NJ Value 100 Portfolio

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.

The NJ Value 100 Portfolio, an equal-weighted portfolio of 100 stocks, is constructed by tilting the  float-adjusted  capitalisation-weighted  Nifty  500 TRI,  investable  universe,  towards  100 constituents with highest ranks based on a combination of value factor metrics.

The portfolio displays the following characteristics vis-a-vis the benchmark Nifty 500 TRI

  Price to Book Ratio (x) Price to Earnings Ratio (x) Price to Sales Ratio (x)
NJ Value 100 Portfolio 3.32 28.95 5.95
Nifty 500 TRI 3.30 23.21 2.38
  • Source : Internal research, Bloomberg, National Stock Exchange of India.
  • Factor parameters calculated as on 31st August 2022.
  • For Nifty 500 & NJ Value 100 Portfolio factor definitions 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 Value 100 Portfolio 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.

NJ Value Factor Graph 1

  • Source : Internal research, Bloomberg, National Stock Exchange of India
  • 10-Yr CAGRs are calculated for the period 30 September 2002 to 31st August 2022 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 Value 100 Portfolio 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.

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.

  • NJ Value Factor Graph 2
  • Source : Internal research, Bloomberg, 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 30 September 2002 to 31 August 2022.
  • Past performance may or may not be sustained in future and is not an indication of future return.
  • NJ Value 100 Portfolio 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.
  • NJ Value Factor Graph 3
  • Source : Internal research, Bloomberg, 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 30 September 2002 to 31 August 2022.
  • Past performance may or may not be sustained in future and is not an indication of future return.
  • NJ Value 100 Portfolio 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.

NJ Value Factor Graph 4

  • Source: Internal research, Bloomberg, National Stock Exchange of India
  • The Drawdown for a specific date has been calculated by dividing that day’s NAV of NJ Value 100 Portfolio 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 Value 100 Portfolio 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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