How many stocks are required to reduce unsystematic risk significantly is an important question for investors. While there is a large body of research on the subject in the United States, there is little formal work on this question in India. We show that a 15-20 stock portfolio, the traditional...

Recent empirical evidence from different markets suggests that the security market line is flatter than posited by CAPM. This flatness implies that a portfolio long in low-beta assets and short in high-beta assets would earn positive returns. Frazzini and Pedersen (2014) conceptualize a BAB...

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...

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...

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 show that monthly rebalanced, equal-weighted, long-only winner portfolios, drawn from the top 200 stocks in India, built using systematic rules that underpin popular factors of momentum, low volatility and quality deliver alpha for the period under study. The market exposure is significant...

Factor investing in India has seen much recent interest – primarily due to strong returns seen in the momentum factor, compared to traditional choices for an investor. We present a framework to evaluate factor indices through the lens of the academic framework and show how much of the...