Executive Summary
This study measures how often an ELSS lump-sum holding window ended with a negative annualised return, and how that frequency changes with holding horizon. The sample is daily rolling windows on Direct Growth plans, using point-to-point lump-sum returns.
Findings in the observed windows:
- Loss probability was 18.62% at 1Y (164,462 daily rolling windows across 49 Direct Growth schemes).
- It was 2.97% at 3Y (129,133 windows across 48 schemes) and 0.35% at 5Y (96,764 windows across 41 schemes).
- It was 0.00% at 7Y (66,816 windows across 40 schemes) and at 10Y (30,634 windows across 25 schemes).
zero_loss_horizon_yearsis 7: the shortest tested horizon with no observed loss.- The weakest 7Y window still returned +5.12% CAGR (Union ELSS Tax Saver Fund - Direct Plan - Growth Option, 2013-03-23 to 2020-03-23).
The statutory ELSS lock-in is 3 years from each purchase. At the 3Y horizon, 2.97% of windows still ended with a negative annualised return. These are historical, survivorship-affected observations, not forecasts.
Methodology
Source and metric. Daily NAV history; the return metric is annualised CAGR per window. Windows step daily (calendar), with NAV forward-filled over non-trading days. The number of windows dropped for data gaps was 0.
Data window. The data floor is 2013-01-01 (Direct plans launched Jan 2013). Window start dates run from 2013-01-01 to each horizon's data_end: 2025-10-01 (1Y), 2023-10-01 (3Y), 2021-10-01 (5Y), 2019-10-01 (7Y) and 2016-10-01 (10Y). No claims are made about earlier periods.
Plan selection. Direct plan, Growth option, 1 series per scheme. 23 schemes were excluded because they have no Direct Growth plan.
Universe and survivorship bias. The universe is currently active schemes only (survivorship bias: closed or merged schemes are excluded). Surviving schemes can look better than the full historical set, so the loss frequencies below may understate losses a wider universe would have recorded.
Category label. The category label reflects the current SEBI classification, and earlier windows use today's membership.
Window and scheme counts. Each window_count is the number of daily N-year rolling windows pooled across the stated number of Direct Growth schemes. Scheme counts fall as horizons lengthen (49 at 1Y, 25 at 10Y), so each horizon draws on a different set of schemes. Daily windows overlap heavily and are not independent observations.
The data are internally validated. Other holding periods were not tested.
Loss Probability by Holding Horizon
| Horizon | Daily rolling windows | Direct Growth schemes | Loss probability |
|---|---|---|---|
| 1Y | 164,462 | 49 | 18.62% |
| 3Y | 129,133 | 48 | 2.97% |
| 5Y | 96,764 | 41 | 0.35% |
| 7Y | 66,816 | 40 | 0.00% |
| 10Y | 30,634 | 25 | 0.00% |
Loss probability is the share of windows with a negative annualised return. It declines at each tested step and reaches 0.00% at 7Y, which is the zero-loss horizon in this sample. The 10Y figure is also 0.00%.
Return Distribution by Horizon
| Horizon | 5th percentile | Median | 95th percentile | Worst window | Windows above 6.0% threshold |
|---|---|---|---|---|---|
| 1Y | -10.14% | 12.38% | 62.10% | -46.91% | 65.16% |
| 3Y | 3.62% | 17.15% | 30.44% | -19.07% | 92.71% |
| 5Y | 6.75% | 16.39% | 28.13% | -6.29% | 96.15% |
| 7Y | 10.30% | 15.26% | 21.02% | 5.12% | 99.97% |
| 10Y | 12.16% | 15.41% | 20.16% | 8.66% | 100.0% |
The 6.0% threshold is the RBI CPI upper tolerance band used as the inflation threshold in the methodology. Standard deviation of annualised returns is 23.26 at 1Y, 8.45 at 3Y, 6.54 at 5Y, 3.23 at 7Y and 2.63 at 10Y. The spread of outcomes narrows as the horizon lengthens in this sample. The data cannot show why.
The 3-Year Lock-In Versus the 7-Year Line
Per the snapshot's regulatory facts, ELSS units carry a mandatory lock-in of 3 years from each purchase (ELSS Notification 2005, Ministry of Finance). The 3Y horizon is the shortest holding period that matches the lock-in length. Across 129,133 windows and 48 schemes, 2.97% of these ended with a negative annualised return.
The weakest 3Y window was -19.07% CAGR (Sundaram Long Term Micro Cap Tax Advantage Fund Series IV Direct Plan - Growth, 2017-03-30 to 2020-03-30). The weakest 5Y window was -6.29% CAGR (Nippon India ELSS Tax Saver Fund - Direct Plan Growth Plan - Growth Option, 2015-03-23 to 2020-03-23). At 7Y the weakest window was +5.12% CAGR, and at 10Y it was +8.66% (Nippon India ELSS Tax Saver Fund, 2015-03-03 to 2025-03-03).
Loss Probability by Start Year
Loss frequency varied sharply with the calendar year in which a window began.
| Start year | 1Y loss probability | 3Y loss probability | 5Y loss probability | 7Y loss probability |
|---|---|---|---|---|
| 2013 | 2.51% | 0.00% | 0.00% | 0.00% |
| 2015 | 39.34% | 0.00% | 4.01% | 0.00% |
| 2016 | 0.08% | 0.83% | 0.00% | 0.00% |
| 2017 | 24.20% | 30.86% | 0.00% | 0.00% |
| 2018 | 48.94% | 4.30% | 0.00% | 0.00% |
| 2019 | 46.12% | 0.00% | 0.00% | 0.00% |
Of the 3Y start years in the snapshot, 2017 showed the highest loss probability (30.86%). The 5Y losses were concentrated in 2015 starts (4.01%). 7Y windows started between 2013 and 2019, and 10Y windows between 2013 and 2016. Every 7Y start year showed 0.00%.
Limitations
- Survivorship. Only currently active schemes are included; closed or merged schemes are excluded.
- Limited start-date span. The 7Y and 10Y results rest on window start dates from 2013 to 2019 (7Y) and 2013 to 2016 (10Y). These long-horizon windows overlap and cover a narrow range of calendar paths.
- Changing scheme set. Scheme counts differ by horizon, so horizon-to-horizon comparisons mix different sets of schemes.
- Lump-sum only. Every statistic is a lump-sum, point-to-point return.
- No causal inference. The snapshot describes frequencies and cannot establish why loss frequency declines with horizon.
- Not a forecast. A 0.00% loss probability describes the observed windows and does not describe future outcomes.
Data Integrity Statement
All figures come from the internally validated FundSageAI Quant Snapshot generated on 2026-10-05, built on daily NAV history for currently active ELSS Direct Growth schemes from 2013-01-01. No figures were added from outside the snapshot, and no derived statistics were introduced. Regulatory references are limited to the snapshot's regulatory facts.
This is educational content, not investment advice; consult a SEBI-registered investment adviser.