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Sourajit Aiyer - IFA WealthGram Magazine, Switzerland - Are Concentrated Portfolios The Way To Go In Volatile Equity Markets - Aug 2013
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Sourajit Aiyer - IFA WealthGram Magazine, Switzerland - Are Concentrated Portfolios The Way To Go In Volatile Equity Markets - Aug 2013
1.
Gram Wealth THE IFAâs LA TRIBUNE
MENSUELLE DES MEMBRES DU GSCGI wealthgram@gscgi.ch www.gscgi.ch Vol. II N° 19 - AoĂ»t 2013 Groupement Suisse des Conseils en Gestion IndĂ©pendants www.gscgi.ch U.S. Equity Market: Risk of a âCyclical Bear Phaseâ into 2014 âą
2.
weights and scrip
units are assigned as per free-float market capitalization and the resultant NAVs are calculated for back- testing. These results are compared with benchmark indices and dividend mutual funds. This exercise was originally attempted in Jan.2012 using annual financials till FY2011 for back-testing purpose only. Thereafter,it was repeated a 2nd time in Jan.2013 using annual financials till FY2012 in order to test its actual, real-time performance during the year 2012. Assumptions: (a) Financial data of the underlyings is taken on an annual basis. The underlyingsâ data will remain as such till the next fiscal yearâs financials are available. That is when underlying constituents will change and portfolio churn will happen. Hence, this basket may be termed as âSemi-Active Onlyâ and not really âActiveâ; (b) Screening of financial data is based on the previous 3 fiscal years on a rolling basis; (c) For NAV back-testing, the price and market cap data is taken on quarterly and annual basis since March 2008 onwards; (d) Month of fiscal year-ending of companies may differ, hence, companies with year-end within a particular FY period are clubbed within that FY itself; (e) All dividends paid on the scrips are assumed to have been done in March month only, hence the impact of dividends received will be seen in March quarter NAV only; (f) Weights to calculate NAVs and scrip units are based on free float market capitalization. The units of the scrips at the end of each quarter are rebalanced to calculate the new âPrice-based NAVâ for the next quarter. Price-based NAV excludes impact of dividends (explained later); (g) This assumes dividends received are distributed off and not retained to purchase further units; (h) While returns from Gross NAV signify what an investor would actually earn, the Price-based NAV is used for comparison to benchmark indices. This is because the NSE Nifty is also a price based index, hence shows the impact of price appreciation only. Stock screening: (a) Annual financial data taken till FY2012 (April 2011 to March 2012) of the universe of listed Indian scrips from Capitaline database (5749 stocks); (b) From this,only scrips with market cap of more than INR 250 crores as of March 2012 are taken (1 Crore = 10 Million). Critics might argue this market cap figure is low, however it may be justified given the market cap of some holdings of Small Cap funds like HSBC Small Cap Fund etc; (c) Next, we take those which had revenues of over INR 100 crores as of FY2012, and showed revenue growth in the last 3 rolling years of over 10% (CAGR basis), including in the immediate previous fiscal. The growth rate criteria is repeated for operating profits and PAT. However, at PAT level, we tweak this only for the immediate year wherein we take those which clocked at least a positive growth. We also drill on An experiment in the Indian context using a âConsistent Dividend Consistent Fundamentalsâ portfolio idea Concentrated vs. diversified approach has been long debated in investment exposure. While diversified portfolios helps reduce risk, concentrated portfolios helps enhance upside. The former typically helps to preserve the money first, while the latter helps to grow it. Depending on the prevailing market environment and investorsâ risk-return appetite, both approaches have their importance. Diversified portfolios are believed to work best if the prices of its underlying assets typically move in opposite directions, i.e. upside of one negates the risk of downside in another. Nevertheless, the ultimate performance of portfolios may still depend on the outlook of the underlying and prevailing market conditions, which may be ever-changing during volatile times. The intention behind this portfolio idea is to see whether the termâconsistentâcan be brought into equity portfolio approaches in volatile markets, using an investment strategy that can be easily replicated each year. Factors impacting sectors and stocks are ever changing, and impact companiesâfinancial performance and price trends despite the best of management decisions and strategies. In short, volatility reigns everywhere. So what are the aspects that can be consistent when it comes to stocks? Despite the headwinds, some management teams in Indian companies have still been able to deliver âconsistentâ growth in their financial metrics. Secondly, volatile price trends may or may not always reward shareholders by capital appreciation as investors may not always liquidate at opportune times, missing opportunities to book gains. But some stocks âconsistentlyâ pay dividends to reward shareholders. Lastly, there are stocks which have low leverage,which gives them the headroom for expansion if the company sees relevant opportunities to enhance growth. These are the various criteria used to develop on the âconsistentâ theme for this portfolio idea. The âConsistent Dividend Consistent Fundamental (CDCF)â portfolio idea is based on the premise that investing in a concentratedportfolioofconsistentdividendpayingstockswhich have achieved consistency in fundamental performance with low leverage is better in volatile times. This CDCF portfolio is an exercise done purely for academic interest without any intention of investment solicitation of the portfolioâs strategy. It screens the universe of listed Indian scrips for stocks which have delivered consistent growth over the past 3 rolling years in Revenues, EBITDA, Net Profit; maintained consistency in Profit Margins; have low leverage; and rewarded shareholders with consistent dividend payout. Post stock-screening, GramGram Wealth THE IFAâs LA TRIBUNE MENSUELLE DES MEMBRES DU GSCGI wealthgram@gscgi.ch âą www.gscgi.ch Vol. II - N° 19 - AoĂ»t 2013 PLACEMENTS & TECHNIQUES DE GESTION Are Concentrated Portfolios the way to go in volatile equity markets? Groupement Suisse des Conseils en Gestion IndĂ©pendants www.gscgi.ch 1 âą
3.
