Smart-Beta Strategies in India: Analysis of Performance and Exposure of BSE Strategy Indices

Title

Smart-Beta Strategies in India: Analysis of Performance and Exposure of BSE Strategy Indices

Creator

Bhagawan, Srikrishna; Sathish Kumar, B.

Description

The study examines the performance and exposure of BSE strategy indices and also compares them between the pre and post-covid periods. Though the monthly returns of some of the indices were significant, no indices outperformed the Sensex across the sample periods. On the risk-adjusted terms, quality, momentum, and low-volatility indices offered a significant alpha in the pre-covid, but post covid, all indices failed. The indices, except momentum, performed better in post covid compared to pre-covid but are insignificant due to the post covid high volatility. Momentum and value indices offered a predominant performance in the pre and post covid periods respectively, while the dividend index failed in both periods. While the market factor is the prominent driver of return for the indices, the size effect on their performance is insignificant across the sample periods. The indices, irrespective of their pre-covid exposure, gained significant exposure to loser stocks post covid. Though the exposure varied between pre and post covid, the change in the exposure was not significant except for the quality and dividend indices. They offer limited intended factor exposure and some extent of unintended exposure, as in the case of the momentum index in the pre-covid period. Indian Institute of Finance..

Source

Finance India;Volume;39;Issue;2;pp.409-426

Date

01-01-2025

Publisher

Indian Institute of Finance

Subject

BSE; COVID-19; Factor Exposure; India; Risk; Sensex; Smart Beta; Strategy Indices

Coverage

Bhagawan S., CHRIST (Deemed-to-be-University), The Department of Commerce, Hosur Road, Bhavani Nagar, SG Palya, Bangalore, 560029, India; Sathish Kumar B., CHRIST (Deemed-to-be-University), The Department of Commerce, Hosur Road, Bhavani Nagar, SG Palya, Bangalore, 560029, India

Rights

Restricted Access; Hardcopy may be available in the library

Relation

ISSN: 9703772;

Format

online

Language

English

Type

Article

Identifier

https://www.scopus.com/pages/publications/105015584679?origin=resultslist