In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...

In this research note we investigate whether short-horizon, statistical arbitrage style alpha factors perform differently in different environments. In particular it is often said that stat arb strategies are “long vol” in the sense that they profit when market level volatility measures are...

This paper gives the reader a tool to handle the current crisis faced by the microfinance industry in Andhra Pradesh, India. Microfinance has gained importance in the Indian and the global economy. This paper highlights the reason for this importance and its success while tracking the evolution...