first time in
Jan.2012 as per data till FY2011,i.e.,ITC,Corporation Bank, J & K Bank, Karur Vysya Bank, VST Inds., eClerxServices, Swaraj Engines. Remaining companies that were short-listed as of Jan. 2012 (subsequently removed in Jan. 13) were Andhra Bank, Castrol, Crisil, Cummins India, Indian Bank, Jagran Prakashan, Natl. Peroxide, Polaris Finan., SBT and VST Till Tract. NAV-scrip unit, weights and back-testing: Weights are based on proportion of free float market cap with a cap of 10% per individual stock in the basket. Scrip units at the end of each current quarter are rebalanced to calculate the new price-based NAV for the next quarter using next quarterâs prices. Once the new NAV is set,the scrip units for the new quarter are rebalanced based on the new NAV,market cap and prices. NAV is based for 1 unit of the fund. For NAV back-testing, the start NAV as of Mar 2008 is assumed 100. Thereafter in each quarter, the NAV values attributable to scrips are based on the rebalanced units, as calculated above. This gives Price-based NAV. Dividend received per scrip is based on scrip units and dividend per share (DPS). Adding this to Price NAV will give us the Gross NAV. Calculations of overall NAV Returns are based on Gross NAV â as this is what the investor actually earns. the consistency in profit margins, for those which achieved 10% PAT Margin in each of the previous 3 fiscals. 10% may be on the lower side, however this may be justified given the challenging economic conditions since the last couple of years in India; (d) On dividends, we target those which saw dividend percent of over 20% and dividend yield of over 2% - consistently in each of the previous 3 rolling fiscal years. An exception was made for ITCâs case, as its dividend yield in FY2012 was marginally short at 1.98%; (e) We target those with debt:equity ratio of less than 2x, which allows them headroom for future capitalization, if required. Lastly, some qualitative screening was also done on average yearly turnover and on recent returns generated by the scrips. Based on this screening process, we finally short-listed 15 scrips. Thus, the 15 stocks short-listed when the exercise was done in Jan. 2013 as per data till FY2012 - ITC, Corporation Bank, J & K Bank, Karur Vysya Bank, VST Inds., eClerxServices, Swaraj Engines, Colgate-Palmolive, Allahabad Bank, Dena Bank,South Indian Bank,Gateway Distr.,Grindwell Norton, Hinduja Ventures and Kewal Kiran Cloth. Seven of these stocks were common to the short-listed list when this exercise was done the GramGram Wealth THE IFAâs LA TRIBUNE MENSUELLE DES MEMBRES DU GSCGI wealthgram@gscgi.ch âą www.gscgi.ch Vol. II - N° 19 - AoĂ»t 2013 PLACEMENTS & TECHNIQUES DE GESTION Are Concentrated Portfolios the way to go in volatile equity markets? Groupement Suisse des Conseils en Gestion IndĂ©pendants www.gscgi.ch 2 âą
4.
Dividend Opportunity Index
although the negative excess return was a mere -0.5%. At all other times, the extent of positive excess returns has been significant âą Delivered significant Alpha over all the benchmark indices based on annualized returns and beta from Mar 2008 to Dec. 2012 âą Achieved higher Sharpe ratio than indices, based on annualized returns and volatility from Mar 2008 to Dec. 2012 âą On a quarterly basis, delivered positive excess returns in approx. 75% of the quarters with each of the benchmark indices Comparison with Benchmark Indices shows the CDCF concentrated portfolio: âą Delivered outperformance for the entire period (annualized return) from Mar 2008 to Dec. 2012. âą Delivered outperformance at similar levels of volatility - CDCFâs annual standard deviation at ~34% for the period from Mar 2008 to Dec. 2012 is at similar levels to the standard deviation of the benchmark indices âą Delivered positive excess returns in each period - i.e., Dec. 12-Mar12, FY12, FY11, FY10 and FY09 versus benchmark indices like Nifty, Midcap, CNX 500 and CNX Dividend Opportunity. The only exception was in FY12 vs. GramGram Wealth THE IFAâs LA TRIBUNE MENSUELLE DES MEMBRES DU GSCGI wealthgram@gscgi.ch âą www.gscgi.ch Vol. II - N° 19 - AoĂ»t 2013 PLACEMENTS & TECHNIQUES DE GESTION Are Concentrated Portfolios the way to go in volatile equity markets? Groupement Suisse des Conseils en Gestion IndĂ©pendants www.gscgi.ch 3 âą
5.
