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...

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...

The Fama and French (2015) five-factor model that captures the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model that only targets size and value. Our sample shows a negative value effect. As a result, the five-factor...

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%...

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...