Category: Collections

Curated list of posts on a specific topic.

Lumpsum or SIP?

Introduction

What are the return profiles of dollar cost averaging (DCA or SIP) vs. one-time (lumpsum) investing?
Read: Lumpsum vs. Dollar Cost Averaging (SIP)

Thinking in probabilities

If you model the returns, how do returns and losses look across lumpsum and SIP investing?
Read: Lumpsum vs. SIP: Thinking in Probabilities

It all depends on when you start and stop

Shuffling returns to generate alternate universes.
Read: The Path Dependency of SIP Returns

Buying the Dip

Introduction

We often hear about “buying the dip.” What exactly is a dip? Is buying the dip better than a daily SIP?
Read: introduction

Using drawdowns to time purchases

What happens if you buy an index only when it is trading 10% below its previous 100-day peak?
Read: Systematic Buy-the-Dip

Using SMA crosses to time purchases

When a lower SMA (say, 3-day) crosses an upper SMA (say, 200-day) an uptrend is identified. What if one only buys when such a crossover occurs?
Read: Systematic Buy-the-Dip, SMA crosses

SIP frequency

Which one is better? Daily SIP or monthly SIP?
Read:StockViz: Daily vs. Monthly SIP

USDINR and Dollar Indices

Introduction

The FRED publishes the following indices along with USDINR (DEXINUS):
DTWEXB: Trade Weighted U.S. Dollar Index: Broad
DTWEXM: Trade Weighted U.S. Dollar Index: Major Currencies
DTWEXO: Trade Weighted U.S. Dollar Index: Other Important Trading Partners

Can the spread between USDINR and these indices be traded?

Introduction: Part I, Part II

Back-test on daily returns

Should you bet on convergence, divergence of momentum?
Read: Part III

Back-test on weekly returns

Does the daily-return series analysis carry through to weekly returns?
Read: Part IV

Market Cap Deciles

Introduction

Quantitative deciling of stocks based purely on market-cap makese sense.
Read: Market Cap Deciles

Exhibits

Some charts and observations on the different deciles.
Read: II and III.

Investing

Investing in deciles through Themes.
Read: Investing in Micro-caps

Mutual fund portfolio

The number and total weightage of stocks in a mutual fund portfolio belonging to different deciles.
Read: Fund Portfolios and Market Cap Deciles
See: Overlap Tool

Pair Trading

Linear regression

Examining linearity between two stocks – linear regression and interpreting results.
Read: Relationship between a pair of stocks

Co-integration

How do you conclude that a pair of stocks move together?
Read: Bank Nifty vs. HDFC Bank and ICICI Bank

Finding Pairs

Correlation, spreads and co-integration.
Read: Finding Pairs to Trade

Hedge ratio

Hedge ratios, spreads and significance.
Read: The Bank Nifty – ICICI Bank Pair

A pair trading strategy

A simple trading strategy: buy the spread if it is one standard deviation below the average and sell the spread if its is one standard deviation above the average.
Read: Backtesting a Pair Trading Strategy