Quality Smart Beta
Windmill Capital
Established companies that have stood the test of time. Timeless classics
3Y CAGR
11.63%
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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 identifies high-quality businesses that can stand the test of time and fend off their competition.
- This smallcase picks only liquid stocks from the top 150 market cap stocks listed on NSE
- Fundamental criteria like return on equity, debt to equity & accrual ratios are used to build the quality score
- The strategy also looks for earnings variability over the last 5 years to identify consistent performers
- Selected stocks are weighted using a mathematical model that maximizes the return potential while simultaneously reducing volatility
This smallcase is best suited for passive investors who seek to generate market-beating returns for their long-term goals.
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
- Quality Smart Beta smallcase predominantly selects stocks that rank high on quality business metrics. Key criteria such as Return on Equity (ROE) and low leverage are used to identify top-quality stocks from the investment 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 overall risk adjusted return of the portfolio is maximised
rebalance
This smallcase has a yearly rebalance schedule. Once every year, the research team reviews this smallcase and realign the weights with the selected asset allocation strategy for the next year
About the Manager
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