S2S Research · Experimental Subseasonal Forecast

The website provides Fama-French factors for Indian equity markets along with an interactive tool visualization, analysis, and backtesting portfolio strategies. We currently cover the six core Fama-French factors: size, value, profitability, investment, and momentum starting in October 2003. We start with all stocks in the CMIE Prowess database and apply filters to screen out thinly traded stocks, penny stocks, and microcaps. This is the final SCDLDS universe that we use to compute monthly portfolio and factor returns. We will augment the return time series on a monthly basis and add other factors from time to time.

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