ARE FACTOR INVESTING STRATEGIES SUCCESSFUL OUT-OF-SAMPLE: EVIDENCE FROM THE NIFTY INDICES
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 c...
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2023-01-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/604 |
| Summary: | 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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| ISSN: | 2253-5799 2253-5802 |