remaining widely fter rem divergent till the 8th month, the gap narrows rapidly in the subsequent months. Thus, from MCAR test, it becomes clear that irrespective of the market direction, the difference irrespective MCARW minus MCARL remains positive indicating that the strategy is market neutral (i.e. nondirectional market strategy).
Chart 2: MCAR(W,t) minus MCAR(L,t) over the testing period for 6 x12 trading strategy

IV. B. Mean Average Test (MAR) V. The MARt18 of a portfolio denotes the mean of the average return of the portfolio in the tth month of the testing period. If we look at the MAR of the winner portfolio (see table 2) then in the initial 5 months there is significantly high MAR. While results for MCAR are presented on differential of winner and loser portfo portfolio, to gauge whether winner or loser or both the portfolios contributed significantly to a particular months momentum returns we have presented results for months MAR for winner as well as loser portfolio independently. The MAR test helps to identify: a)

18

Mean Average Absolute Return is calculated by averaging the Average Return of the K iterations iterations

19

whether it is the winner portfolio or loser portfolio that runs out of momentum and b) returns of which portfolio (winner or loser) are reversed in the first instance.
Table 2: MAR of winner and loser portfolio for the testing period for 6x12 trading strategy
MAR(W,t) MAR 1 MAR 2 MAR 3 MAR 4 MAR 5 MAR 6 MAR 7 MAR 8 MAR 9 MAR 10 MAR 11 MAR 12 1.64% 2.05% 1.96% 1.66% 1.68% 0.64% 0.17% 0.36% 0.21% 0.55% 0.64% 0.57% MAR(L,t) 1.53% 1.78% 0.54% 1.07% 0.90% -0.07% 0.51% 0.66% 0.88% 0.98% 1.05% 1.18%

In the first month, the MAR for the first 5 months is 1.64 percent, 2.05 percent, 1.96 percent, 1.66 percent, and 1.68 percent respectively, which drops to 0.64 percent in the 6th month and to 0.17 percent in the fifth month of the test period. Thus, we can see a strong reversal in the momentum returns for the winner portfolio in the sixth month of the test period (Chart 3).
Chart 3: MARt for the winner portfolio over the testing period for 6 x12 trading strategy

20

Interestingly MAR of the loser portfolio (see table 2) shows an increase in the 2nd month to 1.78 percent from 1.53 percent in the 1st month. In the third month there is a strong fall in the MAR which becomes 0.54 percent and thereafter a small upsurge to become 1.07 percent and 0.89 percent in the 4th and 5th month respectively before dropping to -0.07 percent in the sixth month of the testing period. After the sixth month there is a reversal and loser portfolio starts to rally (see chart 4). Sixth month onwards the MAR of the portfolio increases to 1.18 percent in the twelfth month.
Chart 4: MARt for the loser portfolio over the testing period for 6 x12 trading strategy

Thus, overall we can see from the MAR figures that the winner portfolio shows a reversal in momentum in the fifth month while the loser portfolio shows a reversal in momentum in the fourth and seventh month of the holding period. To answer the question as to whether the superior returns derived by investing in loser portfolio are just the compensation of higher risk or there is presence of genuine momentum profits, we calculate the average betas of the winner and loser portfolios during the test period. The average beta of 86 loser portfolios is 1.0364 and that of the winner portfolio is 0.9502 and the two are not significantly different from each other. Hence, the superior returns observed in momentum portfolio cannot be attributed only to compensation for higher risk.

21

To test whether the momentum profits do exist in shorter formation and holding period, the study is done for shorter duration formation and holding periods. The results for 3x3, 3x6 and 3x12 strategies are explained with the help of tables and charts in Annexure 2 and Annexure 3. Clearly, the momentum returns do exist for almost all the combinations of formation and holding periods. It is also evident from the discussion of 6x12 strategy that though MCAR remains positive for the entire holding period, from seventh month onwards loser portfolio shows superior MAR to the winner portfolio, implying that the trend of winner portfolio outperforming loser portfolio is completely getting reversed. It shows that going by the results of this study, for a momentum portfolio formed using six months returns, it is better to have a holding period for six months rather than of 12 months. Because one can see, that momentum loses steam from seventh month onwards. Having said that, it is worth mentioning here that this conclusion is based on the result of current study only.

V. Implementation issues
Most studies on momentum investment strategies assume zero-cost portfolios, zero transaction costs, ability to short-sale the desired stocks and ignores the impact of block deals on prices and the constraints imposed by regulations. However, these factors affect implementation of momentum-based investment strategies and have been classified as avoidable and unavoidable factors and examined in some detail. 19

Unavoidable Factors Explicit trading costs and price pressures Scalability of momentum investment strategies is limited by explicit trading costs20 and price pressures due to large trade blocks. Large funds trading on momentum strategy execute block

19

Bushee and Raedy (2005) divided these factors into two main categoriesunavoidable, and avoidable.Though many researcher before them have researched solely on one or the other factor affecting the strategy, have been explained in this section. 20 Explicit trading costs include commissions, fees and taxes.

