This study examines the link between Shiller's Barclays Cyclically Adjusted Price-to-Earnings (CAPE) and future returns in the Indian equity market over varying time periods across several popular factor styles. The results reveal a statistically significant inverse relationship, indicating that...

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,...

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%...

Systematic Investment Plans (SIP) play a vital role in accumulating investments over long time horizons in India. We compare returns and volatilities of SIP and Lump Sum Investment (LSI) strategies for selected categories of Indian mutual funds and the S\&P BSE 100 TR Index over different...

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 an inverse relationship between elevated valuations (high CAPE) and forward excess returns over 1, 3, 5, and 10 years in India, similar to other international studies. At the end of June 2022, as measured by Shiller Barclays CAPE, valuation is at the 77th percentile of its historical...

We examine the performance of 36 smallcases between December 2019 and December 2022, comparing their performance against market-based and strategy indices, and four- and six-factor models. The results show evidence of targeted factor exposures for a few smallcases, but for most smallcases, the...

This paper explores the effects of the number of portfolio holdings and the size of the investment universe on momentum strategies in India. Using mixed linear models, we test hypotheses related to exposure to market, size, and momentum factors, the influence of universe selection on these...