Notes:

1. Probability data is based on a low sample size. This reduces the predictability of future returns from historical data.

2. Stats can change with different start/end dates.

3. The winning criterion for win probability in any period is 12% annualized.

4. Avg, median, and stdev added based on daily DD to picture which index has more DD over history. DD Lake is a concept from Deepak Venkatesh. It is the sum of all daily DDs.

5. Similarly avg, the median of DD days was added to get some more information on how much time was spent under DD.

6. In 1st table, Sharpe is CAGR since inception/annualized daily stdev. CALMAR is CAGR since inception/MAXDD Avg. CALMAR is CAGR since inception/Avg DD.

7. While the DD Days data for SML250MQ100 looks outlier, I couldn't find any discrepancy in the data from NSE.

8. N200M30 - NIFTY200 MOMENTUM30, N200 - NIFTY200, MID150M50 - MIDCAP150 MOMENTUM50, MID150 - MIDCAP150, SML250MQ100 - SMALLCAP250 MOMENTUM QUALITY 100, SML250 - SMALLCAP250, MICRO250 - MICROCAP250.

9. Please do not construe this as investment advice. We are not recommending any fund over the other. No fee is being solicited for this study.

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