22

trades; however, the implicit price pressure costs of such trades reduce the expected returns from this strategy. 21 Short Sale In short sale, the stock to be shorted is borrowed by the short seller from a lender. In case a stock is recalled by the lender, the portfolio manager has to take up additional transaction costs to maintain his short position in the security, which reduces the return of the portfolio. The longer the period of short position the greater is the probability of the stock being recalled. Thus, the cost of borrowing stocks and the possibility of the borrowed stock being recalled by the lender makes it difficult for funds to exploit the short-selling possibilities. Futures market Futures market provides another mechanism to short an individual stock. Advantages of futures market include low transaction costs and high liquidity and therefore low impact costs. Roll-over costs come into picture when a short position has to be maintained beyond three months since the maturity period for futures contracts is three months. Avoidable factors Maximum portfolio weight constraint Under Indian regulations, a mutual fund scheme cannot invest more than 10 percent of its NAV in the equity shares/equity-related instruments of any company except in the case of an index fund or an industry-specific scheme.22 Therefore, this constraint does not allow mutual funds to build such portfolios where one needs to put more than 10 percent in a particular stock. This point can be explained with the help of an example. In the strategy explained in this paper if during a month we have 90 stocks which have to be divided into ten deciles, it means that we will have nine stocks each in the winner and a loser portfolio. In such a case, if we have to create equally weighted winner or loser portfolio (as required by this strategy) we need to put more

Many studies have documented significant price impact of large block trades. These studies done by Holthausen (1987), Chan and Lakonishok (1993/1995), Keim and Madhavan (1997) found that price impact increases with increasing transaction size and decreases with increasing stock price and market capitalization of the stock. 22 KPMG India Funds and Fund Management 2010

21

23

than ten percent in each stock and that may not be allowed under current set of regulations. This constraint can however be avoided by creating portfolios of more than 10 stocks.

Fund management characteristics Mutual funds can manage their portfolios using equally weighted investments or market capitalization-weighted investments. While equally weighted portfolios tend to be biased in favour of smaller firms as compared to larger (as it does not differentiate stocks based on their relative size), market-cap weighted portfolios tend to be dominated by larger stocks. However, portfolio managers can avoid such limitations by choosing an appropriate screening process. For instance in this study, where we have used equally weighted portfolios, we have eliminated the potential bias (exerted by small cap stocks) by using only the constitutes of CNX 100 (which are the top 100 stocks).

VI. Conclusion

There is strong evidence of momentum profit for the short-term formation-test period. For each of the trading strategies 3x3, 3x6, 3x12 and 6x12, we found presence of momentum profits. After a period of 6 to 8 months, reversal in momentum takes place, as the winner and loser portfolio returns start to converge. Further, it was found that the average risk of the winner portfolios was not significantly different to loser portfolio, thus proving evidence that the superior momentum returns are not only due to compensation for higher risk. In other words, there is empirical evidence against weak form of market efficiency in the Indian market. These results are consistent with those of the seminal studies by Jegadeesh and Titman (1993, 2001) and De Bondt & Thaler (1985, 1987 and 1990) in the US markets. To conclude, the study provides a strong evidence of short-term profits through the use of momentum strategy.

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References Barberis N. Shleifer A. and Vishny R. (1998). A Model of Investor Sentiment. Journal of Financial Economics, 49, pp. 307-343.

Bushee B. and Raedy J. (2005). Factors Affecting the Implementability of Stock Market Trading Strategies. Working Paper, University of Pennsylvania and University of North Carolina, Chapel Hill.

Chan L. and Lakonishok J. (1993). Institutional Trades and Intraday Stock Price Behavior. Journal of Financial Economics 33, pp. 173-200.

Chan L. and Lakonishok J. (1995). The Behavior of Stock Prices around Institutional Trades. Journal of Finance, 50, pp. 1147-1174.

Chui A.C.W., Titman S., and Wei K.C.J. (2000). Momentum, Legal Systems and Ownership Structure: an Analysis of Asian Stock Markets. Working paper, Hong Kong University of Science and Technology.

Daniel K., Hirshleifer D., and Subrahmanyam A. (1998). "Investor Psychology and Security Market Under and Overreactions." Journal of Finance, 53, pp.18391885.

De Bondt W. and Thaler R. (1985). Does the Stock Market Overact ? Journal of Finance, 40, pp.793-808.

DAvolio G. (2002). The Market for Borrowing Stock. Journal of Financial Economics, 66, pp. 271-306.

Fama E. (1970). Efficient Capital Markets: a Review of Theory and Empirical Work. Journal of Finance, 25 pp. 383-417.

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Fama E. and French K. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51, pp. 55-84. Grundy B. and Spencer M. (2001). Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing. Review of Financial Studies, 14, pp. 29-78.

Hong H. and Stein J.C. (1999). A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets. Journal of Finance, 54, pp. 2143-2184.

Holthausen R., Leftwich R., and Mayers D. (1987). The Effect of Large Block Transactions on Security Prices. Journal of Financial Economics, 19, pp. 237-267.

Jegadeesh N. and Titman S. (1993). Return to Buy Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, pp.65-91.

Keim D. and Madhavan A. (1997). Transactions Costs and Investment Style: an Inter-Exchange Analysis of Institutional Equity Trades. Journal of Financial Economics 46, pp. 265-292.

Korajczyk R. and Sadka R. (2002). Are Momentum Profits Robust to Trading Costs? Working paper 289, Kellogg Graduate School of Management, Northwestern University.

Rouwenhorst K.G. (1998). International Momentum Strategies. Journal of Finance, 53, pp.267-284.

Sequin P. and Smoller M. (1997). Share Price and Mortality: an Empirical Evaluation of Newly Listed NASDAQ Stocks. Journal of Financial Economic, 45, pp.333-363.

