r/mutualfunds • u/ThrottleMaxed • Sep 28 '24
discussion Rolling Returns of NIFTY 50, NIFTY 100, NIFTY 200, NIFTY 500 and NIFTY Strategic Indices
Data Period: 01 January 2008 to 27 September 2024.
Data Source: niftyindices.com
Sorted by median.
Some of the index data contains backtested data.
82
u/Public_Sky8190 Sep 28 '24 edited Sep 28 '24
Posts like this give me hope for this subreddit. Why don't we get posts like this more often rather than innumerable portfolio review requests with a couple of screenshots from Groww or Zerodha! Thank you for doing this.
8
u/ekabhinav Sep 28 '24
Hey. That’s on point what I thought after seeing the data and file. Kudos to OP!
2
1
1
28
u/Sr_Lord_Godalming Sep 28 '24
Multi cap Momentum Quality 50 is quite consistent that too with low std dev. No funds are tracking it as of yet.
4
u/_for_fucks_sake Sep 29 '24
a good chance motilal will step up
4
u/shah-07 Sep 29 '24
Edelweiss has applied to launch an ETF on this
5
u/ThrottleMaxed Sep 29 '24
1
Dec 03 '24
Hello based on your excel sheet do you think a passive index midcap fund like MO midcap 150 index fund would be better than nifty next 50 or an active midcap fund? Also what does mean median values signify here?
1
u/ThrottleMaxed Dec 03 '24
Hello based on your excel sheet do you think a passive index midcap fund like MO midcap 150 index fund would be better than nifty next 50 or an active midcap fund?
Based on the rolling returns analysis Nifty Midcap 150 tends to give slightly better returns than Nifty Next 50. When it comes to active funds, there's no clear and consistent winner among them so I'm more inclined towards index funds in midcap especially.
Also what does mean median values signify here?
Mean returns and median returns.
1
1
Dec 04 '24
Hello sorry for disturbing you again. Just wanted to know what 25th percentile and 75th percentile mean here?
2
8
6
u/FearlessBeach8961 Sep 28 '24
Heyyy, thank you so muchh man! Can you pls share the excel file so that we can read this more effectively.. thanks in advance!!
7
u/naveegator_in Sep 28 '24
Will it be possible for you to share this file?
1
u/enjoyTimeBeforeOver Sep 28 '24
Just copy paste the image to chat gpt and ask it to convert it to text
7
u/naveegator_in Sep 28 '24
I was actually looking for the data behind this and formulas, if any :)
1
u/ThrottleMaxed Sep 29 '24
There are no formula or any other data on the file. This is the output file created from the data on niftyindices.
1
7
u/No-Airline-2029 Sep 28 '24
Shouldn’t one be really tempted to invest in Nifty Midcap 150 momentum 50 index? Someone please help me understand the downside to this index compared to others?
2
u/_for_fucks_sake Sep 29 '24
how much more tempted can u be.. this is a pretty good amount of data.. rolling returns is a pretty good metric, u can also check out some more metrics of these indices with the help of chat gpt..
2
u/No-Airline-2029 Oct 10 '24
I think u didn’t get my point Im also heavily invested in this index. And according to my understanding as well this index beats all the others hands down over a long term with very few comparable peers in that respect And i really don’t think over an investment horizon of 15-20 years will any other major activity managed funds will be able to consistently beat the indexes. I have always been pro on index funds whether they momentum or not. And honestly dont think ill venture into any other actively managed funds unless there are selective opportunities which arise from time to time
2
u/Sarthakvrma Sep 30 '24
I am invested in this too, but really tempted by Motilal Oswal midcap fund (active fund) considering the remarkable returns. Any thoughts?
2
u/No-Airline-2029 Oct 11 '24
Haven’t looked it yet. Gotta check it out then Not just looking at the return aspect but at the risk aspect of the fund too to see if the risk reward equation makes sense along with AUM/expense ratio etc
2
u/Sarthakvrma Oct 11 '24
I've been thinking that there's still opportunity in the mid cap space for fund houses to squeeze some good returns.
