Using a six-factor model, we compute factor exposures using a sample of 98 equity schemes in India between September 2006 and February 2022. We show that SEBI’s rationalisation of the industry did change the fund return characteristics. Funds better reflect the size exposure inherent in...

We ask whether a portfolio of large-cap mutual funds in India generates any diversification benefits as compared to holding a single large-cap index tracking exchange-traded fund. Using a mix of traditional measures like correlation and covariance of excess returns, and measures like tracking...

This paper examines the relative performance of actively managed equity mutual funds against liquid, low-cost index-tracking exchange-traded-funds in India and investigates the merit of investing in index trackers. This is an important discussion as a majority of flows to equity schemes in the...

We report on nominal and inflation-adjusted returns of 5 asset classes (equities, fixed deposits, gold, currency, bonds, and housing) using a dataset of India Rupee returns curated from various sources starting from 1992. Historical average long-terms real-returns range from 1.0% pa (range: 0.6...

We show that a monthly-rebalanced, long-only portfolio of top-decile stocks selected from the NIFTY100 using `off-the-shelf' momentum criteria significantly outperforms the NIFTY100 Index - both in terms of absolute returns (by 10.70% pa) and risk adjusted returns, with a mean turnover of 32.10%...

In India, households are increasingly investing in financial assets, making the need for long-term data sets increasingly critical. We update the 2021 work by Raju (2021) and, using data until August 2022, analyse almost three decades worth of nominal and inflation adjusted returns of equities,...

Asness (2017) wrote a short piece in 2017 titled Please Stop Talking About the VIX So Much. He was cautioning about reading too much in the VIX. Figure 1 shows VIX (CBO, 2019) since 1990. In 2020, VIX has scaled new peaks and remains elevated over its long term average. When Asness wrote his...

We compute the Fama-French three- and five-factor and momentum factor returns for Indian equities between October 2006 and February 2022 using data from Refinitiv Datastream following two breakpoint schemes. We show a high correlation between our factor return estimates and those reported in the...