Tag: theme

The EQUAL-III Theme

Our recent series on asset allocation walked through how different investment decisions affect portfolio returns and risk.

  1. Number of assets: Three is better than two and four.
  2. Rebalance threshold: Allowing a single asset to drift upto 80% reduces transaction costs and taxes.
  3. Weighing scheme: Equal weight is better than portfolio optimization methods.

You can read through the posts and the various factors that went into the analysis in order:

  1. Allocating a Two-Asset Portfolio
  2. Allocating a Three-Asset Portfolio, Equal Weighted
  3. Allocating a Three-Asset Portfolio, Optimized
  4. Allocating a Four-Asset Portfolio

For investors looking to gain from such a portfolio, we have setup a ready-to-invest Theme, the EQUAL-III, that takes care of keeping track of everything. It maintains an equal-weight portfolio of the M100 (Midcap-100 ETF,) N100 (Nasdaq-100 ETF) and the RRSLGETF (Long Term Gilt ETF.)

Questions? WhatsApp us +91-80-2665-0232

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Theme: Acceleration Update 08.08.2016

held since returns (%)
MANAPPURAM
2016-Mar-02
+178.20
KAKATCEM
2016-May-09
-1.16
MAITHANALL
2016-May-09
+86.45
VEDL
2016-May-09
+61.47
SATHAISPAT
2016-May-09
+30.34
YESBANK
2016-Jun-08
+18.73
SHARDACROP
2016-Jun-08
-3.26
TATAMETALI
2016-Jun-08
+37.82
KIRIINDUS
2016-Jun-08
+55.37
HINDALCO
2016-Jun-08
+37.84
DCBBANK
2016-Jun-08
+18.99
HCIL
2016-Jun-08
+76.19
MANGLMCEM
2016-Jul-04
+2.50
MUTHOOTFIN
2016-Jul-04
+24.13
SUDARSCHEM
2016-Jul-04
+49.76
SHILPI
2016-Jul-04
+0.28
IOLCP
2016-Jul-04
-6.37
CENTRALBK
2016-Jul-04
-9.25
USHAMART
2016-Jul-04
-1.46
RANASUG
2016-Jul-04
-7.62
Since the last rebalance on 2016-Jul-04 till 2016-Aug-05, this strategy has returned +8.30%

You can find more details about the Acceleration Theme here.

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Theme: Velocity Update 08.08.2016

held since returns (%)
TRIVENI
2016-Feb-02
+26.01
BODALCHEM
2016-Apr-04
+52.26
KAKATCEM
2016-May-09
-1.15
RUSHIL
2016-May-09
+19.23
DWARKESH
2016-May-09
+46.61
GNFC
2016-May-09
+29.19
BALRAMCHIN
2016-May-09
+18.14
DALMIASUG
2016-May-09
+59.38
DHAMPURSUG
2016-May-09
+38.12
TATAMETALI
2016-Jun-08
+37.37
MAITHANALL
2016-Jun-08
+57.83
KIRIINDUS
2016-Jun-08
+55.33
TRIGYN
2016-Jun-08
-18.59
SHILPI
2016-Jun-08
+39.95
MANAPPURAM
2016-Jun-08
+51.81
ANDHRSUGAR
2016-Jul-04
-3.71
ALLSEC
2016-Jul-04
+5.34
GEECEE
2016-Jul-04
-16.58
KCPSUGIND
2016-Jul-04
-10.11
RANASUG
2016-Jul-04
-8.56
Since the last rebalance on 2016-Jul-04 till 2016-Aug-05, this strategy has returned +0.07%

You can find more details about the Velocity Theme here.

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Theme: Momentum Update 08.08.2016

held since returns (%)
COSMOFILMS
2016-Feb-02
+10.93
HIMATSEIDE
2016-Apr-04
+29.59
TRIVENI
2016-Apr-04
+16.24
MINDAIND
2016-Jun-08
+0.42
APLAPOLLO
2016-Jun-08
+1.41
NEULANDLAB
2016-Jun-08
+9.21
RUSHIL
2016-Jun-08
-8.30
GHCL
2016-Jun-08
+40.50
MANAPPURAM
2016-Jun-08
+50.13
MEGH
2016-Jun-08
+17.39
A2ZINFRA
2016-Jun-08
+47.24
LUMAXIND
2016-Jul-04
+4.67
KIRIINDUS
2016-Jul-04
-8.42
TIRUMALCHM
2016-Jul-04
+12.19
BALAMINES
2016-Jul-04
+8.28
GNFC
2016-Jul-04
-8.21
TRIGYN
2016-Jul-04
-16.24
PTL
2016-Jul-04
-1.10
BODALCHEM
2016-Jul-04
-0.67
PRICOL
2016-Jul-04
+38.99
Since the last rebalance on 2016-Jul-04 till 2016-Aug-05, this strategy has returned +1.73%

You can find more details about the Momentum Theme here.

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Investing in Micro-caps

The Size Factor

All things being equal, micro-caps outperform mega-caps in the long-run — investors are compensated for the higher systematic (business cycle) risk that they take when they invest in micro-cap stocks. One way to boost relative performance vs. a market-cap weighted index is to invest in an equal-weighted basket of stocks that are in the index. Alternately, investors can add a basket of micro-cap stocks to their portfolio to juice overall returns.

Market-cap Deciles

We had discussed how we can divide the universe of listed stocks in deciles based on their free-float market cap here. Given our ability to automate systematic investment strategies, we created an auto-rebalanced Theme each for every decile.

Investors can now gain exposure to an equal-weight portfolio of micro caps by investing in the Decile 9 Theme and mega-caps by investing in the Decile 0 Theme. Returns and risk go down as you climb up the market-cap ladder. Our Market Dashboard gives an idea of how returns have been distributed across the deciles:

decile returns

Notice how the drawdowns are deeper with micro-caps:
decile drawdown

Investors who whethered the steeper drawdowns of micro-caps have experienced returns an order of magnitude larger than mega-cap investors. Check out the ‘Size Factor’ in our Investment Themes page for other Market-cap based Themes.

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