Smallcap Baskets

Our Baskets are optimally positioned to Out-Perform the Benchmark Smallcap 100 Index across market cycles

Based on our back-testing we suggest to hold the Smallcap 100 Baskets for a Optimal period of 3 years. We had seen an annualized return of ~23% with annualized risk of ~21%. Also, an out-performance of ~8% is seen against the benchmark Index

*Historical Performance is not a guarantee of Future Performance. These are guideline numbers


RELATIVE PERFORMANCE

Backtested yearly out-performance of approx. 11% CAGR over the Benchmark

BACKED BY AI & DATA SCIENCE

We leverage the computing power of machines to design market beating baskets

ABSORB
VOLATILTIY

Our Baskets are designed to be less volatile than the benchmark index it tracks

PROPRIETARY RESEARCH

There Backed by our Proprietary Quantitative Research Models

Smallcap Basket Key Numbers based on Historical Back-Testing

Back-testing since Jan 2011 till Aug 2021

0

OPTIMAL HOLDING PERIOD IN MONTHS

0%

PROBABILITY OF OUT-PERFORMANCE OVER SMCALLCAP 100

0%

ANNUALIZED OUT-PERFORMANCE OVER SMALLCAP 100

0%

AVERAGE ANNUAL CAGR

0%

ANNUALIZED RISK

BASKET FOR DIFFERENT PROFILE

Themes for 3 Different Risk profile. All our themes are designed to Out-Perform the Benchmark Index with lesser than average market volatility

ALTIUS

Basket to MAXIMIZE the Return per unit Risk. This theme is suitable for clients who are looking are looking for Moderate Risk

CITIUS

Aggressive Concentrated High Risk Baskets. This theme is suitable for clients looking for returns

FORTIUS

Basket designed with Low Risk. This theme is suitable for people looking for Out-Performance with Low Risk

NIFTY Smallcap 100 Altius-Balanced smallcase by Quantace Research

Altius

Smallcap Quantitative investing basket that maximizes return per unit risk and has the potential to out-perform the benchmark Smallcap 100 Index


Citius

Smallcap Quantitative Concentrated basket with Higher risk which has potential to out-perform the benchmark Smallcap 100 Index

NIFTY Smallcap 100 Citius-Aggressive smallcase by Quantace Research

NIFTY Smallcap 100 Fortius - Conservative smallcase by Quantace Research

Fortius

Smallcap Quantitative Defensive Basket with the potential to out-perform the Smallcap 100 Index

Smallcap 100 Baskets

Our Baskets Out-Performed the Benchmark Smallcap 100 in Returns with a Lower Risk (Back-Testing since 2011)

Parameter
Smallcap 100-Benchmark
Altius
Citus
Fortius
Annualized Returns

18.0%

21.8%

31.0%

27.9%

Annualized Standard Deviation

27.6%

20.8%

20.8%

20.7%

Monthly Returns

1.39%

1.66%

2.27%

2.03%

Monthly Standard Deviation

7.97%

6.02%

6.01%

5.98%

Return/Risk

0.65

1.05

1.49

1.35

Beta


0.66

0.74

0.75

Smallcap 100 Baskets Absolute Returns Simulations

Simulations Statistics of Absolute Returns over next 36 months (Back-Testing since 2011)

Parameter
Smallcap 100
Altius
Citus
 Fortius
Average Returns

37.1%

57.2%

89.0%

79.5%

Yearly Returns CAGR 

11.1%

16.3%

23.6%

21.5%

Winning %

77.1%

86.3%

100.0%

96.1%

Average Absolute Gain

54.7%

67.6%

89.0%

82.9%

Average Absolute Loss

-22.5%

-8.7%


-4.8%

Conditional Variance (99)

-49.3%

-23.6%

+4.2%

-10.2%

Smallcap 100 Baskets Out-Performance Simulations

Simulations Statistics of Out-Performance against Smallcap 100 over next 36 months (Back-Testing since 2011)

Parameter
Altius
Citius
Fortius
Average Absolute Out-Performance

20.1%

51.9%

42.4%

Yearly Out-Performance CAGR 

6.3%

15.0%

12.5%

Winning %

91.5%

100.0%

100.0%

Average Absolute Out-Performance

22.7%

51.9%

42.4%

Average Absolute Under-Performance

-7.6%



Conditional Variance (99) Out-Performance

-17.8%

+7.1%

+10.0%

Need an Answer Now?

E-mail : support@quantace.in
Phone : +91 9619927668
Address : Office No. 06 B104, 6th Floor, Spectrum Tower, WeWork, Chincholi Bunder Rd, Rajan Pada, Mindspace, Malad West, Mumbai, Maharashtra 400064

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