A combination of good value parameters, portfolio diversification, and a robust weighting approach can assist in capturing the value factor to a large extent.

NJ Asset Management's research shows that value characteristics are cyclical and may perform differently for different sectors. In addition, there are important differences in how value needs to be measured for financial and non-financial companies. There is also the additional challenge of avoiding value traps.

We've developed two distinct value indices: one adheres to the traditional relative value concept, while the other is an enhanced version that employs intrinsic value to categorise value stocks within the universe.

The NJ Enhanced Value model uses Earnings growth of a firm to its implied growth rate using a DCF Model. If the growth required to make the intrinsic value equal to the current price is much less than the actual historical growth, that shows that the stock is undervalued. The NJ Enhanced Value model chooses the Top 100 Value stocks from the Top 500 stocks by free-float market cap universe and constructs an equal weighting model.

The NJ Traditional Value model uses Dividend Yield and PEG ratio to select stocks using the combined value parameters. The NJ Traditional Value model chooses the Top 100 Value stocks from the Top 500 stocks by free-float market cap universe and constructs an equal weighting model.

The models display the following characteristics vis-a-vis the benchmark Nifty 500 TRI.

 

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India.

• Factor parameters calculated as on 30th November 2023.

• For Nifty 500 TRI, NJ Traditional Value Model and NJ Enhanced Value Model factor definition are the average of its constituents.

• Past performance may or may not be sustained in future and is not an indication of future return.

• NJ Traditional Value Model and NJ Enhanced Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India

• 5-Yr CAGRs are calculated for the period 30 September 2006 to 30th November 2023 and have been rolled on a daily basis.

• Past performance may or may not be sustained in future and is not indication of future return.

• NJ Traditional Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India

• 10-Yr CAGRs are calculated for the period 30 September 2006 to 30th November 2023 and have been rolled on a daily basis.

• Past performance may or may not be sustained in future and is not indication of future return.

• NJ Traditional Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

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The deep cyclicality of the value factor emerges clearly from the chart. Efforts are currently underway to determine whether a stable relationship exists between the performance of the value factor and that of the market and other factors. The elusiveness of a method to model the expected long term growth rate of a company remains, till date, the most significant weakness of the value factor.

 

 

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India

• 5-Yr CAGRs are calculated for the period 30th September 2006 to 30th November 2023 and have been rolled on a daily basis.

• Past performance may or may not be sustained in future and is not indication of future return.

• NJ Enhanced Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India

• 10-Yr CAGRs are calculated for the period 30th September 2006 to 30th November 2023 and have been rolled on a daily basis.

• Past performance may or may not be sustained in future and is not indication of future return.

• NJ Enhanced Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

                                         

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India

• CAGRs are calculated as the average CAGR based on the rolling CAGRs (rolled daily) calculated for the respective holding periods i.e. 1, 3, 5, and 10-Yr rolling CAGRs. The period for calculation is 30th September 2006 to 30th November 2023.

• Past performance may or may not be sustained in future and is not an indication of future return.

• NJ Traditional Value Model & NJ Enhanced Value Model are a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

• Source : Internal research, Bloomberg, CMIE, National Stock Exchange of India

• The Return/Standard Deviation ratios have been calculated by dividing the respective rolling returns (rolled daily) by the standard deviation of the corresponding rolling returns, calculated over the period 30th September 2006 to 30th November 2023.

• Past performance may or may not be sustained in future and is not an indication of future return.

• NJ Traditional Value Model & NJ Enhanced Value Model are a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

 

• Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India

• Calculations are for the period 30th September 2006 to 30th November 2023.

• The Drawdown for a specific date has been calculated by dividing that day’s NAV of NJ Traditional Value Model and Nifty 500 TRI by their peak NAVs up to that date, respectively.

• Past performance may or may not be sustained in future and is not an indication of future return.

• NJ Traditional Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.

 

 

• Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India

• Calculations are for the period 30th September 2006 to 30th November 2023.

• The Drawdown for a specific date has been calculated by dividing that day’s NAV of NJ Enhanced Value Model and Nifty 500 TRI by their peak NAVs up to that date, respectively.

• Past performance may or may not be sustained in future and is not an indication of future return.

• NJ Enhanced Value Model is a proprietary methodology developed by NJ Asset Management Private Limited. The methodology will keep evolving with new insight based on the ongoing research and will be updated accordingly from time to time.