ViniyogIndia 🦔 Armadillo Portfolio (erstwhile ViniyogIndia☔ All Weather) invests in a basket of Low Risk Stocks & ETFs. This portfolio is suitable for Conservative investors
Background:
ViniyogIndia offers model portfolios based on Quantitative Factor Investing strategy. Factors are quantitative attributes that can be used to explain asset returns.
Mathematically, if we try to model Asset Pricing behavior as a liner multivariate function, then factors represent the independent or explanatory variables of the function.
Factor strategies have been extensively researched globally as well as in India. The below chart for example, summarizes the risk-return characteristics of single-factor portfolios in India between October 2005 and June 2017. Over the period, all major single-factor portfolios outperformed the S&P LargeMidCap.
ViniyogIndia’s factor portfolios use a combination of factors that are proven to work well in the Indian markets.
Source: S&P Dow Jones Indices LLC. Data from October 2005 to June 2017. Index performance based on total return in INR. Past performance is no guarantee of future results
Stocks & Weights
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Portfolio Design Rules
ViniyogIndia ☔ All Weather Portfolio is based on a Multifactor Strategy that invests in Low Risk stocks
- Portfolio of 15-20 stocks picked from the NSE universe having lowest risk
- Further refined by using a combination of one or more secondary factors to maximize risk-adjusted returns
- Illiquidity filter to remove low volume| turnover stocks
- Balanced at least once a month to keep the turnover low
Risk Management Rules
- Proprietary asset allocation rule to control equity exposure depending on market conditions
- Limits on exposure to any single stock
- Conservative nature of the factor combination used to reduce downside risks
Asset Allocation Rules
Allocation to Equities is based on a proprietary mathematical function that uses market parameter(s) as the independent variable(s). Excess funds are allocated to Liquid & Gold ETFs.
Suitability
This portfolio is suitable for conservative investors
Historical Returns
Understand key terms & disclosures
Live returns: It depicts the actual and verifiable returns generated by the portfolios. Live performance does not include any back-tested data or claim and does not guarantee future returns
Back-tested returns: Back-testing allows a trader to simulate a trading strategy using historical data to generate results and analyze risk and profitability before risking any actual capital. This usually requires expertise of a qualified programmer to develop the idea into a testable form. Back-tested returns does not guarantee future returns
Disclosure: By proceeding, you understand that investments are subjected to market risks and agree that returns shown on the platform were not used as an advertisement or promotion to influence your investment decisions
Back-tested Returns
| Year | N500 PNL | Strategy PNL |
|---|---|---|
| 2005 | 34.56% | 52.78% |
| 2006 | 31.74% | 36.86% |
| 2007 | 65.35% | 57.17% |
| 2008 | -56.74% | -21.71% |
| 2009 | 81.86% | 80.24% |
| 2010 | 13.13% | 30.20% |
| 2011 | -27.42% | -5.00% |
| 2012 | 28.37% | 23.16% |
| 2013 | 1.64% | 8.54% |
| 2014 | 39.64% | 66.61% |
| 2015 | -0.90% | 1.60% |
| 2016 | 3.39% | 14.15% |
| 2017 | 34.75% | 29.08% |
| 2018 | -2.63% | -4.24% |
| 2019 | 8.45% | 3.03% |
| 2020 | 15.33% | 48.27% |
| 2021 | 28.23% | 70.79% |
| CAGR | 13.10% | 26.06% |
Based on the back-tested results, between 2005 – 2021, the All Weather strategy generated a compounded rate of return of 26.1% compared to Nifty500 return of 13.1%.
Further, strategy had a significantly reduced drawdown, with worst year return of 21.7% compared to 56.7% for Nifty500.
For Live Returns since inception, click on ‘See Performance’ button below.
Performance measurement & attribution analysis
To interpret the sources of return for our strategy we perform a regression analysis using Carhart 4 Factor Model. The results are shown in the table below:
| α * | MKT | SMB | HML | WML | |
|---|---|---|---|---|---|
| Factor exposure | 0.86 | 0.49 | 0.07 | 0.04 | 0.31 |
| p-value | 0.00 | ~0.0 | 0.22 | 0.41 | ~0.0 |
The monthly alpha or excess return for the strategy is 0.86%. This is generated using a combination of factors and asset allocation rules that tries enhance portfolio returns while reducing risks.
Additionally, returns from standard factors such as market beta and momentum contribute to the overall portfolio returns. Return from size and value factors are not statistically significant
Investments in securities markets are subject to market risks. Read all the related documents carefully before investing. Registration granted by SEBI, membership of BASL and certification from NISM in no way guarantee performance of the intermediary or provide any assurance of returns to investors.
Subscribe to this portfolio:
Fixed Fee:
Rs. 5499 3599/ 6 months
smallcase:
Rs. 1999/ 3 months. Offered as smallcases.
