Purpose

This study aims to compare the fundamental indexation (FI) portfolio vis-à-vis the cap-weighted index (CWI). It also explored the return-generating attributes of the FI portfolios.

Design/methodology/approach

This study extracted relevant data from the Centre for Monitoring Indian Economy’s Prowess database from March 1996 to March 2017 from a sample of National Stock Exchange (NSE) 500 companies. The FI portfolios were constructed with First_50 and Next_50 stocks using the latest and five years of trailing average aggregations. Further, the regression technique was used to identify the return-generating attributes of FI portfolios.

Findings

It was found that the FI portfolios based on First_50 and Next_50 stocks outperformed the CWI (i.e. NSE_First_50 and NSE_Next_50) in the Indian capital market, and between the two, the FI portfolios based on Next_50 stocks were superior to the FI portfolios based on First_50 stocks. The cross-sectional superiority of FI portfolios is obvious if they are sorted according to four fundamentals, namely, total income, sales, operating cash flows and profit before depreciation interest tax and amortisation. The return-generating process of FI portfolios is well-explained by market premium followed by value premium and investment premium.

Practical implications

This study may enable portfolio managers and investors to measure FI portfolios’ superiority in the Indian capital market and identify the return-generating attributes of FI portfolios so that the loadings can be switched amongst different priced factors for higher yield. Further, this study extends the FI literature, providing evidence from one of the world’s fastest-growing economies.

Originality/value

To the best of the knowledge, this is amongst the first few studies to explore the performance of FI portfolios vis-à-vis CWIs in India, and to use Fama and French (2015) asset pricing models to understand the return-generating attributes of FI portfolios. It is also novel in the sense that it considers the FI portfolios for a longer duration, predating 1997 and coinciding with the inception of CWIs, namely, NSE_First_50 (inception: 1995) and NSE_Next_50 (inception: 1996), reducing the apprehensions of data-snooping biases.

中文翻译：

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基本指数化投资组合表现更好吗？印度的调查

目的

本研究旨在比较基本指数化 (FI) 投资组合与市值加权指数 (CWI)。它还探讨了金融机构投资组合的收益产生属性。

设计/方法/方法

本研究从国家证券交易所 (NSE) 500 家公司样本中提取了 1996 年 3 月至 2017 年 3 月期间印度经济监测中心的相关数据。FI 投资组合由 First_50 和 Next_50 股票使用最近和五年的追踪平均聚合构建而成。此外，回归技术用于识别金融机构投资组合的收益产生属性。

发现

发现基于 First_50 和 Next_50 股票的 FI 投资组合在印度资本市场上的表现优于 CWI（即 NSE_First_50 和 NSE_Next_50），并且在两者之间，基于 Next_50 股票的 FI 投资组合优于基于 First_50 股票的 FI 投资组合. 如果按照总收入、销售额、经营现金流量和折旧利息税及摊销前利润四个基本面进行分类，金融投资组合的横截面优势是显而易见的。FI投资组合的收益产生过程可以很好地解释为市场溢价，其次是价值溢价和投资溢价。

实际影响

这项研究可以使投资组合经理和投资者能够衡量 FI 投资组合在印度资本市场中的优势，并确定 FI 投资组合的收益产生属性，以便可以在不同的定价因素之间切换负载以获得更高的收益。此外，这项研究扩展了 FI 文献，提供了来自世界上增长最快的经济体之一的证据。

原创性/价值

据了解，这是在印度探索 FI 投资组合相对于CWI 的表现并使用 Fama 和 French (2015) 资产定价模型来了解FI 投资组合。它还具有新颖性，因为它将 FI 投资组合考虑了更长的期限，早于 1997 年，并且与 CWI 的成立相吻合，即 NSE_First_50（成立于 1995 年）和 NSE_Next_50（成立于 1996 年），减少了对数据的担忧——窥探偏见。