Low Risk Smart Beta
Windmill Capital
A low volatile portfolio that aims for high returns. Passive investing with a twist
3Y CAGR
15.92%
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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
While it’s generally believed that higher risk leads to higher returns, research has consistently shown that low-risk stocks often outperform their high-risk counterparts, delivering superior returns. This phenomenon, known as the “Low Risk Anomaly,” challenges the traditional risk-return tradeoff and forms the foundation of low volatility investing.
- This smallcase selects low volatility, highly liquid stocks from the top 150 market-cap companies listed on the NSE.
- Instead of using an equal-weighted or market-cap-weighted approach, it uses diversification and volatility to determine the portfolio weighting scheme, offering better returns at lower risk levels.
- It aims to provide a superior risk-reward profile compared to the Nifty Index and Nifty ETFs.
This smallcase is best suited for passive, long-term investing, focusing on low-risk blue-chip stocks that deliver better risk-adjusted returns than large-cap indices.
Methodology
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Methodology
universe
All publicly traded companies on the National Stock Exchange of India are sorted by marketcap. Only the top 150 companies on the basis of marketcap 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
- The philosophy behind smart beta portfolios revolves around selecting stocks or ETFs from a specific market segment with the goal of outperforming traditional market-cap-weighted indices representing these segments. We develop smart beta portfolios by focusing on stocks and ETFs from the top 150 market-cap companies, utilizing key factors such as quality, volatility, and more
- Low Risk Smart Beta smallcase primarily focuses on selecting low-volatility stocks from the underlying universe
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 stock’s presence in ASM/GSM list of the exchanges, deep negative news or sentiment etc
weighting
The list of selected stocks/ETFs is weighted such that the diversification of the final portfolio is maximised
rebalance
This smallcase has a quarterly rebalance schedule. Once every quarter, the research team reviews this smallcase and realign the weights with the selected asset allocation strategy for the next quarter
About the Manager
At the glance
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