ViniyogIndia Multiplier portfolio invests in a basket of high-quality stocks. Portfolio is suitable for moderately aggressive investors.
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
Portfolio Design Rules
ViniyogIndia Quality Portfolios based on a Multifactor strategy that uses Quality as one of the Primary Factors.
- Portfolio of approx. 20 stocks picked from the NSE universe having the highest Quality rank
- Further refined by using a combination of one or more secondary factors to optimize risk-adjusted returns
- Illiquidity filter to remove low volume| turnover stocks
- Balanced at quarterly to keep transaction costs low
Risk Management Rules
- Limits on exposure to any single stock or sector
- Conservative nature of the factor-mix.
Suitability
Suitable for moderately aggressive investors.
Performance measurement & attribution
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 | 0.69 | 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 monthly @ 0.15% of assets
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.