Factor Portfolios Based on Margins Underperform Nifty in Most Periods

Performance tearsheet: margins-based profitability measures.

Based on quantitative backtests. Universe: Top Quartile of NSE Companies by Market Cap, financials excluded. Backtest period: Since July 2007. CAGR, Volatility, and Sharpe annualized. Returns are after transaction costs, and are calculated on a pre-tax basis. Dividends reinvested.
Chart: CapitalmindSource: Capitalmind, Dataset: FactSet