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Annexure 1: Number of CNX 100 listed companies eligible for portfolio formation for 6x12 strategy for the given month.
Month Year Number of stocks Month Year Number of stocks Num ber of stocks Month Year Number of stocks

Month Year

Jan-03 Feb-03 Mar-03 Apr-03 May-03 Jun-03 Jul-03 Aug-03 Sep-03 Oct-03 Nov-03 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05

-------83 84 90 95 95 95 98 85 84 83 83 83 83 96 97 98 94 95 93

Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06 May-06 Jun-06 Jul-06 Aug-06 Sep-06 Oct-06 Nov-06 Dec-06 Jan-07 Feb-07 Mar-07 Apr-07

93 93 93 97 97 99 98 98 98 98 98 97 97 97 97 95 95 96 95 95 94 96 96 96 98 96

May-07 Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09

97 96 96 96 95 96 96 92 92 91 90 91 91 94 94 95 96 96 96 97 96 96 94 94 94 94

Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11

95 95 99 92 92 93 93 93 93 98 98 98 98 98 98 94 94 94 94 94 91 96 96 96 96 96

27

Annexure 2: MCAR of Winner and Loser Portfolio for the testing period for different trading strategies

MCAR 3x3 trading strategy

MCAR(W,t) MCAR1 MCAR2 MCAR3 1.79% 3.40% 4.92% MCAR(L,t) 1.10% 1.90% 2.54% MCAR(W,t) - MCAR(L,t) 0.69% 1.50% 2.38%

MCAR 3x6 trading strategy

MCAR(W,t) MCAR1 MCAR2 MCAR3 MCAR4 MCAR5 MCAR6 1.88% 3.55% 5.23% 6.64% 7.78% 8.44% MCAR(L,t) 1.17% 2.05% 2.95% 3.67% 4.55% 4.99% MCAR(W,t) - MCAR(L,t) 0.71% 1.50% 2.28% 2.97% 3.23% 3.45%

MCAR 3x12 trading strategy

MCAR(W,t) MCAR1 MCAR2 MCAR3 MCAR4 MCAR5 MCAR6 MCAR7 MCAR8 MCAR9 MCAR10 MCAR11 MCAR12 2.27% 4.26% 6.15% 7.70% 8.93% 9.74% 10.47% 11.99% 12.15% 12.66% 13.14% 13.90% MCAR(L,t) 1.35% 2.37% 3.44% 4.51% 5.77% 6.04% 7.21% 8.27% 8.69% 9.09% 9.64% 10.68% MCAR(W,t) - MCAR(L,t) 0.92% 1.89% 2.72% 3.19% 3.16% 3.70% 3.26% 3.72% 3.45% 3.57% 3.49% 3.22%

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Annexure:3 MCARt for winner and loser portfolio for the testing period for different strategies MCAR for 3 x 3 strategy

