📊 Educational backtesting tool · Historical NSE data (Dec 2006–Dec 2025) · Not investment advice · Terms & Privacy
📚 Educational Research Only — All backtest results are historical simulations on NSE data (Dec 2006–Dec 2025). Past performance does not predict future results. This is not a research report under SEBI (Research Analysts) Regulations 2014 (per FAQ No. 4, July 2025 Circular). Not investment advice. BacktestIndia is not SEBI-registered. Consult a SEBI-registered Investment Adviser before investing.
📚 Educational Content • Not Investment Advice • Historical Analysis Only

Factor Investing India: Research & Backtests by T. Desai

Research & Backtests by T. Desai — trained by Mayank Joshipura, PhD, NMIMS

18-year NSE educational simulations by T. Desai covering 1,700+ stocks (Dec 2006–Jun 2025). 16 educational articles across 5 factor strategies, SIP vs Lumpsum analysis, tax-aware analysis, and rolling returns research for Indian equity markets. Educational research only.

📚 Read ArticlesTry Backtesting Tool →
📊
16 Published Articles
18+ years NSE data analyzed
⏱️
458+ min total
Deep educational content

New to factor investing? Read our complete guide to the free NSE backtesting tool →

Factor Strategy Results: 18-Year NSE Backtest (Dec 2006–Jun 2025)

StrategyGross CAGRNet CAGRMax DrawdownRecoverySharpe
Quality-Momentum →18.45%17.95%-61.70%41 mo0.86
Multi-Factor →15.10%14.61%-55.02%20 mo0.48
Momentum (Liquidity-Adjusted) →19.43%*————
Momentum →14.50%14.01%-70.53%65 mo0.35
Low Volatility →12.85%12.38%-44.46%7 mo0.38
Value-Quality →11.85%11.38%-64.09%7 mo0.34
LTCG Tax Advantage →—+0.44%/yr———
Backtesting Engine →—————
Nifty 50 (benchmark)10.42%—-55%60 mo0.32

Hypothetical historical simulation. Past performance ≠ future results. Educational only. *Low-turnover momentum only; see full liquidity decomposition.

📋 Educational Content Only: All backtests and articles are for educational purposes only. Past performance does not predict future results. Not investment advice - consult SEBI-registered advisors before making investment decisions.

New to systematic investing? Start with our complete guide to factor investing in India — comparing all 5 strategies with 18 years of NSE data.

Recommended Reading Order

  1. Factor Investing India: Complete Guide — Start here for the full framework
  2. Low Volatility: The Defensive Foundation — Lowest risk, historical consistency across 102 rolling periods in this dataset
  3. 2008 Crash Deep-Dive: Month by Month — See exactly how Low Vol held up vs Nifty during the GFC NEW
  4. Momentum: The Growth Engine — Higher returns, but brutal drawdowns
  5. Quality-Momentum: Best of Both — Anti-speculation filter backtest study
  6. LTCG vs STCG: Tax-Aware Rebalancing — Save 0.44%/year through smart rebalancing timing
  7. Mutual Funds Sahi Hai — The Full Picture — 5 sourced data points every investor deserves to know NEW
  8. Try It Yourself — Free tool: customize any strategy on 18+ years of NSE data

Latest Articles17 Articles

📘 Guides

3 articles

Tool walkthroughs, engine deep-dives, and start-here reads for systematic factor investing on NSE.

BacktestIndia: Free Tax-Aware Backtesting Tool for Factor Investing on NSE Stocks (18+ Years Data)
GuidesMarch 12, 2026

BacktestIndia: Free Tax-Aware Backtesting Tool for Factor Investing on NSE Stocks (18+ Years Data)

BacktestIndia is India's only backtesting platform with automatic LTCG/STCG tax calculations. Test momentum, low volatility, quality, and value factor strategies on 18+ years of NSE data covering 1,700+ stocks — including delisted companies. No coding required. Start free with 10 backtests per month.

T. Desai30 min read

See also: Advanced Engine Deep-Dive · Factor Investing Guide

Advanced Backtesting Engine: Sequential Filtering, Z-Score Scoring, 14 Parameters on NSE
GuidesFebruary 17, 2026

Advanced Backtesting Engine: Sequential Filtering, Z-Score Scoring, 14 Parameters on NSE

Full breakdown of BacktestIndia's engine: sequential filtering (60 low-vol → 30 momentum), Z-score mixing (momentum + low PE + ROE), 14 parameters, NSE tax-accurate results. Educational deep-dive.

