{"schema":1,"generated_at":"2026-10-08T19:35:19Z","name":"Factor rotation (factors counted from launch): holdings at each month-end","resolution":"month-end","meta":{"spec":"docs/research/models_v1_spec.md","disclaimer":"Rules registered in advance and tracked in public. Not investment advice: a model's holdings describe what its rule says, not what anyone should buy. Backtests before a model's entry date are not evidence of future results.","as_of":"2026-10-06","n_trials":191,"signal_freshness":{"cape":"2026-08-31","yield_gap":"2026-10-08","pe_n500":"2026-10-08"},"notes":["Returns after costs. After-tax figures: resident individual in the 30% slab, Indian capital-gains rules by date, everything sold at the end.","Foreign legs: S&P 500 and Nasdaq-100 price indices in rupees, held through LRS (0.60% each way, 0.10% a year), one session behind the NSE close.","dsr_* is the deflated Sharpe ratio over all counted trials; 0.95 is the usual bar."],"source":"tipsheet models, computed from NSE total-return indices, domestic gold (World Gold Council), the NSE 5-year G-sec index, the 91-day T-bill, and for foreign legs the S&P 500 and Nasdaq-100 in rupees (ECB rates).","assets":{"w_cash":"Cash (91-day T-bill, as a liquid fund)","w_lv100":"Nifty100 Low Volatility 30","w_mom200":"Nifty200 Momentum 30","w_qual200":"Nifty200 Quality 30","w_val500":"Nifty500 Value 50"}},"dates":["2019-11-29","2019-12-31","2020-01-31","2020-02-28","2020-03-31","2020-04-30","2020-05-29","2020-06-30","2020-07-31","2020-08-31","2020-09-30","2020-10-30","2020-11-27","2020-12-31","2021-01-29","2021-02-26","2021-03-31","2021-04-30","2021-05-31","2021-06-30","2021-07-30","2021-08-31","2021-09-30","2021-10-29","2021-11-30","2021-12-31","2022-01-31","2022-02-28","2022-03-31","2022-04-29","2022-05-31","2022-06-30","2022-07-29","2022-08-30","2022-09-30","2022-10-31","2022-11-30","2022-12-30","2023-01-31","2023-02-28","2023-03-31","2023-04-28","2023-05-31","2023-06-30","2023-07-31","2023-08-31","2023-09-29","2023-10-31","2023-11-30","2023-12-29","2024-01-31","2024-02-29","2024-03-28","2024-04-30","2024-05-31","2024-06-28","2024-07-31","2024-08-30","2024-09-30","2024-10-31","2024-11-29","2024-12-31","2025-01-31","2025-02-28","2025-03-28","2025-04-30","2025-05-30","2025-06-30","2025-07-31","2025-08-29","2025-09-30","2025-10-31","2025-11-28","2025-12-31","2026-01-30","2026-02-27","2026-03-30","2026-04-30","2026-05-29","2026-06-30","2026-07-31","2026-08-31","2026-09-30","2026-10-06"],"series":{"w_cash":[0.0,0.0,100.0,0.0,0.0,100.0,100.0,100.0,100.0,100.0,0.0,49.98,100.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,100.0,51.28,48.31,100.0,49.95,0.0,51.02,0.0,48.69,50.24,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,100.0,49.78,49.38,100.0,100.0,100.0,100.0,100.0,0.0,0.0,0.0,0.0,0.0,50.12,50.67,50.03,50.62,51.14,0.0],"w_lv100":[50.26,49.81,0.0,49.88,49.88,0.0,0.0,0.0,0.0,0.0,49.89,0.0,0.0,49.47,49.99,50.81,49.62,49.61,49.29,49.74,49.66,52.01,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,49.23,0.0,0.0,0.0,0.0,0.0,50.04,0.0,49.87,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,49.89,0.0,50.22,50.62,0.0,0.0,0.0,0.0,0.0,49.26,48.66,48.21,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0],"w_mom200":[0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,47.97,50.31,50.97,50.72,47.49,49.83,50.59,49.05,50.13,49.73,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,49.72,49.32,50.39,49.25,49.82,49.9,48.91,49.75,50.24,50.75,49.05,50.8,50.21,49.6,50.45,50.22,49.77,49.97,50.26,47.88,50.46,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,49.89,0.0,0.0,0.0,0.0,0.0,50.3],"w_qual200":[49.74,50.19,0.0,50.12,50.12,0.0,0.0,0.0,0.0,0.0,50.11,50.02,0.0,50.53,50.01,49.19,50.38,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,49.54,50.11,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,50.27,0.0,0.0,0.0,0.0,0.0,0.0,0.0],"w_val500":[0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,50.39,50.71,50.26,50.34,47.99,52.03,49.69,49.03,49.28,52.51,50.17,49.41,50.95,49.87,50.27,50.77,0.0,48.72,51.69,0.0,50.05,49.96,48.98,50.13,51.31,49.76,50.28,50.68,49.61,50.75,50.18,50.1,51.09,50.25,49.76,49.25,50.95,49.2,49.79,50.4,49.55,49.78,50.23,50.03,49.74,52.12,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,50.74,51.34,51.79,49.73,50.11,49.88,49.33,49.97,49.38,48.86,49.7]}}