Assets › arbitrage
Arbitrage Funds
Below 12% forward floor — included only for diversification, excluded from optimizer by default.
Fwd expected return 6.5%
Annualised volatility 2.0%
Sleeve arbitrage
Below floor Below 12%
Historical CAGR — trailing (not forward estimates)
| 3Y | 5Y |
|---|---|
| 7.0% | 6.2% |
Trailing figures are inflated by the 2020-2025 bull market. Forward estimate (6.5%) is used for optimization.
Risk notes
Cash-vs-futures carry, equity-taxed, near-zero drawdown. ~6-7% forward, compresses when volatility is low. Ballast/liquidity, not growth. Confirmed across Value Research/ICICIdirect/MySIPonline.
Primary source →