Table 1.

1 Properties of risk based portfolios

Table 2.1 Performance of NIFTY index over various subperiods
Table 2.2 Descriptive statistics for the full period - 1 January 2001 to 30 June 2014
Table 2.3 Descriptive statistics for subperiods
Table 2.4 Performance Comparison for full period - 1 January 2001 to 30 June 2014
Table 2.5 Performance Comparison for subperiods
Table 2.6: Modified ratios for subperiods with negative excess returns
Table 2.7 Relative performance with respect to the VW benchmark
Table 2.8 Downside risk comparison
Table 2.9: Precision of the covariance matrix forecast
Table 3.1 Descriptive statistics
Table 3.2 Performance of risk-based portfolio strategies with different covariance matrix estimators
Table 3.3 Performance of risk-based portfolio strategies in different market conditions
Table 3.4 The effect of the choice of decay rate on portfolio performance
Table 4.1 Regression of future returns with the diversification measures
Table 4.2 Regression of future standard deviations with the diversification measures
Table 4.3 Regression of future Sharpe ratios with the diversification measures
Table 4.4 Annualized Sharpe ratios of diversification decile portfolios
Table 4.5 Economic value of diversification

List of Figures
Figure 2.1 Optimal shrinkage intensity
Figure 2.2 Capture ratio plot
Figure 4.1 Average cumulative percentage of variance explained by sorted eigenvalues

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96

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82

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