Categories: quant

ViniyogIndia🌷Smallcaps Portfolio

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

Table of Contents

Background:
Stocks & Weights
Portfolio Design Rules
Risk Management Rules
Suitability
Historical Returns
Risk decomposition & attribution Analysis
Sector allocation
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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

Back-tested returns, ViniyogIndia 📈Value Vs Nifty500. Past performance no guarantee of future 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 actual returns since inception, click on ‘See Performance’ button below.

ViniyogIndia🌷Smallcaps smallcase by ViniyogIndia

Risk decomposition & 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.

Fixed Fee:
Rs. ~~5499~~ 3599/ 6 months

smallcase:
Rs. 1999/ 3 months. Offered as smallcases.