The premium is real. So is the crash. Both belong on the same page.
Indian momentum cohort versus its parent index across long windows, alongside the three episodes where the factor handed back years of outperformance in a few weeks. Illustrative figures rounded from publicly available NSE index history.
Momentum cohort vs Nifty 200 TRI . since 2005
~20Y window . NSE indices
Metric
Momentum cohort
Nifty 200 TRI
Long-run CAGR2005 to 2025 illustrative
17.8 pct
13.6 pct
Annualised volatilityDaily returns annualised
22.4 pct
19.1 pct
Worst 12M drawdownPeak to trough on rolling 12M
-38.6 pct
-32.4 pct
Hit rate vs benchmarkRolling 5Y windows beating Nifty 200
68 pct
.
Three momentum crashes that ate years of premium in months
Mar to Apr 2009
-28 pct
Post-GFC junk rally. The losers led the bounce.
Mar to Jul 2020
-21 pct
COVID drawdown and rotation into reopening trade.
Feb to Apr 2025
-19 pct
Crowding unwind. Same names everyone owned.
Daniel and Moskowitz 2016 Journal of Financial Economics documented the momentum-crash pattern. Asness Moskowitz Pedersen 2013 showed the premium across 4 asset classes and 8 markets. Past performance . backtest only . not a guarantee. Numbers rounded.