ViniyogIndia🌷Smallcaps Portfolio offers a curated portfolio of high performing smallcap stocks. Suitable for aggressive investors only.
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🌷Smallcaps Portfolio is based on a multifactor strategy that uses Size as one of its key factors.
- Portfolio of approximately 20 stocks picked from the NSE universe.
- Multifactor strategy based on combination of fundamental and technical factors to enhance risk adjusted returns.
- Uses size as one of its primary factors.
- Illiquidity filter to remove low volume| turnover stocks.
- Rebalanced half-yearly to reduce portfolio churn.
Risk Management Rules
- Limits on exposure to any single stock or sector
Suitability
Suitable for aggressive investors ONLY.
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 | Strategy | Index |
|---|---|---|
| 2010 | 16.08% | 17.22% |
| 2011 | -3.22% | -24.62% |
| 2012 | 44.44% | 27.70% |
| 2013 | 34.20% | 6.76% |
| 2014 | 150.93% | 31.39% |
| 2015 | 58.63% | -4.06% |
| 2016 | 36.92% | 3.01% |
| 2017 | 113.33% | 28.65% |
| 2018 | -9.85% | 3.15% |
| 2019 | -8.13% | 12.02% |
| 2020 | 60.49% | 14.90% |
| 2021 | 178.21% | 24.12% |
| 2022 | 15.19% | 4.33% |
Based on the back-tested results, between 2010 – 2023, the Smallcaps strategy generated a compounded rate of return of 43.73% compared to Nifty500 return of 10.62% (excluding dividends).
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:
| ALPHA | MKT | SMB | HML | WML |
|---|---|---|---|---|
| 2.94 | 0.98 | 0.91 | 0.39 | 0.23 |
| ~0.0 | ~0.0 | ~0.0 | ~0.0 | 0.0004 |
The monthly alpha or excess return for the strategy is 2.94%. This is generated using a combination of secondary factors that tries to enhance portfolio returns while reducing risks.
Additionally, exposure to standard factors such as market beta, size, value and momentum also contribute to the overall portfolio returns.
Sector allocation
Historical sector allocation of the strategy shows adequate diversification. Analysis of historical sector allocation shows greater allocation towards sectors, such as Auto Ancillaries, Chemicals, IT Services, Textiles & Steel.
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.
Featured image: Image by storyset on FreepikCredits
Max drawdown seen in backtest?.