Nifty 200 Momentum 30 and Nifty Alpha 50 indices have given the most effective returns. Low Volatility and High quality indices are the least unstable and publish the most effective risk-adjusted metrics.
I’ve in contrast the efficiency of issue indices in earlier posts, however I’ve by no means in contrast all of them in a single publish. Together with distinguished cap-based indices. On this publish, I examine the next:
- 4 Market cap-based indices: Nifty 50, Nifty Subsequent 50, Nifty Midcap 150, Nifty Smallcap 250
- Alpha: Nifty Alpha 50
- Worth: Nifty 50 Worth 20 (NV20), Nifty 500 Worth 50
- High quality: Nifty 200 High quality 30, Nifty Midcap 150 High quality 50
- Low Volatility: Nifty 100 Low Volatility 30
- Momentum: Nifty 200 Momentum 30
- Multi-factor index: Nifty Alpha Low Volatility 30
12 indices in complete. 4 cap-based and eight issue indices. I’ve written about most of the following indices earlier than too.
- Nifty 50 TRI
- Nifty Subsequent 50 TRI (Assessment 1) (Assessment 2)
- Nifty Midcap 150
- Nifty Smallcap 250
- Nifty 200 Momentum 30 (Assessment 1) (Assessment 2)
- Nifty 200 High quality 30 (Assessment)
- Nifty Alpha 50 (Assessment)
- Nifty 100 Low Volatility 30 (Assessment 1) (Assessment 2)
- Nifty Alpha Low Volatility 30 (Assessment 1) (Assessment 2)
- Nifty 50 Worth 20 Index (NV20) (Assessment)
- Nifty 500 Worth 50
- Nifty Midcap 150 High quality 50 (Assessment 1) (Assessment 2)
I exploit the information from April 1, 2005, till March 31, 2022. For Nifty Alpha Low Vol 30 index, the Whole returns index (TRI) information was not simply downloadable from NiftyIndices web site. Therefore, I’ve used worth returns information for the index. Have used TRI for different indices.
Nifty Issue Indices (Nifty Technique Indices): Calendar 12 months Efficiency
Allow us to begin with calendar yr returns.
Nifty Issue Indices (Nifty Technique Indices): 5-year Efficiency
Nifty Issue Indices (Nifty Technique Indices): CAGR, Rolling Returns, Sharpe Ratios
April 1, 2005 – March 31, 2022
The information for Nifty 50 Worth 20 index is simply from January 1, 2009. For different indices, the information is from April 1, 2005. Within the earlier chart, the efficiency metrics (CAGR, Sharpe ratios, drawdowns) are favourably affected (since market meltdown because of international monetary disaster isn’t thought of for NV20). Not honest to different indices. Within the chart under, I recalculate the efficiency metrics from January 1, 2009-March 31, 2022.
January 1, 2009 – March 31, 2022
How do you utilize this data?
No funding technique, irrespective of how good, works on a regular basis. No funding technique, irrespective of how unhealthy, fails on a regular basis.
Every technique goes via ups and downs and can take a look at your persistence. When you decide an funding technique (issue index) merely based mostly on previous efficiency (and with out conviction), chances are you’ll soar the ship on the mistaken time.
About the right way to use this data in your portfolio, I’ve written two posts not too long ago.
Easy methods to construct a long-term portfolio? If you wish to spend money on issue indices, these could possibly be a part of your satellite tv for pc fairness portfolio.
One other publish (Easy methods to assemble “the Finest portfolio” utilizing index funds and ETFs?) discusses the right way to optimize your portfolio for varied efficiency metrics (excessive CAGR, low commonplace deviation, excessive Sharpe ratios, low drawdowns). Deal with the metric that appeals to you probably the most. Use the indices/ETFs that rank the most effective on these metrics.
Just a few caveats
- The efficiency of many issue indices seems tremendous spectacular. Nonetheless, previous efficiency doesn’t assure future efficiency.
- Whereas I’ve thought of the information from April 1, 2005, many of those issue indices had been launched a lot later. Therefore, the outperformance by these issue indices might merely be a results of back-fitting. Efficiency on reside information might turn into underwhelming.
- For efficiency metrics, the outcomes will fluctuate based mostly on time-period thought of. In actual fact, you may see that the outcomes are completely different for (April 1, 2005-March 31, 2022) and (January 1, 2009-March 31,2022) information.
- Alpha (extra returns) from an funding technique can shrink if severe cash chases the technique. For example, for a few of the methods/issue indices, the index funds/ETFs have been launched very not too long ago.