returns than these
peers MFs in most individual fiscal years. The excess returns have been especially significant in the immediate previous 21 months (FY12, FY13 YTD). Comparison with Dividend Yield Mutual Funds shows the CDCF basket delivered higher Annualized Returns to most of them. Although these MFs have lower standard deviations (possibly due to lesser number of smaller-cap stocks),this is countered by much higher Sharpe ratio of CDCF. It delivered better GramGram Wealth THE IFAâs LA TRIBUNE MENSUELLE DES MEMBRES DU GSCGI wealthgram@gscgi.ch âą www.gscgi.ch Vol. II - N° 19 - AoĂ»t 2013 PLACEMENTS & TECHNIQUES DE GESTION Are Concentrated Portfolios the way to go in volatile equity markets? Groupement Suisse des Conseils en Gestion IndĂ©pendants www.gscgi.ch 4 âą Rationale behind the CDCF idea is that despite being a concentrated basket of ~15 scrips,it is still reasonably diversified intermsofsectors,marketcapandrevenuesizeoftheunderlyings. Bloomberg forward earnings estimates show that the median growth rates in revenues, profits and PAT margins are in line, and in fact higher, than the levels assumed during the stock screening process on historical data. These scrips have shown âshareholderfriendlyresultsâconsistentlyoverthepreviousrolling 3 years. Apart from consistent growth in topline and profits and consistent profit margins, the low leverage of these scrips gives headroom for capital raising in future, if required for expansion purpose. The basket gives the opportunity to benefit from dividends, instead of just price appreciation. Portfolio churn is only once a year when annual financials are updated, hence only âsemi-active/passiveâin terms of fund management. This âSemi- Active onlyâ orientation might be advantageous from the point of view of setting a competitive expense ratio/management fee for such a fund portfolio. It has delivered better annualized returns over the period at similar level of risk, and delivered positive excess returns in almost each of the individual fiscal years vs. benchmarks. In short, these stocks have consistently shown fundamental growth and dividend payouts for the past 3 years, along with healthy forward estimates, shows they have demonstrated a consistent track record in this period. Risk factors are that the screening criteria loses out on high dividend-yield companies whose recent financial performance may have taken a beating. It has over 50% exposure to the banking sector alone. The minimum market cap used for screening (INR 250 crores) is low. While this matches that of some of the small-cap funds, it may share the inherent risks of smaller market cap stocks. The criteria used for traded volumes of the underlyings scrips (to measure their liquidity in the markets) may also be low â yearly average more than INR 0.1 crore only. So while portfolio churning is being done only once a year in this case, nevertheless impact cost may need to be factored in as liquidity may be low. Despite better annualized returns each year, the volatility is quite high (though comparable to the overall Indian markets). Screening is not taking into account the Return on Equity component although recent ROEs clocked by these scrips have been impressive. Lastly, the process of updating financials on an annual basis may ignore shifts in financial performance that may be visible if done on a quarterly basis. In conclusion, this concentrated portfolio based on the CDCF idea has shown some advantages, as well as its share of risks. Every investment faces a challenge in delivering consistent out-performance, more so when the inherent market volatility makes it a struggle to beat inflation, which is touted by many
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GramGram Wealth THE IFAâs LA TRIBUNE
MENSUELLE DES MEMBRES DU GSCGI wealthgram@gscgi.ch âą www.gscgi.ch Vol. II - N° 19 - AoĂ»t 2013 PLACEMENTS & TECHNIQUES DE GESTION Are Concentrated Portfolios the way to go in volatile equity markets? Groupement Suisse des Conseils en Gestion IndĂ©pendants www.gscgi.ch 5 âą Senior Manager,Investor Relations (Corporate Planning) with a leading capital markets company in Mumbai,India Sourajit AIYER sourajitaiyer@gmail.com market gurus as investorsâ biggest enemy. Even many low-risk asset classes often fail to beat inflation consistently, as historical trends show. The premise behind this entire exercise was to highlight the âconsistentâ theme â to show that an approach based on such a theme in the current volatile world of equities can yet throw up opportunities to achieve out-performance, compared to benchmarks, other asset classes and inflation â all on a consistent basis. * * * This article has been shown only as a synopsis of the entire exercise, given the size and display constraints of the detailed excel tables. For further details on the methodology/calculations, please contact the author directly. * * * The author would like to thank Mr. Vivek Sinha for his insights on the scrip unit weights construction methodology. * * * Disclaimer: The views and ideas expressed are entirely personal and are not to be taken to may not represent those of the company. This article is meant for information purposes only, and does not construe to be any investment advice or solicitation for any financial instrument. Any action taken on the basis of the information contained herein is your responsibility alone. * * *