The Momentum strategy had a rough year and ended down 13.08% for the financial year. However, the strategy has outperformed both the Index and competitors since Inception. While we can provide many reasons for why the strategy underperformed, a couple of them are worth mentioning:

1. The strategy is rules-based and uses a 1 month frequency to rebalance – The rebalancing frequency picks up changes quickly and does not give time for stocks with big losses to recover. Instead, the algo exits such stocks and books losses. This can be construed as good by some investors and bad by others. 
2. The market had some down months – Some stocks in the index went down more and the algo had chosen those stocks as they had upward momentum. We have seen such behavior in our backtests where the market going down causes the algo to go down even more.

Since it is a rules-based strategy, we do not tweak the rules, and one future initiative that we are actively working on is to provide more strategies that can better hedge the drawdowns and losses. The all-weather strategy has been an excellent hedge, as you will see in in our detailed blog post (link below).