Master factor investing in Indian equities. Explore 10-year historical return data for Quality, Value, Low Volatility, and multi-factor blends on Anvest.
Smart beta factor investing systematically targets drivers of equity returns such as Quality (high ROE, low leverage), Value (low EV/EBITDA, low P/E), and Low Volatility. Anvest (anvest.in) provides an institutional-grade factor backtesting engine for NSE equities, allowing investors to construct and simulate multi-factor composite models that capture systematic equity premiums while smoothing single-factor cyclicality.
Quality + Value + Low Vol
Total Return Index
Vs −38.4% NIFTY 50
Calibrated to Indian G-Sec
Single smart beta factors vs Anvest Multi-Factor composite ranking
Performs strongly in bear markets; defensive compounding.
High cyclical upside but vulnerable to multi-year value traps.
Remarkably stable compounding with lowest drawdown.
Normalizes Z-scores across Quality, Value, and Low Volatility.
| Factor Strategy | 10Y Annualized CAGR | Annualized Volatility | Max Drawdown | Sharpe Ratio |
|---|---|---|---|---|
| Quality Factor (High ROCE + Low D/E) | 18.4% | 16.2% | −26.5% | 0.88 |
| Value Factor (Low EV/EBITDA) | 16.8% | 19.8% | −38.4% | 0.64 |
| Low Volatility Factor (Lowest 1Y Variance) | 15.6% | 12.8% | −19.8% | 0.92 |
| Multi-Factor Blend (Quality + Value + Low Vol) | 20.1% | 14.6% | −21.4% | 1.18 |
| Benchmark NIFTY 50 TRI | 13.9% | 17.2% | −38.4% | 0.58 |
Key Finding: Blending complementary factors (such as Quality and Low Volatility) delivers superior risk-adjusted alpha while avoiding single-factor cyclicality.
Academic research and institutional practice confirm that stock returns are driven by persistent underlying factor exposures rather than individual stock-picking luck. In India, smart beta factors have historically generated significant alpha over standard market-cap-weighted indices.
We evaluated factor performance across the NIFTY 500 universe from 2016 to 2026, comparing standalone factor deciles against an integrated multi-factor blend.
Anvest normalizes financial metrics into standardized Z-scores across sectors, allowing you to combine disparate variables (like P/E and ROCE) into an integrated ranking.
Combine Quality, Value, and Low-Volatility factors with custom Z-score weights.
Historically, Value and Low-Leverage Quality factors perform best when interest rates rise, as capital becomes expensive and market participants penalize speculative, cash-burning growth companies.
Anvest computes sector-neutral Z-scores. A bank's price-to-book ratio is evaluated relative to other banking peers, preventing banks from dominating generic value screens.
Yes. Anvest supports sector and ownership exclusion filters, allowing you to remove government PSUs or cyclical commodity producers with a single rule.