Multi Factor Tactical - Conservative
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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. This portfolio targets a low risk profile.
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 - Conservative | 17.85 | 6.43 | 7.48 | -0.97 | 4.48 | 8.73 | 17.03 | 13.89 | 17.74 |
| Bond | 8.49 | 3.78 | 6.30 | 1.48 | 0.09 | 3.81 | 8.04 | 6.90 | 8.65 |
| Conservative MF | 11.30 | 4.21 | 10.98 | 0.95 | 3.16 | 10.01 | 10.02 | 7.57 | 10.73 |
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 30-60%, Bond Allocation 30-60%, Gold 0-20%, International 0 - 20%