T. Desai25 min read

See also: Tool Guide · Quality-Momentum Methodology

Factor Investing India: Complete Guide 2025
GuidesDecember 19, 2025

Factor Investing India: Complete Guide 2025

Compare Low Volatility, Momentum, and Multi-Factor factor strategies in this 18-year historical simulation. Complete hub for systematic investing education in Indian markets.

T. Desai25 min read

See also: Start with Low Volatility · Best Returns: Quality-Momentum

📊 Backtests

5 articles

18-year NSE backtests across Low Volatility, Momentum, Quality-Momentum, Multi-Factor, and Value-Quality strategies vs Nifty 50 benchmark.

Does Low Volatility Outperform in India? 18-Year NSE Backtest
BacktestsDecember 4, 2025

Does Low Volatility Outperform in India? 18-Year NSE Backtest

Low volatility factor screen historical simulation results vs Nifty 50 benchmark (Dec 2006–Dec 2025). Educational data only.

T. Desai35 min read

See also: Rolling Returns: Historical Consistency Study · Multi-Factor Blend

Momentum Investing India: 18-Year NSE Backtest
BacktestsDecember 7, 2025

Momentum Investing India: 18-Year NSE Backtest

14.01% CAGR with brutal -70% drawdowns. Complete tax-aware analysis for aggressive investors.

T. Desai38 min read

See also: Quality-Momentum Upgrade · Liquidity Premium Research

Multi-Factor Investing India: Historical Risk-Adjusted NSE Backtest (18-Year)
BacktestsDecember 14, 2025

Multi-Factor Investing India: Historical Risk-Adjusted NSE Backtest (18-Year)

Sequential factor filtering combines defensive and growth for superior risk-adjusted returns. Complete 18-year NSE backtest with tax analysis.

T. Desai40 min read

See also: Low Volatility Foundation · Drawdown Analysis

Quality Momentum India: 18% Returns with Anti-Speculation Filter (18-Year Backtest)
BacktestsDecember 28, 2025

Quality Momentum India: 18% Returns with Anti-Speculation Filter (18-Year Backtest)

Sequential filtering with scaled turnover — historical 18-year backtest with case studies showing how the filter identified high-risk speculative stocks 12-24 months before collapse. Educational data only.

T. Desai45 min read

See also: Pure Momentum Baseline · Tax Impact

Value-Quality Investing India: Tax-Aware Backtest (18-Year NSE Simulation)
BacktestsJanuary 04, 2026

Value-Quality Investing India: Tax-Aware Backtest (18-Year NSE Simulation)

Low PE/PB + High ROE growth delivered 11.38% net CAGR—but 4.02% consumed by taxes and costs. Sequential Z-score filtering with 7-month recovery vs Nifty's 60 months. Complete friction analysis.

T. Desai35 min read

See also: Quality-Momentum Alternative · Tax Drag Analysis

🔬 Research

8 articles

Original findings: liquidity premium decomposition, rolling returns across 102 periods, 2008 GFC crash analysis, and index comparisons on Indian equity markets.

Indian Momentum Factor Is a Liquidity Premium in Disguise: 19-Year NSE Backtest
ResearchMarch 10, 2026

Indian Momentum Factor Is a Liquidity Premium in Disguise: 19-Year NSE Backtest

We split Nifty 200 Momentum 30 by Scaled Turnover (volume ÷ market cap). In this 19-year dataset, high-turnover momentum returned just 8.51% — below Nifty 50. Low-turnover momentum returned 19.43%. All historical return premium concentrated in illiquid stocks.

T. Desai30 min read

See also: Pure Momentum · Quality-Momentum

India's Lost Decade: Rolling Returns Analysis Across 102 Entry Points
ResearchDecember 22, 2025

India's Lost Decade: Rolling Returns Analysis Across 102 Entry Points

Reddit users said we cherry-picked 2007-2017. We tested 102 different 10-year entry points. Low Volatility produced higher returns than Nifty in all tested periods in this dataset. Complete rolling returns analysis with SIP comparison. Historical data only.