MCAR 3 x 6 strategy

MCAR 3 x 12 strategy

29

Annexure 3: 86 winner portfolios for the 6x12 trading strategy

Aug-03 Oriental Bank CPCL Flextronics LIC Housing Fin. M&M Bank of Baroda Bharat Electron ING Vysya Bank Grasim Inds India Cements Jan-04 GE Shipping Co SAIL Siemens Tata Teleservices Axis Bank M&M Tata Steel Flextronics SCI Kotak Mah. Bank Jan-05 IDBI Bank SAIL Andhra Bank CPCL Piramal Health Bank of India Syndicate Bank Tata Steel JSW Steel IFCI Jan-06 JP Associates Siemens M&M GE Shipping Co Sterlite Inds. Larsen & Toubro Dabur India BHEL Natl. Aluminium Tata Comm Jan-07 Polaris Soft. Bank of India MphasiS JP Associates ICICI Bank Axis Bank Oracle Fin.Serv. St Bk of India Bharti Airtel ING Vysya Bank Jan-08 Reliance Infra. JP Associates Reliance Capital Tata Teleservices Tata Power Co. SAIL Reliance Petro. Kotak Mah. Bank Larsen & Toubro LIC Housing Fin. Jan-09 BPCL Union Bank (I) Punjab Natl.Bank Bank of Baroda Tata Comm Bank of India Power Fin.Corpn. Aventis Pharma Syndicate Bank Hind. Unilever Jan-10 Tata Motors Sesa Goa Ranbaxy Labs. HCL Technologies TCS Bharat Forge MphasiS Patni Computer Hindalco Inds. Oracle Fin.Serv. Sep-03 SAIL IFCI Oriental Bank CPCL Bharat Electron India Cements Aurobindo Pharma Flextronics LIC Housing Fin. GE Shipping Co Feb-04 Bharti Airtel GE Shipping Co Tata Power Co. Siemens Tata Motors Moser Baer (I) Thomas Cook (I) Piramal Health IFCI Axis Bank Feb-05 Bharat Forge ING Vysya Bank Andhra Bank Union Bank (I) Bank of India JP Associates Piramal Health Canara Bank IDBI Bank Tata Teleservices Feb-06 Siemens Sterlite Inds. BHEL Natl. Aluminium ABB Larsen & Toubro JP Associates M&M Dabur India Maruti Suzuki Feb-07 IFCI Polaris Soft. Moser Baer (I) JP Associates IDFC Bharti Airtel MphasiS Axis Bank IDBI Bank Bank of India Feb-08 Reliance Infra. JP Associates Axis Bank Tata Power Co. Natl. Aluminium Reliance Capital LIC Housing Fin. IDFC SAIL Reliance Petro. Feb-09 BPCL Syndicate Bank Union Bank (I) NTPC Aventis Pharma Hind. Unilever Hero Motocorp Andhra Bank Power Fin.Corpn. Tata Comm Feb-10 Tata Motors Cummins India Ranbaxy Labs. Lupin Hindalco Inds. HCL Technologies Sesa Goa MphasiS JSW Steel Oracle Fin.Serv. Oct-03 SAIL IFCI Oriental Bank Aurobindo Pharma Bharat Electron IDBI Bank M&M India Cements CPCL Flextronics Mar-04 Siemens M&M Moser Baer (I) Reliance Infra. Bharti Airtel GE Shipping Co Larsen & Toubro Piramal Health Axis Bank Flextronics Mar-05 Andhra Bank Axis Bank Bank of India ING Vysya Bank Kotak Mah. Bank IFCI Bharat Forge Union Bank (I) Punjab Natl.Bank LIC Housing Fin. Mar-06 Siemens BHEL Larsen & Toubro Sterlite Inds. Tata Motors Maruti Suzuki Natl. Aluminium Dr Reddy's Labs M&M Cipla Mar-07 IFCI Bharti Airtel Moser Baer (I) Polaris Soft. IDFC SAIL MphasiS Punjab Tractors ICICI Bank Rel. Comm. Mar-08 Tata Power Co. Reliance Infra. Natl. Aluminium LIC Housing Fin. Axis Bank IDFC Reliance Capital Reliance Petro. SAIL BPCL Mar-09 BPCL Hero Motocorp Power Fin.Corpn. NTPC Maruti Suzuki Power Grid Corpn Hind. Unilever Tata Comm ITC ACC Mar-10 Sesa Goa JSW Steel Hindalco Inds. Lupin Canara Bank Tata Motors TCS Dr Reddy's Labs Ranbaxy Labs. United Spirits Nov-03 SAIL IFCI M&M IDBI Bank Oriental Bank Aurobindo Pharma Tata Steel Tata Teleservices Tata Motors Kotak Mah. Bank Apr-04 Siemens Axis Bank CPCL Tata Power Co. Reliance Infra. Bharti Airtel M&M Piramal Health Punjab Natl.Bank Larsen & Toubro Apr-05 Andhra Bank Bank of India Kotak Mah. Bank Axis Bank Bharat Forge LIC Housing Fin. ING Vysya Bank ABB Union Bank (I) Dabur India Apr-06 Siemens Sterlite Inds. Aurobindo Pharma BHEL Tata Motors Cipla ABB Natl. Aluminium Dr Reddy's Labs MphasiS Apr-07 IFCI Bharti Airtel Polaris Soft. MphasiS SAIL Oracle Fin.Serv. Kotak Mah. Bank Moser Baer (I) Lupin Bharat Electron Apr-08 Natl. Aluminium Tata Power Co. ING Vysya Bank Sun Pharma.Inds. Asian Paints Cipla LIC Housing Fin. Tata Comm BPCL GAIL (India) Apr-09 Hero Motocorp Power Fin.Corpn. Maruti Suzuki Power Grid Corpn Tata Comm MphasiS GMR Infra. Tata Teleservices NTPC BPCL Apr-10 Sesa Goa Mundra Port JSW Steel SAIL Cummins India Crompton Greaves Asian Paints United Spirits UltraTech Cem. Bharat Electron Dec-03 SAIL Tata Teleservices GE Shipping Co M&M Flextronics Tata Motors Grasim Inds IFCI Tata Steel Kotak Mah. Bank May-04 CPCL Axis Bank Wockhardt Bharti Airtel Siemens Punjab Natl.Bank Piramal Health Corporation Bank Union Bank (I) Tata Power Co. May-05 Andhra Bank LIC Housing Fin. Kotak Mah. Bank ING Vysya Bank Bank of India Siemens ABB Axis Bank Bharat Forge IOB May-06 Sterlite Inds. Aurobindo Pharma Siemens ACC Grasim Inds BHEL Hindalco Inds. JP Associates Natl. Aluminium Tata Motors May-07 IFCI Oracle Fin.Serv. Kotak Mah. Bank Bharat Electron Tata Teleservices Bharti Airtel Moser Baer (I) SAIL MphasiS Lupin May-08 Natl. Aluminium Sun Pharma.Inds. Asian Paints ITC Hind. Unilever BPCL Cipla Apollo Tyres Hero Motocorp Tata Power Co. May-09 GMR Infra. Jindal Steel JP Associates LIC Housing Fin. Tata Teleservices Grasim Inds UltraTech Cem. Hero Motocorp Bharat Electron Reliance Infra. May-10 JSW Steel Adani Enterp. Tata Motors Cummins India Bajaj Auto Mundra Port Indian Hotels Hindalco Inds. Sesa Goa Axis Bank

Jun-04 Bharti Airtel CPCL Punjab Natl.Bank Aventis Pharma Wockhardt Sun Pharma.Inds. Axis Bank Piramal Health Tata Global Glaxosmit Pharma Jun-05 Siemens Bharat Forge ABB Dabur India Axis Bank Kotak Mah. Bank Andhra Bank BHEL LIC Housing Fin. ING Vysya Bank Jun-06 Sterlite Inds. SAIL Dabur India Aurobindo Pharma Siemens Zee Entertainmen ACC Dr Reddy's Labs Tata Steel Cipla Jun-07 IFCI Moser Baer (I) Reliance Capital SAIL ING Vysya Bank Larsen & Toubro Tata Teleservices Reliance Petro. Kotak Mah. Bank IDFC Jun-08 Natl. Aluminium Lupin Ranbaxy Labs. Cairn India Asian Paints Sun Pharma.Inds. Infosys Satyam Computer Tata Power Co. Cipla Jun-09 JP Associates HDIL Unitech LIC Housing Fin. GMR Infra. JSW Steel Jindal Steel IFCI Tata Steel UltraTech Cem. Jun-10 Federal Bank Cummins India Bajaj Auto Bank of Baroda Lupin Adani Enterp. Siemens Mundra Port Glaxosmit Pharma Patni Computer

Jul-04 Bharti Airtel Sun Pharma.Inds. CPCL Punjab Natl.Bank M&M Union Bank (I) Hero Motocorp Reliance Infra. Tata Comm Aventis Pharma Jul-05 Siemens Dabur India Kotak Mah. Bank ABB Colgate-Palm. ONGC Axis Bank Tata Global Asian Paints ITC Jul-06 Sterlite Inds. Zee Entertainmen SAIL ACC Reliance Inds. Aurobindo Pharma BHEL Tata Steel Grasim Inds Dabur India Jul-07 IFCI Reliance Capital Reliance Petro. IDFC Kotak Mah. Bank ING Vysya Bank IDBI Bank Larsen & Toubro Moser Baer (I) Tata Teleservices Jul-08 Ranbaxy Labs. Sun Pharma.Inds. Cairn India Lupin Asian Paints Hero Motocorp Cipla Infosys Hind. Unilever Satyam Computer Jul-09 Tech Mahindra Jindal Steel Oracle Fin.Serv. JSW Steel LIC Housing Fin. M&M MphasiS JP Associates IFCI Sterlite Inds. Jul-10 Bajaj Auto Cummins India Bank of Baroda Glaxosmit Pharma Federal Bank Lupin Mundra Port Ashok Leyland Asian Paints Colgate-Palm.

