• Prashanth Chikatla
• K. KrishnaChaitanya

This paper analyzes the risk–return dynamics of BSE Broad Market Indices over the period January 2015 to December 2024. Using a comprehensive framework encompassing CAGR, annualized volatility, Sharpe ratio, Treynor ratio, Jensen’s Alpha, CAPM analysis, principal component analysis (PCA), portfolio optimization, and drawdown analysis, the study evaluates the performance of 11 broad indices, including SENSEX, LargeCap, MidCap, and SmallCap. The results indicate that while SmallCap and MidCap indices deliver superior long-term returns, they exhibit higher volatility, whereas SENSEX and LargeCap indices provide stability with moderate returns. Rolling metrics and PCA reveal dynamic behavior across market segments, underscoring the diversification benefits of size-based allocation within the Indian equity market. Portfolio optimization demonstrates that aggressive investors may benefit from higher allocations to mid- and small-cap segments for enhanced returns, while conservative investors may prefer large-cap allocations for stability. The findings contribute to the Indian capital market literature by providing an updated, structured evaluation of broad market indices, aiding informed portfolio construction across varying risk profiles.

BSE Broad Indices; Risk–Return Analysis; Portfolio Optimization; CAPM; PCA; Indian Stock Market; Sharpe Ratio; Jensen’s Alpha

"Risk-Return Dynamics and Portfolio Implications of BSE Broad Market Indices: A Comprehensive Analysis (2015–2024)", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.12, Issue 7, page no.a471-a486, July-2025, Available :http://www.jetir.org/papers/JETIR2507050.pdf

"Risk-Return Dynamics and Portfolio Implications of BSE Broad Market Indices: A Comprehensive Analysis (2015–2024)", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.12, Issue 7, page no. ppa471-a486, July-2025, Available at : http://www.jetir.org/papers/JETIR2507050.pdf