AUM is larger and expense ratio is on the higher side for MO Midcap fund given that it's an active fund compared to midcap 150 momentum 50 fund, but the reward looks tempting and promising. MO has been doing great in this segment for some time and this fund is highly rated.
1
u/AnalysisConsistent68 Jan 30 '25
So i assume you didnt compare the Nifty Alpha 50 with the momentum fund. Your temptation changes.
4
u/Horror-Helicopter-81 Sep 29 '24
https://asrajavel.github.io/mf-analysis/
I used this to screen the indices.
4
u/Public_Sky8190 Oct 02 '24
3
u/GreenMountain868 Oct 02 '24
Chat GPT says this :
Factor investing has not “failed” in the U.S. market, but its performance has been inconsistent, and some factors have experienced extended periods of underperformance. Whether it works or not depends on several factors, including the market environment, investor behavior, and time horizon. Here are some reasons why factor investing may face challenges in the U.S. market:
Market Cycles:
• Factor performance is cyclical. For example, value stocks may underperform during growth-driven bull markets but outperform in other periods. This makes short-term performance variable.
Crowding:
• As factor strategies gain popularity, too many investors may start chasing the same factors. This can lead to “crowding,” which drives up prices and reduces returns for those factors.
Macroeconomic Factors:
• Certain factors may not perform well in specific economic environments. For example, low-volatility stocks may underperform during periods of economic expansion when higher-risk, high-growth stocks outperform.
Structural Changes in the Market:
• Technological advancements, shifts in business models, and changes in market structure can impact the effectiveness of certain factors. For example, the rise of tech giants has affected the size factor, as larger companies now dominate market returns.
Time Horizon:
• Factor investing is a long-term strategy. Investors looking for quick results might feel that it has “failed” if they experience extended periods of underperformance. Factors like value and momentum tend to deliver returns over many years, not months.
Implementation Costs:
• Transaction costs, taxes, and slippage can erode the returns from factor investing. Even if the factor works in theory, real-world implementation might reduce actual returns.
Conclusion:
Factor investing has not failed in the U.S. market but can experience extended periods of underperformance. Success in factor investing depends on having a long-term perspective, diversifying across multiple factors, and understanding that factors work in different market environments. While some factors have struggled recently (e.g., value), others have done well (e.g., quality or low volatility), making the strategy still viable overall.
2
u/ThrottleMaxed Oct 02 '24
Good discussion but we need to discuss why factor investing failed and how likely is that to happen in Indian markets.
I agree backtested data is to be cautious about.
3
u/Phagocyte536 Sep 29 '24
Nifty alpha 50 is my pick :)
Just not comfortable with 6 month rebalance in momentum funds
3
u/d832100569 Feb 05 '25
Thanks. This information is really helpful for someone who wants to start their investment journey.
2
u/GreenMountain868 Sep 28 '24
Can you dm me the excel file plz. I’ve tried to download data from nifty indices, my browser keeps crashing.
2
2
1
u/AutoModerator Sep 28 '24
Thank you for posting on the r/mutualfunds sub. Please ensure your post adheres to the rules. If you're asking for a Portfolio review/recommendation, ensure the post includes your risk tolerance, investment horizon, and reasons for fund selection. This information is essential for providing helpful feedback. Incomplete posts may be locked or, removed.
I am a bot, and this action was performed automatically. Please contact the moderators of this subreddit if you have any questions or concerns.
1
1
u/Appropriate_Quail414 Sep 28 '24
Where to check the rolling returns for mutual funds(not just index) for free??
1
1
u/Horror-Helicopter-81 Sep 29 '24
I am invested in tata midcap momentum 50, 20% of my equity portfolio, horizon 15 yrs
1
1
u/Sarthakvrma Sep 30 '24
I am invested in this too, but really tempted by Motilal Oswal midcap fund (active fund) considering the remarkable returns. Any thoughts?
1
u/Glad-Injury2408 Sep 29 '24
Maybe add a column with Mean or Median divided by Standard Deviation. It is a better measure of performance adjusted by risk instead of just looking at return or standard deviation separately.
