This study asks whether environmental, social, and governance (ESG) screening changes the risk-return profile of an Indian large-cap equity portfolio. The Nifty 100 ESG index is compared with its unscreened parent, the Nifty 100, so the only systematic difference is the ESG screen and reweighting applied to a common co...
This study empirically analyzes the risk-adjusted performance, volatility, and interdependencies of the Magnificent 7, the S&P 500 (SPY), the Nasdaq-100 (QQQ), and gold (GLD) across distinct economic regimes from 2008 to 2025. Using daily adjusted closing prices, the analysis calculates total and annualized returns, Sh...
The Sharpe ratio is a prominent risk-adjusted performance measure used in investment analysis. In this paper, we assume that a random sample is available from a normal distribution and propose a simple and accurate method for inference on the Sharpe ratio. Moreover, the rate of convergence of the proposed method is der...
This paper presents an empirical analysis of a rules-based multifactor equity portfolio and examines how its performance varies across market volatility regimes. The portfolio is constructed from a fixed universe of 50 large-cap U.S. equities and employs a cross-sectional ranking methodology based on valuation, profita...
We analyzed the relationship between environmental, social, and governance (ESG) metrics, financial risk, and expected returns in the US stock market, using data from S&P 500 companies over the period from 2007 to 2022 using aggregate ESG scores from Refinitiv (LSEG). We employed an empirical approach that combines p...
The value-creation capacity of active asset management remains one of the most debated issues within modern portfolio theory. While the relationship between costs and performance is typically negative in developed markets, in smaller and less liquid markets—where information asymmetry is more pronounced—higher fees may...
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