Indian Institute of Management, Ahmedabad

Fama French and Momentum Factors: Drawdown Tables and Plots

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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Equity Risk Premium (ERP)

The Equity Risk Premium (ERP) provided an annualized return of 3.86% with an annualized volatility of 22.09%. The worst drawdown was 75.00% and the duration of this drawdown was 11.00 years

Drawdowns of more than 20% for Equity Risk Premium (ERP)
Depth  Date  Duration (years)
%   From Trough To   Total To Trough Recovery
-74.6   1994-09-14 2001-09-21 2005-09-08   11.0 7.0 4.0
-68   2008-01-08 2009-03-09   NA 1.2 NA
-34   2006-05-11 2006-06-14 2007-01-15   0.7 0.1 0.6

Value Factor (HML)

The Value Factor (HML) provided an annualized return of 6.77% with an annualized volatility of 16.36%. The worst drawdown was 54.00% and the duration of this drawdown was 7.10 years

Drawdowns of more than 20% for Value Factor (HML)
Depth  Date  Duration (years)
%   From Trough To   Total To Trough Recovery
-53.6   1995-03-14 1999-05-17 2002-05-06   7.1 4.2 3.0
-45.8   2014-06-10 2019-02-11   NA 4.7 NA
-42.3   2008-01-23 2013-03-26 2014-06-09   6.4 5.2 1.2
-38.4   2005-09-19 2006-07-25 2007-09-17   2.0 0.8 1.1
-26.1   2003-12-30 2004-03-23 2004-09-06   0.7 0.2 0.5
-25.2   2003-08-19 2003-11-04 2003-12-09   0.3 0.2 0.1
-25.1   2002-07-09 2003-03-26 2003-07-02   1.0 0.7 0.3

Size Factor (SMB)

The Size Factor (SMB) provided an annualized return of -0.51% with an annualized volatility of 14.17%. The worst drawdown was 73.00% and the duration of this drawdown was 24.30 years

Drawdowns of more than 20% for Size Factor (SMB)
Depth  Date  Duration (years)
%   From Trough To   Total To Trough Recovery
-72.8   1995-01-24 2004-03-26   NA 9.2 NA

Momentum Factor (WML)

The Momentum Factor (WML) provided an annualized return of 18.24% with an annualized volatility of 16.72%. The worst drawdown was 49.00% and the duration of this drawdown was 2.40 years

Drawdowns of more than 20% for Momentum Factor (WML)
Depth  Date  Duration (years)
%   From Trough To   Total To Trough Recovery
-48.6   2009-03-13 2009-06-04 2011-08-16   2.4 0.2 2.2
-45.9   2000-03-08 2000-12-28 2001-09-21   1.5 0.8 0.7
-42.2   2001-10-04 2001-12-12 2003-10-08   2.0 0.2 1.8
-37   2013-08-05 2014-05-23 2015-08-20   2.0 0.8 1.2
-36.3   1997-12-03 1998-04-15 1999-01-27   1.1 0.4 0.8
-34.6   1999-03-17 1999-07-13 1999-12-10   0.7 0.3 0.4
-25.9   2012-01-03 2012-02-21 2012-08-29   0.7 0.1 0.5
-24.2   1996-10-24 1997-01-15 1997-04-09   0.5 0.2 0.2
-22.7   2008-12-03 2009-01-05 2009-03-05   0.3 0.1 0.2
-20.2   2008-01-15 2008-08-12 2008-11-26   0.9 0.6 0.3

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