Indian Institute of Management, Ahmedabad
This page provides answers to some Frequently Asked Questions on the Data Library. Please also read the Working Paper which describes the methodology.
The data given in the data library is proportional returns and the table (Table 4) in the paper gives the corresponding logarithmic returns (as mentioned in the table notes). The July 2014 data release can be reconciled with the Table in the paper (except for the rounding) by converting between proportional and logarithmic returns. For example, 21.4% proportional return R_{m} in 1994 (as per the library) corresponds to 19.4% logarithmic return R_{m} in the paper:
Yes, four factor model has been used to evaluate performance of mutual funds. The first paper to do this was: Mark M Carhart (1997), “On Persistence in Mutual Fund Performance”, Journal of Finance, 52(1), 57-82.
The risk-free returns are taken from the annualized yields of new issuances of 91-day Treasury Bills, provided by the Reserve Bank of India (RBI). The daily risk-free returns are calculated from the annual yields, by assuming 250 trading days in the one year forward period. The monthly and yearly values, given in the dataset, are arrived by aggregating the daily risk-free returns over the number of actual trading days in the period. The calculation of daily risk-free returns from the annual yields and its later conversion to monthly and yearly values, however, induces a downward bias in the figures of year 1993, where the actual number of trading days is lower than the assumed figure of 250.
Our annual data for the year 1993 covers only the October – December quarter. Hence, the returns only represent the quarterly figures as they are not annualized. Except for the year 1993, all the annual return figures are for the full year periods.
We would recommend the use of the daily data, which can be aggregated to any desired interval such as weekly, monthly, quarterly etc.
This happens when the CMIE updates the past data, mostly financial data related to corporate actions. For instance, on 1 March 2015, CMIE corrected the bonus ratio of one Indian company to 1:2 from 5:1, for its bonus issue in June 2005.