Indian Institute of Management, Ahmedabad
This page has the new releases of the data library. For legacy releases (ending in 2019) of data files provided by the Centre for Monitoring Indian Economy (CMIE) implementing our methodology, see the Legacy Page.
Compared to the legacy releases, we have made the following changes in our data sources:
We also took advantage of the break in the series to make some improvements and refinements in the methodology.
The data in the new series does not therefore exactly match the data in the Legacy Releases and in our Working Paper, but the correlations between the two series are very high and the discrepancies are attributable to the more comprehensive data sources and the improvements in the methodology as explained above.
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.
The original methodology was 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. Of course, the Working Paper does not include the methodological refinements discussed above.
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
|2023-03||October 1993||March 2023|
|Last month||Last 3 months||Year to date||Since 01-Jan-1994|
|Market premium %||2.744155||-33.77817||-33.77817||4.143206|
All returns are annualized geometric mean returns.
Fama French and Momentum Factors:
Six Portfolios formed on Size and Value:
Four Portfolios formed on Size and Momentum:
Size and Value Break Points for 6 Size-Value Portfolios:
Size and Momentum Break Points for 4 Size-Momentum Portfolios:
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: https://faculty.iima.ac.in/~iffm/Indian-Fama-French-Momentum/four-factors-India-90s-onwards-IIM-WP-Version.pdf
Download BibTex citation