ViniyogIndia ⚖ Multiplier portfolio invests in high quality businesses at a reasonable price. This portfolio is suitable for moderately aggressive investors.
Note. The ViniyogIndia ⚖ Multiplier was originally referred to as the ViniyogIndia ⚖ Balanced portfolio. Both the portfolios are identical.
Background:
ViniyogIndia offers model portfolios based on Quantitative Factor Investing. Factors are quantitative attributes used to explain asset returns.
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. However, only Low Volatility, Quality & Momentum delivered better risk-adjusted returns (returns per unit of risk) than S&P BSE LargeMidCap.
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
ViniyogIndia’s factor portfolios use a combination of factors that are proven to work well in the Indian markets.
Stocks & Weights
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Portfolio Design Rules
ViniyogIndia ⚖ Multiplier Portfolio is based on a Multifactor Strategy that uses Quality as one of the Primary Factors
- Portfolio of 15-20 stocks picked from the NSE universe having the highest Quality rank
- Quality is usually measured as RoE over the past year or using an alternative proprietary measure
- 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
Risk exposure to the overall portfolio is reduced by:
- Proprietary asset allocation rule to control equity exposure depending on market conditions
- Limits on exposure to any single stock
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 moderately aggressive 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 | Strategy |
|---|---|---|
| 2010 | 14.25% | -6.23% |
| 2011 | -16.46% | 0.09% |
| 2012 | 33.30% | 18.20% |
| 2013 | 3.89% | 12.60% |
| 2014 | 39.12% | 106.31% |
| 2015 | 0.04% | 7.68% |
| 2016 | 4.68% | -13.67% |
| 2017 | 37.27% | 42.46% |
| 2018 | -1.55% | -1.04% |
| 2019 | 8.64% | 2.74% |
| 2020 | 17.61% | 72.27% |
| 2021 | 31.70% | 146.10% |
| CAGR | 12.1% | 24.83% |
Based on the back-tested results, between 2010 – 2021, the 💎 Multiplier strategy generated a compounded rate of return of 25.9% compared to Nifty500 return of 12.1%.
For Live Returns since inception, click on ‘See Performance’ button below.
Performance measurement & attribution analysis
To estimate alpha and 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 | 0.69 | 0.35 | 0.20 | 0.11 | 0.21 |
| p-value | 0.01 | ~0.0 | 0.01 | 0.07 | ~0.0 |
The monthly alpha or excess return for the strategy is 0.69%. 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, size and momentum contribute to the overall portfolio returns. Return from the value factor is not statistically significant.
Subscribe to this portfolio:
Fixed Fee:
Rs. 5499 3999/ 6 months
Asset Based:
1.8% yearly. Offered as smallcases