T. Desai28 min read

See also: Low Volatility Backtest · Nifty 50 vs Next 50

Nifty 50 vs Nifty Next 50: The Surprising 26-Year Results
ResearchJanuary 11, 2026

Nifty 50 vs Nifty Next 50: The Surprising 26-Year Results

Counterintuitive findings: Nifty 50 delivered 11.41% CAGR vs Next 50's 11.18% over 26 years—but rolling returns reveal Next 50 averaged 16.49% on 5-year basis. Complete drawdown analysis (-55% vs -76%) showing when each index wins.

T. Desai38 min read

See also: Drawdown Strategies · Factor Investing Guide

Backtesting Drawdown-Resistant Factor Strategies in India: Complete Guide (2006-2025)
ResearchJanuary 18, 2026

Backtesting Drawdown-Resistant Factor Strategies in India: Complete Guide (2006-2025)

Sequential filtering (Top 200→60 Low Vol→30 Momentum) showed -16.5% drawdown in 2020 vs Nifty's -29%. Complete 18-year crisis analysis across 2008 GFC, 2020 COVID, 2022 rate hikes with tax-aware calculations.

T. Desai40 min read

See also: Low Volatility · Multi-Factor

The 2008 Crash, Month by Month: ₹1 Crore in Low Volatility vs Nifty 50
ResearchApril 1, 2026

The 2008 Crash, Month by Month: ₹1 Crore in Low Volatility vs Nifty 50

Month-by-month rupee values through India's worst modern crash. Low Volatility fell −44.6% (trough: Feb 2009, ₹55.4L) vs Nifty's −55.1% (trough: Nov 2008, ₹44.9L). LV recovered fully in 7 months. Nifty took 59 months. Phase-by-phase crash and recovery analysis.

T. Desai28 min read

See also: Full Low Volatility Backtest · Drawdown-Resistant Strategies

SIP vs Lumpsum India: 23-Year XIRR Rolling Returns on Nifty 50—Neither Is Foolproof
ResearchMarch 24, 2026

SIP vs Lumpsum India: 23-Year XIRR Rolling Returns on Nifty 50—Neither Is Foolproof

704 rolling periods tested using proper XIRR methodology. SIP won 52% of 5-year windows. Lumpsum won 52% of 15-year windows. Worst SIP XIRR: -4.17%. Strategy matters 13× more than deployment method. Complete analysis with staggered lumpsum comparison.

T. Desai30 min read

See also: Low Vol Rolling Returns · Factor Investing Guide

Mutual Funds Sahi Hai — But Is the Whole Truth Sahi Hai?
ResearchApril 9, 2026

Mutual Funds Sahi Hai — But Is the Whole Truth Sahi Hai?

81.5% of large-cap funds failed to beat Nifty (SPIVA 2024). Investors earned 5.3% less than their own funds. 30% of funds quietly disappeared. 78% of smart beta charts pre-date live trading. The 5 data points every Indian investor deserves to know. Every claim sourced.

T. Desai30 min read

See also: Rolling Returns: Historical Consistency Study · Low Volatility Backtest

Scaled Turnover Factor: Nifty 500 Universal Liquidity Premium (18-Year NSE Backtest)
ResearchApril 6, 2026

Scaled Turnover Factor: Nifty 500 Universal Liquidity Premium (18-Year NSE Backtest)

Extending the scaled turnover liquidity premium research from Nifty 200 to the broader Nifty 500 universe. How does the liquidity-adjusted factor perform across 500 stocks? Complete 18-year backtest comparing turnover-sorted deciles, sector biases, and implementation costs.

T. Desai28 min read

See also: Nifty 200 Liquidity Decomposition · Quality-Momentum with Scaled Turnover

🧾 Tax Analysis

1 article

How LTCG vs STCG rebalancing frequency affects compounded returns — quantified across all 5 factor strategies.

LTCG vs STCG Tax Impact on Factor Investing India: 0.44% Annual Advantage (18-Year Backtest)
Tax AnalysisMarch 2, 2026

LTCG vs STCG Tax Impact on Factor Investing India: 0.44% Annual Advantage (18-Year Backtest)

Annual rebalancing (LTCG 12.5%) vs frequent rebalancing (STCG 20%) shows ~0.44%/year compounded advantage. 18-year NSE study across 5 factor strategies, 1,700+ stocks (Dec 2006–Jun 2025). Tax-aware systematic investing analysis.