Aug-04 CPCL Union Bank (I) Tata Global Infosys Aventis Pharma Sun Pharma.Inds. Bharti Airtel M&M Piramal Health HDFC Bank Aug-05 Tata Comm Bank of India Siemens ABB ICICI Bank Kotak Mah. Bank Dabur India Corporation Bank Tata Global Oracle Fin.Serv. Aug-06 Zee Entertainmen ACC Grasim Inds Sterlite Inds. Reliance Inds. Cipla SAIL Dr Reddy's Labs Container Corpn. Tata Steel Aug-07 IFCI Reliance Capital Reliance Petro. Larsen & Toubro Kotak Mah. Bank ABB Reliance Infra. Cummins India St Bk of India Tata Steel Aug-08 Oracle Fin.Serv. Ranbaxy Labs. Lupin Cadila Health. Sun Pharma.Inds. Cairn India Hero Motocorp Cipla LIC Housing Fin. Hind. Unilever Aug-09 Tech Mahindra JSW Steel MphasiS JP Associates Patni Computer HDIL Jindal Steel M&M Tata Motors Unitech Aug-10 Bajaj Auto LIC Housing Fin. Cummins India Ashok Leyland Asian Paints Federal Bank Andhra Bank Corporation Bank Glaxosmit Pharma Lupin

Sep-04 CPCL Union Bank (I) CMC Infosys Wipro Sun Pharma.Inds. Raymond Tata Global Wockhardt IDBI Bank Sep-05 Tata Comm Oracle Fin.Serv. Kotak Mah. Bank Tata Global Wockhardt JP Associates Nirma Bharti Airtel Siemens Ingersoll-Rand Sep-06 Reliance Inds. Zee Entertainmen Sterlite Inds. ACC Kotak Mah. Bank Oracle Fin.Serv. Grasim Inds Infosys Ambuja Cem. Cadila Health. Sep-07 IFCI Reliance Capital Larsen & Toubro BHEL Reliance Petro. JP Associates Kotak Mah. Bank Reliance Infra. ABB Tata Steel Sep-08 Lupin Cadila Health. Sun Pharma.Inds. Ranbaxy Labs. Cipla Infosys Oracle Fin.Serv. Asian Paints Hero Motocorp Cairn India Sep-09 Patni Computer HDIL Tech Mahindra Unitech JSW Steel JP Associates MphasiS Tata Motors LIC Housing Fin. IFCI Sep-10 Cummins India LIC Housing Fin. Andhra Bank Asian Paints HPCL Bajaj Auto Ashok Leyland Bharat Forge Tata Motors IOB

Oct-04 IDBI Bank SAIL HCL Technologies JSW Steel CMC Union Bank (I) Infosys Wockhardt Raymond Wipro Oct-05 Tata Comm Bharti Airtel Oracle Fin.Serv. Syndicate Bank Tata Global BHEL ICICI Bank JP Associates Siemens ITC Oct-06 Reliance Inds. Zee Entertainmen ACC Bank of Baroda Sterlite Inds. Infosys Grasim Inds Bank of India HDFC Bank Kotak Mah. Bank Oct-07 IFCI Reliance Infra. Reliance Capital Reliance Petro. Tata Teleservices JP Associates IDBI Bank St Bk of India Kotak Mah. Bank Tata Steel Oct-08 Lupin Hero Motocorp Cadila Health. Sun Pharma.Inds. Bank of India Hind. Unilever ONGC Bank of Baroda Aventis Pharma Cipla Oct-09 HDIL JSW Steel Patni Computer Tech Mahindra LIC Housing Fin. HCL Technologies MphasiS Tata Motors Unitech IFCI

Nov-04 CPCL Infosys CMC SCI IDBI Bank SAIL GE Shipping Co HCL Technologies JSW Steel Wipro Nov-05 M&M Bharti Airtel Syndicate Bank JP Associates St Bk of India Oracle Fin.Serv. Tata Global Larsen & Toubro Reliance Inds. Dabur India Nov-06 Bank of India Infosys ICICI Bank Bharti Airtel Axis Bank Oracle Fin.Serv. M&M HDFC Bank Bank of Baroda St Bk of India Nov-07 Reliance Infra. Reliance Petro. Reliance Capital Larsen & Toubro JP Associates LIC Housing Fin. BHEL Tata Power Co. IDFC SAIL Nov-08 Lupin Tata Comm Cadila Health. Hind. Unilever Hero Motocorp Aventis Pharma Cipla Infosys Union Bank (I) Sun Pharma.Inds. Nov-09 MphasiS Tech Mahindra Patni Computer Sesa Goa Oracle Fin.Serv. Jindal Steel HCL Technologies Ranbaxy Labs. Tata Motors Hindalco Inds.

