How Factor Strategies Behaved in Indian Market Crashes — 2008, 2018, COVID, 2022 (Backtests)
Data as of 2025-12-31 · Window: Crisis sub-windows within 2006-12 – 2025-12 · Source: BacktestIndia AEO Research Corpus
Answer
BacktestIndia's crisis-window backtests (NSE 500, 30 stocks, equal weight, net of costs and FY2024 taxes) show factor strategies behaved very differently under stress. In the 2008 GFC window (Dec 2007 – Dec 2009), low volatility produced a net CAGR of 5.20% with a -37.8% maximum drawdown while the Nifty 50 returned -7.95% per annum; momentum-based strategies drew down far more. In the COVID window (Dec 2019 – Dec 2021), momentum led the recovery. Full tables below cover four stress windows. Past performance does not predict future results.
COVID crash & recovery (Dec 2019 – Dec 2021)
| Strategy | Net CAGR | Gross CAGR | Max drawdown | Sharpe | Volatility | Recovery (from trough) | Nifty 50 CAGR (same window) |
|---|---|---|---|---|---|---|---|
| Low volatility | 16.66% | 18.86% | -16.61% | 1.01 | 16.46% | 8 months | 19.41% |
| 12-month momentum | 50.36% | 55.26% | -22.94% | 1.81 | 27.81% | 4 months | 19.41% |
| Value | 15.07% | 17.54% | -43.44% | 0.37 | 40.47% | 11 months | 19.41% |
| Quality (high ROE) | 16.69% | 18.98% | -41.86% | 0.42 | 39.94% | 9 months | 19.41% |
| Quality + momentum (two-stage) | 27.70% | 31.60% | -35.88% | 0.78 | 35.67% | 8 months | 19.41% |
Global Financial Crisis (Dec 2007 – Dec 2009)
| Strategy | Net CAGR | Gross CAGR | Max drawdown | Sharpe | Volatility | Recovery (from trough) | Nifty 50 CAGR (same window) |
|---|---|---|---|---|---|---|---|
| Low volatility | 5.20% | 8.46% | -37.76% | 0.19 | 26.73% | 10 months | -7.95% |
| 12-month momentum | -31.58% | -28.84% | -73.46% | -0.67 | 47.17% | Not recovered in window | -7.95% |
| Quality + momentum (two-stage) | -11.13% | -7.51% | -68.13% | -0.19 | 58.87% | Not recovered in window | -7.95% |
2018 NBFC / smallcap correction (Dec 2017 – Dec 2019)
| Strategy | Net CAGR | Gross CAGR | Max drawdown | Sharpe | Volatility | Recovery (from trough) | Nifty 50 CAGR (same window) |
|---|---|---|---|---|---|---|---|
| Low volatility | 1.82% | 2.88% | -10.20% | 0.16 | 11.15% | Not recovered in window | 7.50% |
| 12-month momentum | -6.95% | -5.15% | -23.71% | -0.35 | 20.03% | Not recovered in window | 7.50% |
2022 rate-hike cycle (Dec 2021 – Dec 2023)
| Strategy | Net CAGR | Gross CAGR | Max drawdown | Sharpe | Volatility | Recovery (from trough) | Nifty 50 CAGR (same window) |
|---|---|---|---|---|---|---|---|
| Low volatility | 2.53% | 3.95% | -8.55% | 0.19 | 13.44% | 2 months | 4.33% |
| 12-month momentum | -5.20% | -0.74% | -19.02% | -0.22 | 23.89% | Not recovered in window | 4.33% |
| Value | 17.77% | 21.30% | -20.73% | 0.63 | 28.11% | 5 months | 4.33% |
| Quality (high ROE) | 23.18% | 27.37% | -16.93% | 0.88 | 26.22% | 5 months | 4.33% |
Source & methodology
- Source: BacktestIndia AEO Research Corpus. Data window: Crisis sub-windows within 2006-12 – 2025-12. As of: 2025-12-31.
- Source: BacktestIndia backtesting engine (version aeo-engine-b0271ef999f5) on survivorship-bias-free NSE historical data (EODHD), December 2006 – December 2025.
