Value triumphs momentum in FY24 from the quant lens
Despite the chaos, the Nifty 500 managed to pull off an impressive return of around 40.5%, which is pretty outstanding. The performance was even better for mid and smallcap indices. However, as a quant-powered stockbroker equipped with an intelligence layer of factor-based analysis, we wanted to delve deeper into the financial year gone by from a quantitative lens. Here's what we found.
Value made a comeback!
Note: Risk-adjusted returns are factual, shown for information purposes only, and not as an advertisement/promotion or as an assurance of future returns. Past performance does not guarantee future returns.
In our factor universe, if we put our proprietary Momentum, Value, Quality, and Low Vol portfolios head to head against NIfty 500 TRI, they all outperformed the latter significantly, except Low Vol. If we look at risk-adjusted returns, our Low Vol portfolio too, did not disappoint. While one year's performance in isolation isn't necessarily indicative of the soundness of the signals we employ in our research, it validates our ongoing thesis.
A refreshing observation was the comeback made by the Value factor in FY24. In recent years, particularly since Covid, Momentum has consistently led market returns, while Value struggled to catch up. Finally, FY24 marked the year when the tables turned, and Value outperformed Momentum.
This wasn't too surprising, especially considering the stellar performance of PSU stocks during this period. The rally in Nifty PSU made it one of the top-performing indices of the
