Performance of select quality parameters:
At NJ AMC, an exhaustive examination of various quality parameters has been undertaken, revealing several robust metrics indicative of a company's financial robustness. Some of these metrics are Return on Equity (ROE), ROE Consistency, Dividend Payout Ratio, Debt-to-Equity, and Current Ratio Consistency. We would like to share an analysis of the comparative performance between high-quality and low-quality stocks as measured by these metrics. The findings demonstrate that high quality stocks have consistently outperformed their lower-quality counterparts and market indices over extended periods.
Presented below is the cumulative growth of INR 1000 from September 2006 to November 2023 for both the top 100 high-quality and bottom 100 low-quality stocks, alongside the Nifty 500 Index. The accompanying table displays the Compound Annual Growth Rate (CAGR) and annualised volatility. It is noteworthy to emphasise the superior risk-adjusted returns attained by high-quality stocks, assessed through diverse quality parameters, in contrast to low-quality stocks and the market index throughout this specified timeframe.
Sept 2006 to Nov 2023 | CAGR (%) | Annualised Volatility (%) | Maximum Drawdown (%) | Cumulative Growth of INR 1000 |
---|---|---|---|---|
ROE Top 100 |
15.26 |
15.79 |
-63.94 |
₹11,482.26 |
ROE Bottom 100 |
9.51 |
22.58 |
-76.55 |
₹4,760.20 |
Nifty 500 TRI |
12.31 |
18.42 |
-63.71 |
₹7,338.83 |
Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India
Calculations are for the period 30th September 2006 to 30th November 2023.
Past performance may or may not be sustained in future and is not indication of future return.
Data from Sept 2006 to Nov 2023 | CAGR (%) | Annualised Volatility (%) | Maximum Drawdown (%) | Cumulative Growth of INR 1000 |
---|---|---|---|---|
ROE Consistency Top 100 |
16.54 |
16.01 |
-57.9 |
₹13,857.13 |
ROE Consistency Bottom 100 |
8.08 |
22.49 |
-77.08 |
₹3,803.75 |
Nifty 500 TRI |
12.31 |
18.42 |
-63.71 |
₹7,338.83 |
Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India
Calculations are for the period 30th September 2006 to 30th November 2023.
Past performance may or may not be sustained in future and is not indication of future return.
CAGR (%) | Annualised Volatility (%) | Maximum Drawdown (%) | Cumulative Growth of INR 1000 | |
---|---|---|---|---|
Dividend Payout Top 100 |
17.03 |
15.32 |
-60.31 |
₹14,901.01 |
Dividend Payout Bottom 100 |
6.52 |
22.42 |
-78.38 |
₹2,957.77 |
Nifty 500 TRI |
12.31 |
18.42 |
-63.71 |
₹7,338.83 |
Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India
Calculations are for the period 30th September 2006 to 30th November 2023.
Past performance may or may not be sustained in future and is not indication of future return.
CAGR (%) | Annualised Volatility (%) | Maximum Drawdown (%) | Cumulative Growth of INR 1000 | |
---|---|---|---|---|
Low Debt to Equity 100 |
17.02 |
15.12 |
-60.49 |
₹14,891.04 |
High Debt to Equity 100 |
10.89 |
22.58 |
-74.1 |
₹5,910.30 |
Nifty 500 TRI |
12.31 |
18.42 |
-63.71 |
₹7,338.83 |
Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India
Calculations are for the period 30th September 2006 to 30th November 2023.
Past performance may or may not be sustained in future and is not indication of future return.
From Sep, 2006 to Oct 2023 | CAGR (%) | Annualised Volatility (%) | Maximum Drawdown (%) | Cumulative Growth of INR 1000 |
---|---|---|---|---|
Current Ratio Consistency Top 100 |
17.81 |
17.45 |
-67.76 |
₹16,708.39 |
Current Ratio Consistency Bottom 100 |
8.67 |
23.42 |
-79.63 |
₹4,165.52 |
Nifty 500 TRI |
12.31 |
18.42 |
-63.71 |
₹7,338.83 |
* Current Ratio Consistency only for Non-Financial firms
Source: Internal research, Bloomberg, CMIE, National Stock Exchange of India
Calculations are for the period 30th September 2006 to 30th November 2023.
Past performance may or may not be sustained in future and is not indication of future return.