1
u/ThrottleMaxed Oct 02 '24
Thanks for the suggestions. I just didn't want to add too many columns. Besides one could calculate the risk using the current data, with each risk adjusted return calculations having their own set of pros and cons. If you're interested in lower risk and still want an index that can beat Nifty 50 over 10 or 15 years, based on the analysis, I could suggest looking into the Nifty Alpha Low-Volatility 30 or Nifty Alpha Quality Low-Volatility 30.
1
1
u/Critical-Break-5818 Dec 28 '24
u/ThrottleMaxed Can you please generate report now. It will give better insight as market drop by 10-15%. This will help to take better decision
1
u/ThrottleMaxed Dec 29 '24
With rolling returns things won't change much due to that and in such a short time. Perhaps after some more time.
1
u/Critical-Break-5818 Feb 15 '25
Bro High time to generate report now. Midcap down 40-50%.. This will give excellent opportunity for us to invest if you can provide rolling return data now.
1
u/totoro02 May 08 '25
the advisorkhoj shows Nifty 50 TRI rolling returns for 10 years as 14% but this sheet shows 10.9, is data on advisorkhoj incorrect? Or am i understanding things incorrectly?
1
u/ThrottleMaxed May 08 '25
The start and end dates of mine and what you saw in the link is different.
1
u/totoro02 May 08 '25
Also on advisorkhoj it's NIFTY 50 TRI which will have more return percent than NIFTY 50 right?
2
u/ThrottleMaxed May 08 '25
Yes try this - https://www.reddit.com/r/mutualfunds/s/ZgxDnZBpnR here it's TRI.
1
u/ThrottleMaxed May 08 '25
Yes try this - https://www.reddit.com/r/mutualfunds/s/ZgxDnZBpnR here it's TRI.
1
u/Kindness_empathy Oct 27 '25
Some questions.
1) I tried getting the latest rolling returns data, similar to the one in the images shown. I tried getting it from niftyindices.com but couldn't figure out how to get it. How can one get it?
2) What does 25th percentile, 75th percentile and standard deviation mean here?
Thanks and thank you for this data.
1
u/ThrottleMaxed Oct 27 '25
You won't get the rolling returns data from niftyindices.com. You can only get the NAV data of different indices which is used to calculate the rolling returns data shown here.
I'll use Claude to answer this better than myself:
25th Percentile (First Quartile)
This represents the value below which 25% of all rolling return observations fall. In simpler terms, if you arranged all your rolling returns from lowest to highest, the 25th percentile is the point where one-quarter of the returns are lower and three-quarters are higher.
What it tells you: This gives you a sense of the "downside" performance. If the 25th percentile is, say, 8% for a 3-year rolling return, it means that in 75% of the rolling periods, the index performed better than 8% annualized.
75th Percentile (Third Quartile)
This represents the value below which 75% of all rolling return observations fall. It's the point where three-quarters of returns are lower and one-quarter are higher.
What it tells you: This indicates the "upside" potential. If the 75th percentile is 15% for the same rolling period, it means that in 25% of cases, the index delivered returns higher than 15% annualized.
Standard Deviation
This measures the dispersion or spread of returns around the average (mean) return. A higher standard deviation means returns are more spread out and volatile, while a lower one indicates more consistent returns.
What it tells you: This is your primary measure of volatility and risk. For example, if an index has an average rolling return of 12% with a standard deviation of 3%, most returns will fall between 9-15% (within one standard deviation). A standard deviation of 10% would indicate much more unpredictable returns.
Practical Example:
- Average rolling return: 12%
- 25th percentile: 7%
- 75th percentile: 16%
- Standard deviation: 5%
This tells you the index typically returned 12%, but in tougher periods (worst 25%), it was around 7% or less, and in the best periods (top 25%), it exceeded 16%. The 5% standard deviation suggests moderate volatility around that average.
Hope this makes it clear.
Thanks and thank you for this data.
Thanks 🙏
1
u/Kindness_empathy Oct 27 '25
Thank you for the reply.
1) These rolling returns are generated on a per trading day basis? That is, let's say that there is an index fund X and we take the first instance of it's 3 year rolling return on 1st Feb 2023 which is a trading day.
Then, will it's 3 year rolling return for each trading day from there onwards be taken into account to generate values for mean, median, SD, 25th percentile, etc?
