Quant Research9 min read
Understanding Fama-French Factor Models for Indian Equities
How the classic three-factor and five-factor models translate to NSE-listed stocks — and where they break down in an emerging-market context.
Spectrum Research & Insights
Independent thinking for better portfolio decisions.
In-depth articles on quantitative finance, portfolio analytics, risk management, and the Indian equity market — written by our research team.
Explore the research
Latest insights
7 articles
Risk Management7 min read
Why Standard VaR Underestimates Tail Risk in Indian Markets
Value-at-Risk assumes normally distributed returns. Indian equities don't behave that way — especially during monsoon failures, RBI surprise actions, and global contagion events.
Regulation6 min read
SEBI's New F&O Framework: What Retail Investors Need to Know
SEBI's 2024 circular tightened F&O eligibility criteria and position limits. Here's what changed, why it matters, and how retail investors can still hedge effectively.
Portfolio Management8 min read
Optimal Rebalancing Frequency for Indian Tax Efficiency
Rebalancing too often triggers short-term capital gains tax at 20%. Rebalancing too rarely lets drift accumulate. The optimal frequency depends on volatility, drift tolerance, and your holding period.
Strategy10 min read
Momentum Investing on NSE: A 10-Year Retrospective
The cross-sectional momentum factor — buying recent 12-month winners and shorting losers — has delivered 8.4% annual excess return on NSE over the past decade. But momentum crashes are brutal.
Quant Research11 min read
Kelly Criterion vs Equal Weight: Building a Concentrated Portfolio
Should you size positions by Kelly fractions, equal weight, or risk parity? The answer depends on your edge estimation confidence — and Kelly's full-Kelly sizing is almost always too aggressive.
Macro8 min read
How RBI Rate Cycles Drive Sector Rotation in Indian Markets
Rate hiking cycles punish rate-sensitive sectors (real estate, NBFCs) while rewarding exporters and IT. Understanding this transmission mechanism improves portfolio timing.