Analyzing the 130/30 Long-Short Strategy in Indian Stocks: A Comparative Study Using Sensex 30 and Benchmark Returns

Abstract

This study investigates the effectiveness of the 130/30 long-short strategy within the Indian Stock market, utilizing a sample of 30 stocks from the Sensex Index. By analyzing historical data from April 2019 to March 2024, the research evaluates the strategy’s performance against benchmark returns through various metrics, including Holding Period Return, Sharpe Ratio, and Information Ratio. The findings reveal that while the strategy can outperform benchmarks in certain market conditions, it also exhibits vulnerabilities during downturns, leading to rejecting the null hypothesis.