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Empirical Project

Synopsis of Empirical Project on Equal Weighted Equal Sector Portfolios in Indian context

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Prashanth Chidambaram
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79 views1 page

Empirical Project

Synopsis of Empirical Project on Equal Weighted Equal Sector Portfolios in Indian context

Uploaded by

Prashanth Chidambaram
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd

Research Question: Study the performance of equal weighted portfolios over Price or Market cap

weighted portfolios in the Indian context?

Abstract

We will compare the performances of equal weighted portfolio versus price or market cap weighted
portfolios over the last fifteen years. We will look at monthly rebalancing of portfolios and study the
performance of the strategy in terms of Sharpe ratio, Sortino ratio, Four Factor Model (Size Factor:
Small and Mid Caps Outperformance, Value Factor Price to Book Valuations, Market Risk Factor,
Momentum Factor), Jensen Alpha, Mean Returns, Volatility and Standard Deviations of Portfolios,
Skewness and Kurtosis.

We will be benchmarking the results of the strategy against a suitable total return index (i.e. Nifty
100, Nifty 500 etc).

The choice of sectors are as follows (GICS),

1. Energy
2. Basic Materials
3. Industrials
4. Consumer Discretionary
5. Consumer Staples
6. Healthcare
7. Financials
8. Information Technology
9. Telecommunication Services
10. Utilities

Group Members

Prashanth Chidambaram DM20128

Karthik Raja DM20119

Nihal Abraham Mathew DM20232

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