Category: Collections

Curated list of posts on a specific topic.

Volatility

Introduction

Historical volatility and implied volatility.
Read: Part I, Part II

Nifty volatility

Density plots of historical volatility over different horizons.
Read: NIFTY Volatility, Historical Perspective
Charts that are updated often: Volatility and VIX Charts

Dollar ETF volatilities

When you convert Indian indices to dollars, their volatility profile changes.
Read: INDA vs. SPY Observed Volatility

VIX – Implied Volatility Index

Do VIX indices across markets have any relationship with each other?
Read: India VIX vs. SPX VIX

Can a simple VIX based trading strategy avoid market losses?
Read: Macro Volatility and the NIFTY 50, VIX and Equity Index Returns, Part I, Part II.

Can VIX be predicted using a simple model?
ARMA + GARCH to Predict VIX

Asset Allocation

Introduction

How does an equity/bond 2-asset portfolio look like?
Read: Allocating a Two-Asset Portfolio

A three asset portfolio

Indian midcaps + bonds with Nasdaq-100 ETF. Is there a benefit to using portfolio optimization algorithms after taxes and transaction costs are taken into account?
Read: Allocating a Three-Asset Portfolio, Equal Weighted and Allocating a Three-Asset Portfolio, Optimized

Adding gold into the mix

Does gold have a role to play in a systematic, diversified portfolio?
Read: Allocating a Four-Asset Portfolio

Investing in a systematic, diversified portfolio

A ready-to-invest Theme, the EQUAL-III, that takes care of keeping track of everything.
Read: The EQUAL-III Theme

Expected Returns

What are the range of expected SIP returns under prudent asset allocation schemes?
Read: SIP: Expected Returns

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