The authors study the Indian equity markets during the period January 1994 - March 2017. In doing so they seek to learn the performance of the value (HML), size (SMB), and momentum indicators (12-1) in that market over that time period.
They used the Fama-French methodology to form portfolios and determined that value significantly outperformed growth and winners significantly outperformed losers; however, small cap significantly underperformed large cap, which is contrary to the Fama French and other studies.
The HML factor returned 9.08% with an annualized volatility of 16.33%, and a max draw-down of 53%. The size factor returned 0.36% with an annualized volatility of 14.51% and a max drawdown of 74% in 1995 that never recovered. The momentum factor returned 17.3% with an annualized volatility of 17.06%, and a max draw-down of 49%.
The authors further mean-variance optimized the factors with market factors and a risk-free rate; interestingly, the portfolios at moderate/high risk levels primarily held momentum and value factors, while lower risk portfolios primarily held the risk-free security. The market factor was a small weight in all portfolios.
Agarwalla, S. K., Jacob, J., & Varma, J. R. (2017). Size, Value, and Momentum in Indian Equities. Vikalpa: The Journal for Decision Makers, 42(4), 211–219.
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