Dec-04 IDBI Bank CPCL SCI SAIL Union Bank (I) IOB Raymond JSW Steel Andhra Bank Infosys Dec-05 M&M JP Associates Tata Comm BHEL Siemens Larsen & Toubro Bharti Airtel Syndicate Bank Reliance Inds. Tata Global Dec-06 Bank of India Bharti Airtel Axis Bank ICICI Bank Zee Entertainmen St Bk of India Grasim Inds Ambuja Cem. JP Associates HDFC Bank Dec-07 Reliance Infra. JP Associates GMR Infra. Reliance Capital Reliance Petro. Kotak Mah. Bank Larsen & Toubro LIC Housing Fin. IFCI Tata Power Co. Dec-08 Union Bank (I) Hero Motocorp Aventis Pharma Hind. Unilever BPCL Bank of Baroda Cipla NTPC Punjab Natl.Bank Bank of India Dec-09 Sesa Goa HCL Technologies MphasiS Patni Computer Jindal Steel Tata Motors Tech Mahindra TCS Oracle Fin.Serv. JSW Steel

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Annexure 4: 86 loser portfolios for the 6x12 trading strategy

Aug-03 Punjab Tractors NIIT Satyam Computer CMC Wockhardt Infosys MTNL Polaris Soft. Wipro Morepen Labs. Jan-04 Bank of India HPCL MTNL GlaxoSmith C H L Tata Comm Colgate-Palm. Hind. Unilever Ingersoll-Rand Morepen Labs. HFCL Jan-05 Hero Motocorp Hind. Unilever Flextronics Oracle Fin.Serv. MphasiS Ashok Leyland Asian Paints Aurobindo Pharma Punjab Tractors Reliance Infra. Jan-06 Corporation Bank Andhra Bank CMC Reliance Infra. IDBI Bank LIC Housing Fin. Moser Baer (I) Bongaigaon Ref IFCI Ranbaxy Labs. Jan-07 Hero Motocorp Hind. Unilever Natl. Aluminium Tata Teleservices Aventis Pharma MTNL Wockhardt Tata Steel Nirma TVS Motor Co. Jan-08 Infosys Lupin Cadila Health. Container Corpn. Tech Mahindra Glaxosmit Pharma Aventis Pharma Aurobindo Pharma Patni Computer Oracle Fin.Serv. Jan-09 Hindalco Inds. Tata Motors Sterlite Inds. Bharat Forge Tech Mahindra Oracle Fin.Serv. Tata Steel Suzlon Energy JSW Steel Unitech Jan-10 MRPL GMR Infra. Reliance Power Mundra Port Suzlon Energy Reliance Capital Bharti Airtel Idea Cellular Tata Teleservices Rel. Comm. Sep-03 NIIT Satyam Computer Rolta India Polaris Soft. Infosys CMC GTL Thomas Cook (I) Wipro Morepen Labs. Feb-04 Union Bank (I) MTNL Pfizer Hind. Unilever GlaxoSmith C H L Oracle Fin.Serv. Ingersoll-Rand Colgate-Palm. Morepen Labs. HFCL Feb-05 HCL Technologies IBP Co. Punjab Tractors Flextronics IPCL Dr Reddy's Labs Reliance Infra. MphasiS Polaris Soft. Aurobindo Pharma Feb-06 Oriental Bank Polaris Soft. Zee Entertainmen Tata Teleservices Andhra Bank Ranbaxy Labs. IDBI Bank Bongaigaon Ref Corporation Bank IFCI Feb-07 Cipla ITC Aventis Pharma Wockhardt Hero Motocorp Bongaigaon Ref Nirma Tata Steel Hind. Unilever TVS Motor Co. Feb-08 ACC Glaxosmit Pharma Cadila Health. Aventis Pharma TVS Motor Co. Moser Baer (I) Patni Computer Tech Mahindra Aurobindo Pharma Oracle Fin.Serv. Feb-09 DLF Rel. Comm. Bharat Forge Reliance Capital Tech Mahindra JSW Steel Tata Steel HDIL Suzlon Energy Unitech Feb-10 DLF GMR Infra. Hind. Unilever Unitech Suzlon Energy Reliance Infra. Bharti Airtel Idea Cellular Tata Teleservices Rel. Comm. Oct-03 Thomas Cook (I) Polaris Soft. Dr Reddy's Labs HCL Technologies Infosys Britannia Inds. CMC Wipro Morepen Labs. Colgate-Palm. Mar-04 Andhra Bank SAIL Union Bank (I) Asian Paints Colgate-Palm. Ranbaxy Labs. Hind. Unilever Nirma Ingersoll-Rand IFCI Mar-05 Kochi Refineries CMC TVS Motor Co. Flextronics Zee Entertainmen MphasiS Polaris Soft. IPCL Reliance Infra. Aurobindo Pharma Mar-06 Piramal Health Corporation Bank Jet Airways Bongaigaon Ref ING Vysya Bank Tata Teleservices Ranbaxy Labs. IDBI Bank Polaris Soft. IFCI Mar-07 MTNL Union Bank (I) Ranbaxy Labs. Corporation Bank Hindalco Inds. Raymond Hind. Unilever Aventis Pharma Bongaigaon Ref TVS Motor Co. Mar-08 MphasiS Zee Entertainmen Aventis Pharma ACC TVS Motor Co. Moser Baer (I) Aurobindo Pharma Tech Mahindra Oracle Fin.Serv. Patni Computer Mar-09 Aditya Bir. Nuv. Hindalco Inds. Ranbaxy Labs. DLF Tata Steel Reliance Capital HDIL JSW Steel Suzlon Energy Unitech Mar-10 Moser Baer (I) Suzlon Energy GMR Infra. Idea Cellular Aditya Bir. Nuv. DLF Tata Teleservices Unitech Bharti Airtel Rel. Comm. Nov-03 Hind. Unilever MTNL HPCL Britannia Inds. Colgate-Palm. Polaris Soft. GTL CMC Morepen Labs. HFCL Apr-04 Ranbaxy Labs. CMC Colgate-Palm. Dr Reddy's Labs SAIL Nirma Hind. Unilever Ingersoll-Rand Oracle Fin.Serv. IFCI Apr-05 Punjab Tractors Cipla Reliance Infra. Cadila Health. TVS Motor Co. MTNL IPCL Aurobindo Pharma MphasiS Polaris Soft. Apr-06 Oriental Bank Polaris Soft. CPCL Vijaya Bank Bongaigaon Ref Andhra Bank Tata Teleservices ING Vysya Bank IFCI IDBI Bank Apr-07 Union Bank (I) Hindalco Inds. Vijaya Bank Bank of Baroda ACC Bongaigaon Ref Syndicate Bank Corporation Bank Canara Bank TVS Motor Co. Apr-08 Wockhardt Bharat Electron IDBI Bank Tech Mahindra TVS Motor Co. Oracle Fin.Serv. Aurobindo Pharma Moser Baer (I) Patni Computer IFCI Apr-09 JSW Steel Tata Steel HDIL Aditya Bir. Nuv. DLF CPCL Tech Mahindra Reliance Capital Unitech Suzlon Energy Apr-10 HPCL Suzlon Energy Bharti Airtel IOB Reliance Infra. DLF Unitech Tata Teleservices Indbull.RealEst. Rel. Comm. Dec-03 Pfizer Hind. Unilever Colgate-Palm. Punjab Natl.Bank Bank of India Britannia Inds. Ingersoll-Rand GTL Morepen Labs. HFCL May-04 Colgate-Palm. Zee Entertainmen Nirma MphasiS Ingersoll-Rand Hind. Unilever SAIL Oracle Fin.Serv. IFCI Dr Reddy's Labs May-05 Dr Reddy's Labs MTNL SCI Ranbaxy Labs. MphasiS Kochi Refineries Reliance Infra. Aurobindo Pharma Polaris Soft. CMC May-06 Piramal Health Bongaigaon Ref IFCI IDBI Bank Oriental Bank Jet Airways Andhra Bank Tata Teleservices Patni Computer ING Vysya Bank May-07 HPCL BPCL Union Bank (I) LIC Housing Fin. Corporation Bank Cipla Hindalco Inds. Raymond Canara Bank TVS Motor Co. May-08 ICICI Bank Maruti Suzuki Patni Computer IDBI Bank Grasim Inds Zee Entertainmen IFCI Moser Baer (I) Siemens Aurobindo Pharma May-09 Asian Paints Unitech ABB Hindalco Inds. IOB Moser Baer (I) Wockhardt Reliance Capital United Spirits HCL Technologies May-10 ONGC Rel. Comm. Maruti Suzuki HPCL Tata Teleservices HDIL Hind. Unilever DLF Tech Mahindra Indbull.RealEst.

