The links below will redirect you to our Current holding of our two hypothetical portfolio, Long Fama French Factor replicating portfolio and Short Fama French Factor replicating portfolio, both of which have an Initial Capital of Rs. 25 Million. The allocation to different Factors, namely HML, SMB and WML has been done in the ratio of 2:2:1, thus allocating Rs. 10 Million to each HML and SMB whereas allocating Rs. 5 Million to WML.
The positions are as of the end of September when we rebalance our portfolio. Please note, however, the most recent sorting, which was done on 2017-06-30, includes stocks which are now merged, suspended or delisted and thus have been left blank in the tables. Also, due to missing Book-to-Market data for some stocks, the two-way sorting in SMB includes less number of small stocks than big stocks.
You can also download the Excel Spreadsheet (.xlsx) containing the Positions by clicking here
We are also currently tracking our Long only SMB factor replicating portfolio with an initial balance of approximately INR 10 Million from September
29 onwards using the closing positions (same as above) on September 29 after rebalancing. The details of the total loss/gain and holdings can be found
here. We update the website, the Short Availabilities and the Total Gain/Loss post September 29
every Friday at 9:00 am EST.
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