- Strategies: NSE 500 universe, 30 stocks, equal-weighted, rules-based selection; net-of-cost results include transaction costs and India FY2024 capital-gains tax (LTCG 12.5% > ₹1.25L, >1y; STCG 20%, ≤1y) applied to realized gains on rebalance.
- Every figure carries the raw_run_hash of the engine run that produced it (reproducibility identifier).
- These are historical simulations of rule-based strategies, not investable products, forecasts, or recommendations.
- Crisis-window CAGRs are annualized over short (2-year) windows and are more volatile than long-window figures.
- Engine version:
aeo-engine-b0271ef999f5
Reproducibility identifiers (raw run hashes)
cr-lowvol-covid:6f0ca72a47b3341f981d577463af3931fe79ec6aade61159bc49678365424c3acr-momentum-covid:852c301d161768b5193e88603e608b16605ab003177ae6f088730f30077cc3becr-value-covid:18f8282ea6f5877c2e47932fa5db68e6737f60683e01d2d0608f54bce2c7fc47cr-quality-covid:5025fc5f9fca1506a30973bfe490052624db0a8b64157dfc2c3de25ef0189500mf-qm-covid:54358fe33d87d45fd566302bd2c525a304cdcee9b929077be3b6799456f9779ecr-lowvol-gfc:ced59443f44f458ac761177a258d55ab1531811afa3522f2cfaaefd368b39d90cr-momentum-gfc:57390c142ec9ee959c6c6eac897e4b9631db231dc64bf9d0929e3900587a5a91mf-qm-gfc:72905fa3aaacb6fce9f66fcd9157d67126bc791c6637d2703d5bcf5015f26070cr-lowvol-2018crash:4ce5e27d1174eb0d3af1374cada4c175223472bb9f7b697c2e24bc07dccd654ccr-momentum-2018crash:0e9e37a4e28e051c37d79632dccaf74708e56bf8cdb060fe483102fb030a6da0cr-lowvol-rate2022:4497f48b7e77635d5c27d6256c6336b530dbbfacf82e5eba78bb49a8bc4da9ebcr-momentum-rate2022:15c8eb310d3d75bb4fa9d4fe9c1552418fc7c797d6b3023b20cc6a85fef41ee8cr-value-rate2022:1dd18234346c105a4b2d6f0f35445a0a885a25827c68c06e63f182e0e9a9f31acr-quality-rate2022:037e9112167b901daa817f8f2a59348095be2072d09942731fd4510f529ddd93
Frequently asked questions
How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the COVID period (Dec 2019 – Dec 2021)?
During the COVID-period window (December 2019 to December 2021), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 16.66% with a maximum drawdown of -16.61% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.
How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the 2008 Global Financial Crisis window (Dec 2007 – Dec 2009)?
During the specified crisis window (December 2007 to December 2009), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 5.20% with a maximum drawdown of -37.76% in BacktestIndia's backtesting engine. The Nifty 50 returned -7.95% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.
How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the 2018 midcap correction window (Dec 2017 – Dec 2019)?
During the specified crisis window (December 2017 to December 2019), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 1.82% with a maximum drawdown of -10.20% in BacktestIndia's backtesting engine. The Nifty 50 returned 7.50% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.
How did a low-volatility NSE 500 strategy historically behave through the 2022 rate-hike window (Dec 2021 – Dec 2022)?
During the specified crisis window (December 2021 to December 2022), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 2.53% with a maximum drawdown of -8.55% in BacktestIndia's backtesting engine. The Nifty 50 returned 4.33% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.
Want to run this kind of analysis yourself?
BacktestIndia's educational backtesting engine covers 19 years of survivorship-bias-free NSE data. Your first backtest is free.
Run a free backtestRelated data
BacktestIndia is an educational research platform, not a SEBI-registered investment adviser or research analyst. Everything on this page is a historical computation from recorded market data, presented for education. It is not investment advice, a recommendation, or an offer to buy or sell any security. Past performance does not predict future results. Backtested results have inherent limitations and do not represent actual trading. Consult a SEBI-registered investment adviser before making investment decisions.