Quality Smallcap Quant
Windmill Capital
Quality smallcap stocks with positive momentum trends
3Y CAGR
29.94%
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Daily Change
Today's change in this smallcase is
7Y CAGR
CAGR (Compounded Annual Growth Rate) indicates the average yearly return generated by a smallcase from the date of launch. Only live data is considered to calculate the CAGR. Thus, this smallcase has given returns on an average every year since Apr 4, 2016
High Volatility
Stock prices move up and down on a daily basis, resulting in fluctuating investment value. High volatility indicates high fluctuation is expected in the investment made in this smallcase
About the smallcase
This smallcase aims to systematically outperform the smallcap index by quantitatively selecting smallcap stocks exhibiting strong quality fundamentals with positive momentum trends. Selection process takes place in three layers:
- Quality fundamentals known to be associated with healthy profits, cash flows and business stability, acts at the primary score used to screen the smallcap universe
- Momentum trends exhibited by these stocks acts as secondary filter to align the portfolio with market trend
- If sufficient stocks fail to exhibit the mentioned traits, the portfolio is tilted towards gold until the situation normalizes
The smallcase offers a much better risk-reward ratio compared to Nifty Smallcap Index and Nifty Smallcap ETFs. It is best suited for investors looking to take exposure through quality smallcap stocks for passive long-term investing
Methodology
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Methodology
universe
All publicly traded companies on the National Stock Exchange of India, ranked between 251 and 500 by market capitalization, are included in the universe
research
- At Windmill Capital, our team cultivates investment philosophies rooted in cutting-edge academic research and insightful white papers. These resources lay the groundwork for a comprehensive understanding of market dynamics, risk management, and optimal return strategies. Subsequently, our sophisticated testing mechanisms allow us to create portfolios that are both theoretically robust and empirically validated
- To further refine our models, we harness advanced mathematical, statistical, and analytical methods. These may include optimization algorithms that balance risk and return, as well as statistical analyses to uncover factor regimes and correlations. Such techniques enhance our stock selection process and portfolio weighting decisions, ensuring precision and effectiveness
- Quality Smallcap Quant smallcase predominantly selects smallcap stocks/ETFs which exhibit strong quality fundamentals and have been experiencing positive momentum trends
stockScreening
- Stocks/ETFs qualifying the above mentioned research criteria are selected for further analysis
- Proprietary liquidity filters are applied to remove ill-liquid stocks/ETFs from this list
- A special check is further applied to remove stocks, where a significant part of the promoter holdings are pledged
- Stocks/ETFs are further removed on the basis of red flags such as their presence in ASM/GSM list of the exchanges, deep negative news or sentiment etc
weighting
This final list of selected stocks making part of the portfolio is equally weighted
rebalance
This smallcase has a monthly rebalance schedule. Once every month, the research team reviews this smallcase and realign the weights with the selected asset allocation strategy for the next month
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