Indian Institute of Management, Ahmedabad

Fama French and Momentum Factors: Data Library for Indian Market

(We thank the Centre for Monitoring Indian Economy (CMIE) for implementing our methodology and providing the data files in this data library)

We have been trying to sort out certain issues relating to updation of this data in consultation with CMIE. However, because of the disruption caused by Covid-19, we are not able to provide an accurate estimate of when we would be able to resume the updates.

Scope and Methodology

This data library provides regularly updated Fama-French and momentum factor returns for the Indian equity market using data from CMIE Prowess. We differ from the previous studies in several significant ways.

  1. We cover a greater number of firms relative to the existing studies.
  2. We exclude illiquid firms to ensure that the portfolios are investable.
  3. We have classified firms into small and big using more appropriate cut-off considering the distribution of firm size.
  4. As there are several instances of vanishing of public companies in India, we have computed the returns with a correction for survival bias.

The methodology is described in more detail in our Working Paper: Sobhesh K. Agarwalla, Joshy Jacob & Jayanth R. Varma (2013) “Four factor model in Indian equities market”, W.P. No. 2013-09-05, Indian Institute of Management, Ahmedabad.

All return values are expressed as holding period return (HPR). The monthly and yearly return values of the factors are compounded values of daily returns. The returns and the break-points are recalculated from the beginning of the period each time we update the results. The values may undergo a change if CMIE revises its database retrospectively. We recommend using the Survivorship-Bias adjusted values if the analysis includes the period between 1995-2000.

Some further clarifications are provided in the Frequently Asked Questions

Time Period Covered

Start Month End Month
October 1993 December 2019

Factor Returns

Factors Last month Last 3 months Year to date Since 01-Jan-1994
Market premium % -0.2 3.9 0.1 3.7
SMB % -1.0 -7.6 -19.5 -1.0
HML % -4.2 -7.9 -29.1 5.5
WML % 5.1 -8.3 51.0 19.3
Note: Return since 01-Jan-1994 is annualized geometric mean.

Factor plots

Factor Return Plots

Drawdown Tables and Plots

Indian Markets Return Data: Downloadable Data Files

Fama French and Momentum Factors

Six Portfolios formed on Size and Value

Four Portfolios formed on Size and Momentum

Portfolio Breakpoints

How to cite the data

Please cite the source of the data as follows:

Agarwalla, S. K., Jacob, J. and Varma, J. R. (2013), Four factor model in Indian equities market, Working Paper W.P. No. 2013-09-05, Indian Institute of Management, Ahmedabad. URL: http://www.iimahd.ernet.in/~iffm/Indian-Fama-French-Momentum/four-factors-India-90s-onwards-IIM-WP-Version.pdf

Download BibTex citation

Superseded Releases

An archive of superseded releases is provided mainly to allow researchers to replicate studies carried out using an older release.

Home