How to cite these plots and tables
The plots and tables on this page are updated versions of those published in the following paper. Please cite the source of the data as follows:
Agarwalla, S. K., Jacob, J. and Varma, J. R. (2017), Size, Value, and Momentum in Indian Equities, Vikalpa 42.4 (2017): 211-219.
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| release | Start.Month | End.Month |
|---|---|---|
| 2024-03 | October 1993 | March 2024 |
Equity Risk Premium (ERP)
The Equity Risk Premium (ERP) provided an annualized return of 5.96% with an annualized volatility of 21.75%. The worst drawdown was 77.00% and the duration of this drawdown was 11.30 years
| Drawdowns of more than 20% for Equity Risk Premium (ERP) | ||||||||
| Depth | Date | Duration (years) | ||||||
|---|---|---|---|---|---|---|---|---|
| % | From | Trough | To | Total | To Trough | Recovery | ||
| -76.5 | 1994-09-13 | 2001-09-21 | 2005-12-22 | 11.3 | 7.0 | 4.3 | ||
| -67.6 | 2008-01-08 | 2008-10-27 | 2021-03-03 | 13.1 | 0.8 | 12.3 | ||
| -34.3 | 2006-05-11 | 2006-06-14 | 2007-02-02 | 0.7 | 0.1 | 0.6 | ||
Value Factor (HML)
The Value Factor (HML) provided an annualized return of 7.42% with an annualized volatility of 15.44%. The worst drawdown was 66.00% and the duration of this drawdown was 8.70 years
| Drawdowns of more than 20% for Value Factor (HML) | ||||||||
| Depth | Date | Duration (years) | ||||||
|---|---|---|---|---|---|---|---|---|
| % | From | Trough | To | Total | To Trough | Recovery | ||
| -66.2 | 1994-12-07 | 2000-02-22 | 2003-08-11 | 8.7 | 5.2 | 3.5 | ||
| -52 | 2018-01-16 | 2020-03-30 | 2022-01-27 | 4.0 | 2.2 | 1.8 | ||
| -32.2 | 2010-11-12 | 2013-03-26 | 2014-05-21 | 3.5 | 2.4 | 1.2 | ||
| -28 | 2014-06-10 | 2015-06-12 | 2016-11-11 | 2.4 | 1.0 | 1.4 | ||
| -26.8 | 2003-08-19 | 2003-11-04 | 2004-10-27 | 1.2 | 0.2 | 1.0 | ||
| -24.5 | 2005-09-16 | 2006-03-08 | 2007-08-20 | 1.9 | 0.5 | 1.5 | ||
Size Factor (SMB)
The Size Factor (SMB) provided an annualized return of -4.31% with an annualized volatility of 13.87%. The worst drawdown was 86.00% and the duration of this drawdown was 29.20 years
| Drawdowns of more than 20% for Size Factor (SMB) | ||||||||
| Depth | Date | Duration (years) | ||||||
|---|---|---|---|---|---|---|---|---|
| % | From | Trough | To | Total | To Trough | Recovery | ||
| -86.2 | 1995-01-23 | 2013-09-20 | NA | 18.7 | NA | |||
Momentum Factor (WML)
The Momentum Factor (WML) provided an annualized return of 12.22% with an annualized volatility of 17.35%. The worst drawdown was 63.00% and the duration of this drawdown was 5.90 years
| Drawdowns of more than 20% for Momentum Factor (WML) | ||||||||
| Depth | Date | Duration (years) | ||||||
|---|---|---|---|---|---|---|---|---|
| % | From | Trough | To | Total | To Trough | Recovery | ||
| -62.6 | 2000-03-08 | 2000-12-14 | 2006-01-23 | 5.9 | 0.8 | 5.1 | ||
| -53.4 | 2008-12-01 | 2009-09-09 | 2011-12-19 | 3.0 | 0.8 | 2.3 | ||
| -40.9 | 1997-12-03 | 1998-04-16 | 1999-03-12 | 1.3 | 0.4 | 0.9 | ||
| -38.7 | 1999-03-17 | 1999-09-09 | 1999-12-29 | 0.8 | 0.5 | 0.3 | ||
| -37.6 | 1993-12-03 | 1995-07-21 | 1996-07-04 | 2.6 | 1.6 | 1.0 | ||
| -36.8 | 2013-08-05 | 2014-05-23 | 2015-07-21 | 2.0 | 0.8 | 1.2 | ||
| -29.8 | 1996-08-19 | 1997-01-16 | 1997-04-24 | 0.7 | 0.4 | 0.3 | ||
| -28.3 | 2020-03-30 | 2020-12-16 | 2021-12-16 | 1.7 | 0.7 | 1.0 | ||
| -28.1 | 2011-12-21 | 2012-02-21 | 2012-08-30 | 0.7 | 0.2 | 0.5 | ||
| -27.8 | 2007-11-16 | 2008-09-11 | 2008-11-28 | 1.0 | 0.8 | 0.2 | ||