Jun-04 Polaris Soft. Apollo Tyres SAIL IDBI Bank TVS Motor Co. IPCL Oracle Fin.Serv. Dr Reddy's Labs SCI IFCI Jun-05 CPCL Biocon SCI GE Shipping Co TVS Motor Co. Natl. Aluminium Kochi Refineries MTNL CMC Polaris Soft. Jun-06 IBP Co. Vijaya Bank Andhra Bank Tata Teleservices IDBI Bank Bongaigaon Ref ING Vysya Bank Piramal Health Polaris Soft. Jet Airways Jun-07 Dr Reddy's Labs Cipla Zee Entertainmen Corporation Bank Canara Bank Hindalco Inds. Ambuja Cem. ACC Raymond TVS Motor Co. Jun-08 Unitech Vijaya Bank ACC JP Associates Grasim Inds Power Fin.Corpn. Kotak Mah. Bank IDBI Bank GMR Infra. Reliance Capital Jun-09 TCS Bharti Airtel Asian Paints HCL Technologies Tata Comm Sun Pharma.Inds. Cipla ITC United Spirits Hind. Unilever Jun-10 DLF Reliance Capital IOB Sterlite Inds. Maruti Suzuki Tata Teleservices Indbull.RealEst. Suzlon Energy HDIL Tech Mahindra

Jul-04 TVS Motor Co. LIC Housing Fin. Hind. Unilever Nirma Polaris Soft. SCI SAIL Moser Baer (I) Dr Reddy's Labs IFCI Jul-05 GE Shipping Co SAIL HPCL IBP Co. Oriental Bank MTNL Natl. Aluminium Kochi Refineries CMC Polaris Soft. Jul-06 IBP Co. Bongaigaon Ref Vijaya Bank Oriental Bank Corporation Bank Syndicate Bank IDBI Bank ING Vysya Bank Polaris Soft. Jet Airways Jul-07 Wipro Bharat Forge Ashok Leyland Cipla Dr Reddy's Labs Maruti Suzuki M&M Raymond Tata Motors TVS Motor Co. Jul-08 IFCI IDBI Bank Power Fin.Corpn. Tata Teleservices Reliance Infra. Kotak Mah. Bank Unitech Reliance Capital JP Associates GMR Infra. Jul-09 Bharti Airtel ITC DLF NTPC Hind. Unilever Sun Pharma.Inds. United Spirits Ranbaxy Labs. Tata Comm Glenmark Pharma. Jul-10 DLF SAIL Bharti Airtel Sterlite Inds. Tata Steel MphasiS Tech Mahindra HDIL Indbull.RealEst. Suzlon Energy

