One of the main concerns of focusing on lower volatility stocks is that they can generate lower returns than the market. Due to its unique structural aspects, historical data has shown that this has not held true in the Indian context. After studying daily, weekly, and monthly volatility over various time periods and holding periods, we follow a measure that provides the optimal mix of consistency and churn.

 

 

The NJ Low Volatility+ model uses the past 36 months price history to calculate the volatility of a stock. The NJ Low Volatility+ model chooses the Top 100 stocks with the lowest volatility from the Top 500 stocks by free-float market cap universe and constructs an equal weighting model. The model displays the following characteristics vis-a-vis the benchmark Nifty 500 TRI.

 

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

• Factor parameters calculated as on 30th November 2023.

• For Nifty 500 TRI & NJ Low Volatility+ Model factor definitions are the average of its constituents.

• Volatility is calculated using daily returns annualised

• Beta is calculated as the covariances of the security with the market divided by the variance of the market.

• Semi deviation is defined as downside standard deviation annualised

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

• NJ Low Volatility+ 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

• 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 an indication of future return.

• NJ Low Volatility+ 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

• 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 an indication of future return.

• NJ Low Volatility+ 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.

 

 

The low volatility factor lives up to its promise of generating additional returns compared to the index with lower deviation and greater consistency.

 

 

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

• 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 Low Volatility+ 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

• 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 Low Volatility+ 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

• Data analysed from 30th September 2006 to 30th November 2023.

• The Drawdown for a specific date has been calculated by dividing that day’s NAV of NJ Low Volatility+ 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 Low Volatility+ 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.