Asness (2017) wrote a short piece in 2017 titled Please Stop Talking About the VIX So Much. He was cautioning about reading too much in the VIX. Figure 1 shows VIX (CBO, 2019) since 1990. In 2020, VIX has scaled new peaks and remains elevated over its long term average. When Asness wrote his...

This paper explores the effects of the number of portfolio holdings and the size of the investment universe on momentum strategies in India. Using mixed linear models, we test hypotheses related to exposure to market, size, and momentum factors, the influence of universe selection on these...

The low-risk anomaly in the Indian equity market is explored using a broad universe of 4,400 companies over 19 years in India. The anomaly is characterised by a strong convex relationship between returns and volatility. We describe the methodology used to construct five low-risk factors using...

We look at the trend of alpha generation among 18 large-cap equity mutual funds in India betweenSeptember 2010 and August 2021. Between September 2013 and December 2017, these schemes, on average, outperformed a NIFTY 50 index tracker fund (average annualised 3-year alpha of 3.22%), but since...