ARE FACTOR INVESTING STRATEGIES SUCCESSFUL OUT-OF-SAMPLE: EVIDENCE FROM THE NIFTY INDICES

  • Vaibhav Lalwani XLRI Xavier School of Management, Delhi-NCR

Abstract

Do factor investment strategies that have generated superior returns in the past continue to do so out-of-sample? To test this hypothesis, I check the performance of nine factor-based indices of the National Stock Exchange (NSE) of India. My results show that the performance of most indices falls considerably in the out-of-sample period, i.e. the period after the launch of an index. The results hold for absolute as well as excess and risk-adjusted returns. In additional tests, I find that none of the factor strategies generates significant alpha after controlling for standard factors such as size, value, and momentum.

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Published
2023-01-23
How to Cite
Lalwani, V. (2023). ARE FACTOR INVESTING STRATEGIES SUCCESSFUL OUT-OF-SAMPLE: EVIDENCE FROM THE NIFTY INDICES. Applied Finance Letters, 11, 94 - 108. Retrieved from https://ojs.aut.ac.nz/applied-finance-letters/article/view/604
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Articles submitted to regular issue