Categories: quant

ViniyogIndia ⚖ Multiplier Portfolio

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.

Table of Contents

Background:
Stocks & Weights
Portfolio Design Rules
Risk Management Rules
Asset Allocation Rules
Suitability
Historical Returns
1. Understand key terms & disclosures
Performance measurement & attribution analysis
Subscribe to this portfolio:
Credits

Stocks & Weights

🔐 Please log in to access this section.

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

Back-tested returns, ViniyogIndia 💎 Quality Vs Nifty500. Past performance are not a guarantee of future 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.

ViniyogIndia ⚖ Balanced smallcase by ViniyogIndia

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.