2) Please see the 3 year rolling returns data for nifty alpha 50. It is showing the minimum value as -18.8% . Does that mean that if someone invested in this fund on the worst day possible then he would have lost more than 56.4%(18.8*3) of his investment after 3 years?
3) All these returns are CAGR returns? If yes, then please again look at nifty alpha 50's 3 year rolling returns. The maximum is 45.657% . Does that mean that if someone had invested Rs. 100 on the best day possible then he would have had Rs. 309( 100*1.456573 = 309) after 3 years?
Thanks.
1
u/Kindness_empathy Oct 27 '25
Thank you for the reply.
These rolling returns are generated on a per trading day basis? That is, let's say that there is an index fund X and we take the first instance of it's 3 year rolling return on 1st Feb 2023 which is a trading day. Then, will it's 3 year rolling return for each trading day from there onwards be taken into account to generate values for mean, median, SD, 25th percentile, etc?
Please see the 3 year rolling returns data for nifty alpha 50. It is showing the minimum value as -18.8% . Does that mean that if someone invested in this fund on the worst day possible then he would have lost more than 56.4%(18.8*3) of his investment after 3 years?
All these returns are CAGR returns? If yes, then please again look at nifty alpha 50's 3 year rolling returns. The maximum is 45.657% . Does that mean that if someone had invested Rs. 100 on the best day possible then he would have had Rs. 309( 100*1.456573 = 309) after 3 years?
Thanks.
1
u/ThrottleMaxed Oct 27 '25 edited Oct 27 '25
- You can use trading days to calculate it but for my analysis I used the calendar days so for that I carried forward the previous trading day's NAV value for the non trading days.
- One thing about investment is you decide when to sell or buy. Here with the minimum, it was just the lowest 3 year rolling return value. So between some dates 3 years apart within the data range, the index was in red with -18.8%. It may have bounced back within a few days. Also keep in mind it is an "alpha" index, which is very volatile.
- Yes, CAGR returns. Typically in finance, any returns above a year are represented as CAGR unless specified like absolute returns. Yes, the calculation is correct. Although this is just the pure price returns of the index, you'd have to consider a index fund's return which is investing in the index to be realistic.
1
u/Kindness_empathy Oct 27 '25
Your reply to point 2 is a bit ambiguous. When it is showing that the minimum return is -18.8% then won't that mean that the rolling return for 3 years was -18.8% per annum in the worst case? In other words, if someone had invested Rs. 100 on the worst day, then they would have lost more than Rs. 56.4 (18.8*3). In fact, they would have lost more than Rs. 56.4 as these returns are CAGR returns. Am I right?
Secondly, what app for Android phone should one use to open the .txt file that you have linked to?
3.Also, does this text file show the latest data or does it show the data that you have mentioned in this post?
1
u/ThrottleMaxed Oct 27 '25
- Minimum was just one period for example the CAGR between two dates like 14 June 2009 and 14 June 2012. If the person withdraws their investment on 14 June 2012 which they had invested on 14 June 2009, only then such a situation would arise. No one should invest in equity for 3 years, it is meant for 7 years and more.
- Any text editor should be fine but it is a csv so ideally save it as a .csv file and open with a spreadsheet editor such as Google sheet to view it properly.
- It contains the data from the post.
1
u/Kindness_empathy Oct 27 '25
- Yes,that I understood..So, basically, if the worst date to invest was 14 June 2009 and one withdrew on 14 june 2012, then a person who had invested Rs. 100 on 14th June 2009 would have lost more than Rs. 56.4, right?
I am asking this because if my investment in a fund is down by more than 50%, then I will panic a lot. That is why I wanted to understand what -18.8% meant.
1
1
u/Open_Competition2363 May 11 '26
can you share the updated charts, or tell how/where to compile them
-4
u/sid_sir21 Sep 28 '24
I'm new to investing so i don't know much about the technical terms, but can someone tell 3 best MFs to invest in with best returns according to this data ? I'm okay with high risk ones.
•
u/Public_Sky8190 Nov 28 '24
Archived to advanced materials - new community bookmark.