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Fama-French response Aug 14, 2019
Franklin-India-Prima.R_files response Jul 8, 2019
vix-adjusted-momentum-INDIA.R_files response Jul 11, 2019
10-year-yields.R.ipynb response Jul 18, 2019
Franklin-India-Prima.R.ipynb response Jul 8, 2019 response Jul 8, 2019
GOLDBEES-NIFTYBEES.R.ipynb response Aug 14, 2019
Index-constituent-drawdowns.R.ipynb response Aug 15, 2019
Mutual-fund-portfolio-overlaps.R.ipynb response Jul 9, 2019
NASDAQOMX-commodities.R.ipynb response Jul 10, 2019
NIFTY-ALPHA-indices.R.ipynb response Jul 24, 2019
NIFTY50-SMA.R.ipynb response Jul 30, 2019 Update Aug 8, 2019
charting-stocks-with-corporate-actions.R.ipynb response Jul 31, 2019
compare-stock-vs-index.R.ipynb response Jul 22, 2019
gold-nifty50.ipynb response Aug 14, 2019
gold-silver.ipynb response Jun 24, 2019
mutual-fund-drawdown.R.ipynb response Jul 8, 2019
mutual-fund-sector-allocations-BSE.R.ipynb response Jul 8, 2019
mutual-fund-sector-allocations.R.ipynb response Jul 3, 2019
nifty-rolling-returns.R.ipynb response Jun 28, 2019
plotting-currency-futures.R.ipynb response Jul 25, 2019
return-distribution.R.ipynb response Jun 30, 2019
time-series-charts.R.ipynb response Aug 2, 2019
vix-adjusted-momentum-INDIA.R.ipynb response Jul 11, 2019 response Jul 11, 2019
vix-adjusted-momentum-US.R.ipynb response Jul 11, 2019
vix-adjusted-momentum-and-SMA-INDIA.R.ipynb response Jul 11, 2019


notebooks created on pluto


Dollar Indices on the FRED: Explore trade-weighted dollar indices on the FRED and compare other USD currency pairs, like USDINR, with trade-weighted indices.
Currency futures on the NSE: Creating a continuous series out of futures contracts.
An overview of how currency sources on pluto


Gold vs. NIFTY 50: Explore historical returns of gold vs. the NIFTY 50 Total Return (TR) index in dollars.
GOLDBEES vs. NIFTYBEES: Comparision of the two India listed ETFs.
Gold futures listed on MCX: Exploring the plethora of gold futures contracts listed on the MCX.


Rolling Returns: Plot rolling returns over different time-horizons.
SMA On/Off: Toggling market exposure based on a Simple Moving Average.

Statistical distribution of the returns of an index

Density plots and summary statistics.

Plot time-series

ggplot, quantmod are fair game.

Mutual funds vs. Index drawdowns

Do active managers reduce drawdowns during downturns? Top 5 mid-cap funds by AUM at the turn 2017 show that active managers can and do navigate through drawdowns.

Mutual fund sector allocation

A tile plot to visualize sector allocations through time. A caveat: classifications can and do change over time. For example, HDFCBANK was first "BANK" and since March 2018, it is "FINANCIAL SERVICES".
Franklin Prima
Mirae Emerging Blue-chip

Mutual fund sector allocation as per BSE

The Bombay Stock Exchange has its own logic to classifying stocks by sector. It gives a more consistent and granular view of allocations.

Sector allocations of the Franklin Prima Fund

Pie charts of allocations at different periods. Got a bit tricky because the notebook bloted beyond the 1MB limit of github. So now, on exceeding the limit, markdown files with images extracted to separate files is uploaded instead. The big notebook files stays on pluto.

Visualize mutual fund portfolio overlaps with other indices and mutual funds

Use Upset charts for visualizing fund portfolio overlaps.

Fun with NASDAQOMX index data-sets

Explore commodity indices or Indian equity indices in USD

Backtesting a 60/40 Indian equity/bond portfolio

Uses a monthly return series of NIFTY 50 and MIDCAP 100 total-return indices as a stand-in for equities and short-term (< 5 year maturity) government bond total-return index as a stand-in for bonds.

Backtesting an S&P 500 "VIX Adjusted Momentum" strategy

Works mostly because it side-steps some steep drawdowns. However, when the same was tested on NIFTY/INDIA-VIX, it under-performed buy-and-hold. And adding an SMA(50) layer only makes it worse.

Getting to "real" returns

Inflation tends to vary widely through time. To see what "real", i.e., after inflation, returns are, the rate of inflation needs to be subtracted from gross returns.

Yield curves!

Zero-coupon yields vs. Sovereign bond index yields
Plotting the 10-year yields of India, US and Euro-AAAs

Equity time-series

Plotting a stock's price chart with corporate action overlay
Comparing stocks with indices

Tracking FII flows

NSE's "Alpha" Indices charted


Momentum Factor

Introduction: Charting the performance of the long-short academic momentum factor.

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