  Our study focuses on determining the presence of abnormal returns for
physical momentum portfolios in the context of the Indian market. The physical
momentum portfolios, comprising stocks from the NSE 500, are constructed for
the daily, weekly, monthly, and yearly timescales. In the aforementioned
timescales, we empirically evaluate the historical returns and varied risk
profiles of these portfolios for the years 2014-2021. It has been observed that
the best-performing physical momentum portfolios from each of the four
timescales achieved higher returns and better risk measures when compared to
the benchmark NIFTY 50 portfolio. We further find that the high-frequency daily
time scale exhibits the strongest reversal in the physical momentum effect,
wherein the portfolio yielded a 16-fold profit over the initial investment.