T. Desai22 min read

See also: Quality-Momentum (Highest Net Return) · All 5 Strategies

📬

Get New Articles in Your Inbox

Join readers getting updates on new backtests, strategy analysis,
and factor investing research for Indian markets.

✅ No spam ever • ✅ Unsubscribe anytime • ✅ 100% free

Not ready to subscribe? Start with our most popular article: India's Lost Decade: 102 Entry Points Tested →

Popular Topics

BacktestIndia.com publishes educational articles by T. Desai on systematic factor investing in Indian equity markets using 18-year NSE historical simulation data (Dec 2006–Jun 2025) covering 1,700+ stocks including delisted names. Simulated factor strategies include Quality-Momentum, Multi-Factor, Momentum (decomposed by Scaled Turnover), Low Volatility, and Value-Quality — all compared vs Nifty 50 in this dataset. 2008 GFC analysis shows Low Volatility fell −44.6% vs Nifty's −55.1%, recovering in 7 months vs 59 months. Tax-aware analysis shows ~0.44%/year LTCG advantage from annual rebalancing. SIP vs Lumpsum XIRR analysis across 704 rolling periods. Educational articles only — not SEBI-registered investment advice. Past performance does not predict future results.

Factor InvestingBacktestingValue InvestingQuality StocksMomentum StrategyPortfolio RebalancingIndian Stock MarketNSE DataLTCG vs STCG TaxTax-Aware InvestingRolling ReturnsDrawdown AnalysisLiquidity PremiumSIP vs Lumpsum2008 Crash AnalysisMutual Funds Sahi Hai

