{"schema":1,"name":"Arbitrage funds, median estimated net equity (control), %","meta":{"source":"AMFI daily NAV (all eras), AMFI quarterly scheme AUM; NSE Nifty 50 and Nifty 500 TRI; NSE 5-year G-sec index; disclosed portfolios (Data bank mf_scheme_exposure) for validation","method":"docs/methods/baf.md","spec":"docs/research/baf_equity_spec.md (pre-registered 2026-10-01)","notes":["Estimated net equity = the slope of a fund's daily NAV returns on Nifty 50 TRI returns, with the 5-year G-sec index as a second factor, over the last 60 sessions. It measures sensitivity to the Nifty 50, not a holdings percentage.","Hedges with futures on the same stocks net out, as they should. Mid and small caps, foreign stocks and options make the slope differ from the disclosed net equity.","A 60-session window averages roughly the last three months, so sharp changes show up gradually.","Industry series from 2018-06 (SEBI recategorisation). AUM weights use each scheme's latest quarterly average AUM published at least 45 days earlier."],"unit":"% of NAV (estimated)"},"as_of":"2026-10-05","latest":8.4629,"value_ago":{"1w":6.9117,"1m":5.1151,"1y":-2.4829},"history":{"start":"2018-06-01","observations":2034,"min":-5.8893,"min_date":"2018-06-27","max":8.4629,"max_date":"2026-10-05","median":-1.4562,"percentile_full_history":100.0,"percentile_last_5y":100.0}}