Aug-04 HPCL Tata Power Co. LIC Housing Fin. Nirma Hind. Unilever TVS Motor Co. Moser Baer (I) Dr Reddy's Labs IFCI ING Vysya Bank Aug-05 CPCL Ranbaxy Labs. Oriental Bank BPCL ING Vysya Bank SAIL Kochi Refineries HPCL IBP Co. CMC Aug-06 Reliance Infra. Tata Teleservices Wockhardt Oriental Bank Syndicate Bank Vijaya Bank Pfizer IDBI Bank Patni Computer Jet Airways Aug-07 Dr Reddy's Labs HPCL Wipro M&M Tata Motors TVS Motor Co. Cipla Ashok Leyland Raymond Polaris Soft. Aug-08 Vijaya Bank GMR Infra. Wockhardt IOB Kotak Mah. Bank Reliance Infra. IDFC Moser Baer (I) JP Associates Unitech Aug-09 Syndicate Bank Power Grid Corpn Bank of India Ranbaxy Labs. Bharti Airtel BPCL NTPC Tata Comm Hind. Unilever Sun Pharma.Inds. Aug-10 DLF Power Grid Corpn Tata Teleservices MphasiS Maruti Suzuki JP Associates HDIL Tech Mahindra Suzlon Energy Aditya Bir. Nuv.

Sep-04 TVS Motor Co. Tata Power Co. Bank of India Bank of Baroda Ashok Leyland HPCL Hind. Unilever Moser Baer (I) Dr Reddy's Labs ING Vysya Bank Sep-05 MTNL Tata Steel Punjab Natl.Bank Kochi Refineries BPCL HPCL LIC Housing Fin. Oriental Bank CMC IBP Co. Sep-06 Bharat Forge Biocon TVS Motor Co. Canara Bank Tata Teleservices Natl. Aluminium Wockhardt Reliance Infra. Ingersoll-Rand Jet Airways Sep-07 TCS Indian Hotels M&M HPCL Wipro Bharat Forge Raymond Punjab Tractors Cipla Polaris Soft. Sep-08 Indian Hotels Syndicate Bank Wockhardt GMR Infra. Moser Baer (I) Raymond Vijaya Bank IOB IDFC Unitech Sep-09 Cipla Bharti Airtel BPCL ITC Tata Comm Glaxosmit Pharma Sun Pharma.Inds. NTPC Power Grid Corpn Hind. Unilever Sep-10 Maruti Suzuki SAIL HDIL Bharat Electron JP Associates Sesa Goa Sterlite Inds. Tech Mahindra Suzlon Energy UltraTech Cem.

Oct-04 Punjab Natl.Bank St Bk of India Dr Reddy's Labs Ashok Leyland BPCL Maruti Suzuki Moser Baer (I) Bank of Baroda ING Vysya Bank HPCL Oct-05 Moser Baer (I) Natl. Aluminium Vijaya Bank Ranbaxy Labs. Andhra Bank IBP Co. Bongaigaon Ref Oriental Bank LIC Housing Fin. CMC Oct-06 GAIL (India) Tata Teleservices Bharat Forge Pfizer Wockhardt Reliance Infra. Nirma Natl. Aluminium Ingersoll-Rand Jet Airways Oct-07 Oracle Fin.Serv. Bharat Forge Pfizer Dr Reddy's Labs Aurobindo Pharma TCS Wipro Punjab Tractors Cipla Polaris Soft. Oct-08 GMR Infra. Wockhardt Suzlon Energy Tata Motors Ranbaxy Labs. DLF JP Associates IDFC Raymond Unitech Oct-09 Glaxosmit Pharma Ambuja Cem. United Spirits Bharti Airtel Cipla Sun Pharma.Inds. ITC NTPC Power Grid Corpn Hind. Unilever

Nov-04 Syndicate Bank Vijaya Bank Corporation Bank Ashok Leyland St Bk of India Maruti Suzuki Bank of Baroda HPCL Punjab Natl.Bank ING Vysya Bank Nov-05 Apollo Tyres MTNL Vijaya Bank Andhra Bank IBP Co. Moser Baer (I) Oriental Bank LIC Housing Fin. Ranbaxy Labs. Bongaigaon Ref Nov-06 Reliance Infra. Aventis Pharma Nirma Raymond Tata Steel Biocon Natl. Aluminium TVS Motor Co. MTNL Jet Airways Nov-07 Aurobindo Pharma Cipla Lupin TCS Pfizer Aventis Pharma Tech Mahindra Punjab Tractors Polaris Soft. Oracle Fin.Serv. Nov-08 IDFC Reliance Infra. GMR Infra. DLF Raymond JP Associates Tata Motors Tata Steel Unitech Suzlon Energy Nov-09 NTPC Ambuja Cem. Tata Teleservices GMR Infra. Sun Pharma.Inds. Reliance Inds. Suzlon Energy Idea Cellular Rel. Comm. Bharti Airtel

Dec-04 Maruti Suzuki Grasim Inds Hind. Unilever Asian Paints Dr Reddy's Labs Aurobindo Pharma Ashok Leyland Tata Teleservices ING Vysya Bank Punjab Tractors Dec-05 Oriental Bank CMC SAIL Moser Baer (I) Andhra Bank Vijaya Bank LIC Housing Fin. Bongaigaon Ref IFCI Ranbaxy Labs. Dec-06 Tata Steel Ranbaxy Labs. Pfizer Aventis Pharma BPCL Tata Teleservices Bongaigaon Ref MTNL Nirma TVS Motor Co. Dec-07 Container Corpn. Pfizer Aventis Pharma Glaxosmit Pharma Lupin Aurobindo Pharma Tech Mahindra Oracle Fin.Serv. Punjab Tractors Patni Computer Dec-08 IFCI JP Associates Tech Mahindra Sterlite Inds. Tata Motors Tata Steel JSW Steel Suzlon Energy HDIL Unitech Dec-09 Moser Baer (I) Reliance Infra. Rel.Nat.Resour. Suzlon Energy GMR Infra. Reliance Power Tata Teleservices Bharti Airtel Idea Cellular Rel. Comm.

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