AN analysis of the equity returns’ distribution characteristics of nine sectoral indices suggests that the fast moving consumer goods (FMCG) sector is a top performing sector on risk-adjusted returns across all time horizons. Healthcare, autos, banks, and durables deliver higher risk-adjusted returns as compared to the market across most time horizons. Metals, information technology (IT), oil and gas, and capital goods on the other hand are the underperformers on the risk-adjusted return front across all time horizons. Furthermore, metals, IT, oil and gas offer the worst probability of beating the risk-free rate across most time horizons, implying the existence of a fat left tail.