Frequently Asked Questions: Factor Investing India

Common questions about systematic factor strategies on Indian equity markets

What is factor investing in India?
Factor investing in India means selecting NSE stocks based on quantifiable characteristics — factors like low volatility, momentum, value (low PE/PB), and quality (high ROE) — instead of individual stock-picking. See the complete factor investing guide covering all strategies with 18+ years of NSE data.
Which factor strategy has the best returns in India?
Based on BacktestIndia's 18-year NSE backtest (Dec 2006–Jun 2025), Quality-Momentum delivered the highest net CAGR at ~17.95%, followed by Multi-Factor at 14.61% and pure Momentum at 14.01%. Low Volatility had the best drawdown profile (-44% vs Nifty's -55%) with only 7 months to recover vs 60 months for Nifty. See the 2008 crash deep-dive for month-by-month rupee values.
How does LTCG vs STCG affect factor investing returns?
Annual rebalancing (qualifying for 12.5% LTCG) vs monthly rebalancing (triggering 20% STCG) creates approximately 0.44% annual compounded advantage across all 5 strategies tested. Over 18 years, this gap compounds significantly. Read the full analysis: LTCG vs STCG Tax Impact on Factor Investing India →
Is factor investing suitable for Indian retail investors?
Factor investing is an educational framework for systematic, rules-based investing. It removes emotional decision-making — our rolling returns analysis showed historical consistency across 102 ten-year periods in this dataset. However, it requires discipline to hold through drawdowns (momentum can drop -70%). See drawdown-resistant strategies for crisis analysis. Not a substitute for advice from a SEBI-registered Investment Adviser.
What data does BacktestIndia use for NSE backtests?
BacktestIndia uses EODHD NSE data covering December 2006 through June 2025 — 18+ years across 1,700+ stocks including delisted companies (survivorship-bias corrected). See exactly how the engine works: Advanced Backtesting Engine deep-dive (14 parameters, Z-Score scoring). Returns are price-only (ex-dividend), covering the 2008 GFC, 2013 taper tantrum, 2016 demonetization, 2020 COVID crash, and 2021–25 bull run.
How did Low Volatility perform in the 2008 crash?
Our month-by-month 2008 crash analysis shows Low Volatility fell to ₹55.4L at its trough (Feb 2009, −44.6%) while Nifty 50 hit its trough earlier at ₹44.9L (Nov 2008, −55.1%). LV recovered fully in just 7 months (by Sep 2009) while Nifty took 59 months (until Oct 2013). When Nifty finally recovered in Oct 2013, LV had already grown to ₹1,71,13,000 — 67% ahead of Nifty's ₹1,02,62,000. Price-only gross returns, educational analysis.
Should I invest in Nifty 50 or Nifty Next 50 index fund?
BacktestIndia's 26-year Nifty 50 vs Next 50 analysis shows Nifty 50 delivered 11.41% CAGR vs Next 50's 11.18% overall — but rolling returns strongly favour Next 50 on a 5-year (+16.49% avg) and 10-year (+15.22% avg) basis. Next 50 has 37% deeper drawdowns (-76% vs -55%) but recovers 34% faster. The right choice depends on your time horizon and drawdown tolerance. Educational analysis only — consult SEBI-registered adviser.
How does Nifty 200 Momentum 30 compare to factor strategies on BacktestIndia?
BacktestIndia's 18-year NSE backtests show that a Nifty 200 Momentum 30-equivalent strategy delivered 14.01% CAGR — but Quality-Momentum (17.95% CAGR) outperformed by +3.94% annually with 13% shallower drawdowns by adding a scaled turnover anti-speculation filter. Our liquidity research further shows that all momentum alpha resides in illiquid stocks (19.43% CAGR) while liquid momentum returns just 8.51% — below Nifty 50. See our momentum investing backtest for complete analysis.
Can I backtest Nifty 200 Momentum 30 on BacktestIndia?
Yes. BacktestIndia's free backtesting tool lets you replicate and customize the Nifty 200 Momentum 30 methodology using 18+ years of NSE data. Set universe to Top 200 by market cap, filter by PE > 0, rank by 12-month momentum, select top 30 stocks. The tool automatically calculates LTCG/STCG taxes, transaction costs, and slippage — giving you net returns that AMC factsheets don't show. You can also test variations: change to Top 100, add a low volatility filter, or adjust rebalancing frequency. Start with 10 free backtests per month.
Is factor investing better than index investing in India?
BacktestIndia's 18-year NSE backtests show that systematic factor strategies outperformed the Nifty 50 index across all five approaches tested: Quality-Momentum (17.95% CAGR), Multi-Factor (14.61%), Momentum (14.01%), Low Volatility (12.38%), and Value-Quality (11.38%) — vs Nifty 50's 10.42%. However, factor investing requires discipline to hold through drawdowns (momentum crashed -70% in 2008), while index investing is simpler and cheaper. Factor investing is not a replacement for index investing — it's an educational framework for understanding what drives equity returns. Consult a SEBI-registered adviser for personalized guidance.
What is the best factor investing strategy for beginners in India?
Based on BacktestIndia's 18-year NSE data, Low Volatility is the most beginner-friendly factor strategy: 12.38% CAGR with 20% less risk than Nifty 50, -44% maximum drawdown (vs Nifty's -55%), and just 7 months to recover from the worst crash vs Nifty's 60 months. Our rolling returns analysis confirmed Low Volatility beat Nifty in 100% of 102 different 10-year periods tested. It requires only annual rebalancing (lowest tax drag at ~0.47%/year) and selects familiar large-cap names. Start by learning the methodology, then use BacktestIndia's free tool to test it yourself. Not investment advice — consult SEBI-registered adviser.
How much money do I need for factor investing in India?
BacktestIndia's strategies typically hold 30 equally-weighted stocks. For meaningful diversification at ~₹65,000–₹1,00,000 per position, a minimum of ₹20–30 lakhs is practical for direct stock implementation. However, index fund alternatives like Nifty200 Momentum 30 (UTI, HDFC, Motilal Oswal) allow entry from ₹500 via SIP. Factor investing through index funds is cheaper and simpler but may not capture the full premium — our research shows momentum alpha concentrates in illiquid stocks that large funds cannot access. See our LTCG/STCG tax analysis for cost considerations. Educational guidance only.
Is SIP better than lumpsum in India?
BacktestIndia's 23-year XIRR analysis on Nifty 50 tested 704 rolling periods across 5, 7, 10, and 15-year horizons. Result: it's roughly a coin flip — SIP (XIRR) won 52% of 5-year periods while lumpsum (CAGR) won 52.3% of 15-year periods. SIP outperforms from market peaks and during volatile/sideways conditions; lumpsum outperforms from crash bottoms and during strong trends. The worst SIP delivered -4.17% XIRR over 5 years. Crucially, strategy selection has 13× more impact than deployment method — the Low Volatility vs Nifty gap (6.94%/yr) dwarfed the SIP vs lumpsum gap (0.52%/yr) during the Lost Decade. Educational analysis only — consult SEBI-registered adviser.
Stop guessing. Start testing.