Multi Factor Tactical - Balanced

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*Last Updated: Oct. 15, 2020

This is a dynamic portfolio that allocates to equity smart beta factor baskets along with bonds, liquid and gold ETFs.

Live Performance
Backtested Performance
Performance Metrics
Annualized Return Annualized Risk Max Drawdown Monthly Return Quarterly Return Half-Yearly Return Yearly Return YTD Return Since Inception
Multi Factor Tactical - Balanced 21.28 9.83 18.03 -0.16 10.87 19.77 24.85 21.24 34.09
Equity 10.19 14.29 38.44 1.38 9.89 28.11 3.56 -2.55 5.51
Balanced MF 10.43 13.64 34.20 -4.01 -0.49 7.21 -7.94 -13.58 -10.63

More Details

Rationale

Multi-factor strategy manage risk budget efficiently, provide balanced factor exposures and employ dynamic weighting scheme, thereby creating potential for outperformance in the future

Rebalancing Frequency

Monthly

Risk Management

Maximum single stock exposure of 10%. Constraints put to not take positions of more than 5% of stock’s liquidity

Mechanism

The strategy invests in baskets of single factor strategies along with bond and gold ETFs using mean variance optimization and risk targeting

Universe

Top 500 stocks by market capitalization on NSE

Risk Management

Equity Allocation 50-80%, Bond Allocation 20-60%, Gold 0-20%, International 0 - 20%