We show an inverse relationship between elevated valuations (high CAPE) and forward real-returns over 1, 3, 5, and 10 years in India, similar to other international studies. There is a reasonable probability (38%) that 1-year returns are negative when CAPE is in its highest quintile. While...

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%...

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 believe investors should be willing to pay a higher price for higher quality companies. We build a composite quality score, including one which incorporates publicly available ESG scores, using 'off-the-shelf' criteria and publicly available financial data and show that a...

We believe investors should be willing to pay a higher price for higher quality companies. We build a composite quality score, including one which incorporates publicly available ESG scores, using 'off-the-shelf' criteria and publicly available financial data and show that a...

We believe investors should be willing to pay a higher price for higher quality companies. We build a composite quality score using 'off -the-shelf' criteria and publicly available financial data and show that a quarterly-rebalanced, long-only portfolio of 12 stocks selected using our score in...

With falling interest rates and bond yields, generating income for investors seeking regular cash flows has become increasingly difficult. Equity dividend strategies present a viable alternative for such investors. We believe, ceterius paribus, that a strategy based on selecting high quality...

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...