Last Updated on: 18 May 2020

Fallen Angels Index Value

Handpicked quality stocks, fallen
91.14
massively in current scenario but will
recoup once market recovers
CAGR

Moderate Risk -2.26%

smallcase rationale
As the name suggests, this basket comprises stocks that have posted massive
cracks in the current market downswing. We believe these losses are likely to be
recouped soon and that it is these very stocks that will bounce most sharply,
once the market recovers.

This is de initely a riskier basket to buy and is likely to provide a volatile

ride. 

It is hence recommended only if you can take the commensurate risks.

Once the markets starts recovering, these stocks will recover sharply

Click here to check research report.

Created by SEBI Reg. Number Subscription Type

HDFC Securities INH000002475 Free

Invest in this smallcase here

Methodology

De ining the universe

All publicly traded companies on the National Stock Exchange
of India, covering 90% market capitalization, are included in
the universe.This is done by including quality mid cap stocks,
value stocks and increasing exposure into quality stocks of
sectors with strong momentum in the portfolio.

Research
The team does in-depth research to decide the criteria to be
used for constituent screening

Historical back-testing
smallcases are checked for historical outperformance to ensure
that only consistently outperforming strategies are selected

Constituent Screening
Macro call on sector where to be overweight and underweight
is taken on basis of our teams understanding of economic
fundamentals and emerging signals in the markets.

Stock iltration process is undertaken wherein the best stock is

selected within the basket of identi ied stocks through
fundamental analysis. Under fundamental analysis qualitative
and quantitative analysis is undertaken.

Stock identi ication in speci ic sector is based on following

parameters like Company Interaction (IPO Meet, Analyst Meets,
and Conference Calls) and Sell side Analyst Interaction.

The idea is to look at a company with lower leverage and strong

operating cash lows.

Weighting
Following parameters are considered while assigning weights
to stocks in these smallcases

Market capitalization

Management quality and vision

Theme exposure, revenues and earnings visibility

Rebalance
Once the stock is included in the model portfolio it is
periodically reviewed.

Ratios

Ratio smallcase Equity Large Cap

PE Ratio 9.98 16.35

PB Ratio 1.81 2.49

Sharpe Ratio 0.57 1.14

Dividend Yield (%) 3.12 1.74

Important Fields

Inception Date Launch Date Marketcap Category

April 1, 2016 April 1, 2020 Equity Large Cap

Review Frequency Last Reviewed Next Review On

Quarterly — August 31, 2020

Market Cap Distribution

Large Cap Mid Cap Small Cap

90.30% 9.70% 0.00%

Past Performance Comparison with Equity Large Cap

Fallen Angels with Equity Large Cap

Launch

110

100

90

80

70

2018 2019 2020

Backtested Live

Returns over various periods

6M Returns 1Y Returns 3Y Returns 5Y Returns

smallcase smallcase smallcase smallcase

-30.56% -35.76% -34.48% -8.85%

Equity Lar… Equity Lar… Equity Lar… Equity Lar…

-23.07% -21.7% -6.58% 10.52%

De initions and Disclosures

Index Value

Index value for all smallcases start from 100 since their inception date and
helps investors easily calculate the returns generated since inception or
between two speci ic dates. For example, if the current index value of the
smallcase is 150, it means it has generated 50% since its inception. If the
index value of a smallcase was 215 last month and the current index value
if 245, it means it has generated (245/215)-1 = 13.9% return in last one month

CAGR

CAGR (compounded annual growth rate) is a useful measure of growth or

performance of a portfolio. It represents the growth/return rate that gets
you to the current value of the investment, starting from the initial
investment value and assuming that investment has been compounding at
the ixed growth/return rate for the period.

In simple words, it indicates the annual return generated by the smallcase

from the date of inception

Risk Label

Change in value of your investment, due to changing prices of stocks on a

daily basis is called the Risk. If the daily change in the investment value of
portfolio is too drastic, it means prices of stocks in the portfolio are
changing very rapidly. Such portfolios have High Risk.

Every smallcase is categorized into one of the three risk buckets - High
Risk, Moderate Risk and Low Risk. This is done by comparing the volatility
of the smallcase with market volatility since inception. Investing in High
Risk smallcases means that change in your investment values can be very
sudden and drastic.

Segment

Stocks/ETFs belonging to a smallcase are categorized under different

segments. Weightage of a segment is calculated as sum of weights of all
stocks belonging to that segment. Suppose 4 stocks, with each having a
weight of 10%, belong to the Food Products segment. Then the weight of
the Food Product segment in the smallcase will be 40% (4*10)

Review

Rebalancing is the process of periodically reviewing and updating the

constituents of a smallcase. This is done to ensure that stocks & weights in
the smallcase continue to re lect the underlying theme or strategy

Market Cap Categorization of Stocks

All the stocks listed on NSE(National Stock Exchange) are arranged in

decreasing order of Market Cap, so that the stock with the largest market
cap gets 1st Rank. Stocks ranked equal to or below 100 are categorized as
Large Cap. Stocks ranked below or equal to 250, but ranked above 100 are
categorized as Mid Cap stocks. Stocks ranked above 250 are categorized
as smallcap

Market Cap Categorization of smallcases

If the sum of weights of constituent large cap stocks is greater than

50%, then smallcase is categorized as Largecap

If the sum of weights of constituent mid cap stocks is greater than

50%, then smallcase is categorized as Midcap

If the sum of weights of constituent small cap stocks is greater than

50%, then smallcase is categorized as Smallcap

If the sum of weights of constituent large cap stocks is greater than

30%, sum of weights of mid cap stocks are greater than 30%, and sum
of weights of large cap and mid cap stocks are greater than 80%, then
smallcase is categorized as Large & Midcap

If the sum of weights of constituent small cap stocks is greater than

30%, sum of weights of mid cap stocks are greater than 30%, and sum
of weights of small cap and mid cap stocks are greater than 80%, then
smallcase is categorized as Mid & Smallcap

If none of the above conditions are met, then smallcase is categorized

as Multicap

Marketcap category of a smallcase might be different from the above

mentioned, if the creator/manager of the smallcase speci ically
de ines a particular category

Disclosure

smallcases are only created by SEBI registered Research Analysts,

Investment Advisers and Portfolio Managers. Details like Name and SEBI
registration number of the creator of this smallcase can be found on the
irst page of the factsheet.

Smallcases represent a collection of stocks/ETFs picked by the smallcase

creator to represent a particular theme, idea or strategy and is not a
recommendation or advice. Thus, smallcases should not be construed as
an investment advice and investors should exercise due diligence and
consult their Investment Advisor before investing. Stocks and ETF investing
is subjected to market risk.

Please visit www.smallcase.com for detailed disclosures, terms and conditions.

Stock and ETF investments are subject to market risks, read all related documents
carefully. Investors should consult their inancial advisors if in doubt about whether the
product is suitable for them.