The underlying theme driving the relative allocation will be quant Money Managers
Limited (qMML) research‟s 'quantamental' investment strategies. qMML believes that
a quantitative approach to money management would yield optimal results when combined
with the value of human judgement as rules or factors can behave differently when
the entire market environment changes, such as our predictive analytics tools suggest.
Thus, the quantamental approach seeks to find the harmony between objectivity and
subjectivity.
In order to provide the best possible returns and capital preservation, the quantamental
approach goes beyond purely factor-based, smart beta or algorithmic strategies.
We believe a rules-based mechanical approach needs to be combined with the value
of years of human judgement and experience to yield 'adaptive alpha' - the outperformance
generated by an ability to adapt investment rules/factors to novel market phases.
Thus, we augment traditional quantitative and qualitative methods alongwith „sentiments
data‟ - a deep knowledge of market structure dynamics, micro level stock selection
and inflexion point identification between bouts of greed and fear through analysis
of the larger, ever-changing macro environment.
Quantamental combines the innate human ability to adapt, adding to the alpha generated
by discipline and identification of underlying factors - adaptive alpha, providing
the edge needed to manage volatility and utilize periodic market imbalances to the
portfolio's advantage.
qMML may, from time to time, review and modify the Scheme‟s investment strategy
if such changes are considered to be in the best interests of the unitholders and
if market conditions warrant it. No assurance can be given that the fund manager
will be able to identify or execute such strategies.
The fund will invest in stocks from a universe of NIFTY 500 TRI selected on the
basis of a quantamental models. Quantitative methods will be used for (i) screening
mechanism to choose best picks and make the stock selection universe smaller, (ii)
Deciding on the portfolio weightage for better return as the investment will focus
on company‟s size and liquidity.
The qualitative model which will be used for stock selection will be based on two
broad parameters viz., Stock Price movement & Financial/ valuation aspects. The
model will use aspects like:
Stock Price related parameters – This would include stock specific aspects
like relative strength, liquidity and volatility, Historic Performance (based on
quarterly and annual relative and absolute price movement).
Financial/ Valuation parameters – This would include aspects based on a company‟s
Balance sheet, cash flow statement & profit & loss account. The parameters are Sales
growth (Historical), Earning before Interest and tax (EBIT) & Free Cash flows. (Historical),
Dividend yield, Price to book ratio (PB), Return ratios, etc.
The portfolio is reviewed on dynamic basis and changes are made based on the data
generated by the model and on the discretion of the fund manager. The change in
the portfolio involves both sale and purchase, both partial and complete, of the
existing stocks and purchase of new stocks, if any.
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