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Stream/Area:
-
Subject:
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Paper ID:
IJSREM67926
Volume:
10 |
10 |
Oct 2026
Pages:
1-12
Publication Frequency:
Monthly (12 issues per year)
License:International Journal of Scientific Research in Engineering and Management follows the Creative Commons Attribution 4.0 (CC BY 4.0) License, allowing free use and distribution with proper attribution.
Bachelor of Business Administration
Koneru Lakshmaiah University
Bachelor of Business Administration
Koneru Lakshmaiah University
The two pillars of equity investment decision making are risk and return, while sectoral indices denote the performance of different segments of the Indian economy in response to policy, regulatory and macroeconomic changes. This study compares the risk-return profile of three Nifty sectoral indices (Nifty Bank, Nifty IT and Nifty Pharma) over two periods of the National Democratic Alliance (NDA) government: Period 1, 2014–2018 (five years, 60 monthly returns), and Period 2, 2019–2026 (eight calendar years, 93 monthly returns up to September 2026), 13 calendar years in all. The study is based on secondary data released by NSE Indices Limited and is benchmarked on the Nifty 50. Average return, compound annual growth rate (CAGR), variance, standard deviation and the Sharpe ratio are calculated for each index and period, and differences between periods are tested using the Welch t-test, the F-test, the Mann-Whitney U test and a Sharpe-ratio z-test. Rolling correlation is used to examine the risk-return relationship, the market model is used to estimate sensitivity to the Nifty 50, and a regression on the CBOE VIX examines the effect of global volatility. In Period 1, Nifty Bank earned the highest CAGR (18.99%) and the highest Sharpe ratio (0.60), while Nifty Pharma's Sharpe ratio was negative (−0.11); in Period 2, Nifty Pharma led on both (CAGR 15.14%, Sharpe ratio 0.52) and Nifty Bank's CAGR fell to 9.44%, below that of the Nifty 50 (9.93%). The differences in mean return and Sharpe ratio between the periods are not significant for any index, and only the variance of Nifty IT rose significantly (F-test p = 0.016). The rolling risk-return correlation is significant only for Nifty IT in Period 1 and only for Nifty Pharma in Period 2. Nifty Bank has a beta above one in both periods (1.33 and 1.25), while Nifty Pharma's relationship with the market, not significant in Period 1, becomes significant in Period 2 (β = 0.62). A rise in the CBOE VIX has a significant negative effect on Nifty Bank in both periods and on all three indices in Period 2. The study shows that the leadership among the three sectors changed between the two periods while the market sensitivity of each sector changed only partly.
KEYWORDS
Average return, CAGR, variance, standard deviation, correlation and regression were used to compare the risk and return of Nifty Bank, Nifty IT and Nifty Pharma during Period 1 (2014–2018) and Period 2 (2019–2026) of the NDA government. Nifty Bank led on return and risk-adjusted performance in 2014–2018 (CAGR 18.99%, Sharpe ratio 0.60), whereas Nifty Pharma led in 2019–2026 (CAGR 15.14%, Sharpe ratio 0.52) after a negative Sharpe ratio in 2014–2018. Even so, the differences in mean return and Sharpe ratio between the periods are not statistically significant for any index, and only the variance of Nifty IT increased significantly. Nifty Bank's sensitivity to the market and to global volatility was similar in both periods, while Nifty IT and Nifty Pharma became more closely tied to the market and more sensitive to global volatility in 2019–2026. The results indicate that the leadership among sectors changes over time while the statistical evidence of change in the average level of return is weak. The study therefore provides a comparison of Indian sectoral indices across two periods of NDA government and a basis for further research on additional sectors, a wider set of macroeconomic variables and more sophisticated volatility modelling.
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Publication Date
10/13/2026
Peer Review Type
Double-Blind Peer Review
Review Rounds: 2
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