Value and Momentum - Asset Allocation Version

All publicly traded companies on the National Stock Exchange of India, covering 90% market capitalization, are included in the universe

<ul><li>At Windmill Capital, our team cultivates investment philosophies rooted in cutting-edge academic research and insightful white papers. These resources lay the groundwork for a comprehensive understanding of market dynamics, risk management, and optimal return strategies. Subsequently, our sophisticated testing mechanisms allow us to create portfolios that are both theoretically robust and empirically validated.</li><li>To further refine our models, we harness advanced mathematical, statistical, and analytical methods. These may include optimization algorithms that balance risk and return, as well as statistical analyses to uncover factor regimes and correlations. Such techniques enhance our stock selection process and portfolio weighting decisions, ensuring precision and effectiveness.</li><li>This asset allocation version of the "Value &amp; Momentum" smallcase selects undervalued stocks with positive price momentum and strong recent earnings, while incorporating gold and cash to reduce risk and deliver smoother, risk-adjusted returns during market downturns.</li><li>The switch between pure equity and alternative assets is based on our proprietary technical model, which assesses momentum across Nifty Largecap, Midcap, and Smallcap indices. If weighted average price strength is weak or fading, the model moves to gold and debt; if strong, it switches to the pure equity version of the smallcase.</li></ul>

<ul><li>Stocks/ETFs qualifying the above mentioned research criteria are selected for further analysis</li><li>Proprietary liquidity filters are applied to remove ill-liquid stocks/ETFs from this list&nbsp;</li><li>A special check is further applied to remove stocks, where a significant part of the promoter holdings are pledged</li><li>Stocks/ETFs are further removed on the basis of red flags such as their presence in ASM/GSM list of the exchanges, deep negative news or sentiment etc.</li></ul>

This final list of selected stocks making part of the portfolio is equally weighted

This smallcase has a weekly rebalance schedule. Once every week, the research team reviews this smallcase and realign the weights with the selected asset allocation strategy for the next week

Value & Momentum - Asset Allocation Model

Positive momentum stocks available at a discount along with diversification benefits of gold & debt

Value & Momentum - Asset Allocation Model

Overview

Stocks & Weights

At a Glance

Holdings Distribution