新兴市场中的活生生的比亚斯小指数:来自印度NIFTY Smallcap 250的证据

Survivorship Bias in Emerging Market Small-Cap Indices: Evidence from India's NIFTY Smallcap 250

This study quantifies survivorship bias in India's NIFTY Smallcap 250 index using a dataset of 1,437 stocks over nine years (2016-2025). By reconstructing historical index composition through market capitalization ranking and comparing equal-weight portfolios of current constituents versus all historical members, I show that survivor-only backtesting overstates annual returns by 4.94 percentage points (23.3%) and Sharpe ratios by 0.097 (9.1%). The analysis reveals an 82.5% turnover rate, includi