{"schema":1,"generated_at":"2026-10-17T02:09:59Z","name":"GTAA, global equity, ACWI (ETF version): 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":"2026-10-16","n_trials":203,"signal_freshness":{"cape":"2026-08-31","yield_gap":"2026-10-16","pe_n500":"2026-10-16","mcap_gdp":"2026-09-30","govt_debt":"2026-10-01"},"stale_prices":{"ivv_nav_inr":{"last_change":"2026-10-13","sessions_behind":3}},"live_held":{"trend_local":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"trend_global":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gtaa":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gtaa_global":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"dual_momentum":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gem_spx":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"gem_ndx":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"trend_world_ivv":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gtaa_ivv":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gem_ivv":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"trend_world_acwi":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gtaa_acwi":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"gem_acwi":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"size_dm":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"trend_india":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"trend_world":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"size_rotation":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"dyn_alloc":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"one_over_n_india":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"one_over_n_global":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"robust_trend":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"robust_momentum":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"adaptive_allocation":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"countercyclical":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"erc":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"min_variance":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"inverse_vol":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"hrp":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"max_diversification":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"all_weather":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"golden_butterfly":{"to":"2026-10-15","because":{"gold":"2026-10-15"}},"endowment":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"valuation_cape":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"valuation_yield_gap":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"paa":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"daa":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"vaa":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"baa":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"sixty_forty_trend":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"ensemble_equal":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"sixty_twenty_twenty":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}},"sixty_forty":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"ed_65_35":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"ed_50_50":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"ed_25_75":{"to":"2026-10-15","because":{"gsec5":"2026-10-15"}},"permanent":{"to":"2026-10-15","because":{"gold":"2026-10-15"}},"equal_thirds":{"to":"2026-10-15","because":{"gold":"2026-10-15","gsec5":"2026-10-15"}}},"live_rebuilds":[{"id":"2026-10-14-carried-prices","applied_at":"2026-10-14 20:51:44","rows_superseded":273,"last_date_superseded":"2026-10-13","archive":"models_live_log.superseded.2026-10-14-carried-prices.parquet","reason":"From 1 to 13 October 2026 the log was written from a panel that carried the 5-year G-sec forward between weekly fetches and gold forward on evening runs (gold lands after E1), so rows recorded flat prices for days the source had not yet posted. The daily G-sec fetch and the live-log hold fix the cause."}],"notes":["Returns after costs. After-tax figures: resident individual in the 30% slab, Indian capital-gains rules by date, everything sold at the end.","Older index-input versions: 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.","ETF versions: official IVV or ACWI workbook NAVs plus ex-date distributions, before investor tax and withholding; no additional fund expense drag. Execution costs assumed at 0.60% each way. Histories begin only after the fund and signal warm-up.","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), G-secs, the 91-day T-bill, and foreign index or iShares ETF NAV total returns in INR (ECB rates), as specified for each model.","assets":{"w_acwi_inr":"Global equity (iShares ACWI NAV total return, INR)","w_cash":"Cash (91-day T-bill, as a liquid fund)","w_gold":"Gold (domestic, rupees)","w_gsec5":"G-sec 5-year (NSE benchmark index)","w_n500":"Nifty 500"}},"dates":["2009-01-30","2009-02-27","2009-03-31","2009-04-29","2009-05-29","2009-06-30","2009-07-31","2009-08-31","2009-09-30","2009-10-30","2009-11-30","2009-12-31","2010-01-29","2010-02-26","2010-03-31","2010-04-30","2010-05-31","2010-06-30","2010-07-30","2010-08-31","2010-09-30","2010-10-29","2010-11-30","2010-12-31","2011-01-31","2011-02-28","2011-03-31","2011-04-29","2011-05-31","2011-06-30","2011-07-29","2011-08-30","2011-09-30","2011-10-31","2011-11-30","2011-12-30","2012-01-31","2012-02-29","2012-03-30","2012-04-30","2012-05-31","2012-06-29","2012-07-31","2012-08-31","2012-09-28","2012-10-31","2012-11-30","2012-12-31","2013-01-31","2013-02-28","2013-03-28","2013-04-30","2013-05-31","2013-06-28","2013-07-31","2013-08-30","2013-09-30","2013-10-31","2013-11-29","2013-12-31","2014-01-31","2014-02-28","2014-03-31","2014-04-30","2014-05-30","2014-06-30","2014-07-31","2014-08-28","2014-09-30","2014-10-31","2014-11-28","2014-12-31","2015-01-30","2015-02-28","2015-03-31","2015-04-30","2015-05-29","2015-06-30","2015-07-31","2015-08-31","2015-09-30","2015-10-30","2015-11-30","2015-12-31","2016-01-29","2016-02-29","2016-03-31","2016-04-29","2016-05-31","2016-06-30","2016-07-29","2016-08-31","2016-09-30","2016-10-30","2016-11-30","2016-12-30","2017-01-31","2017-02-28","2017-03-31","2017-04-28","2017-05-31","2017-06-30","2017-07-31","2017-08-31","2017-09-29","2017-10-31","2017-11-30","2017-12-29","2018-01-31","2018-02-28","2018-03-28","2018-04-30","2018-05-31","2018-06-29","2018-07-31","2018-08-31","2018-09-28","2018-10-31","2018-11-30","2018-12-31","2019-01-31","2019-02-28","2019-03-29","2019-04-30","2019-05-31","2019-06-28","2019-07-31","2019-08-30","2019-09-30","2019-10-31","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","2026-10-16"],"series":{"w_acwi_inr":[0.0,0.0,0.0,0.0,0.0,25.79,26.15,25.88,24.77,25.11,24.33,25.8,24.64,25.02,25.58,24.67,23.68,0.0,0.0,24.03,0.0,25.31,25.46,25.73,26.62,24.84,24.62,25.3,24.79,24.42,24.01,0.0,0.0,0.0,24.44,25.4,24.47,25.67,26.04,25.22,24.74,25.42,25.21,25.1,24.21,25.29,25.16,25.43,25.33,25.44,25.31,25.17,26.15,25.81,26.43,26.48,25.22,25.15,25.51,25.23,24.69,25.17,24.32,25.19,24.22,25.29,24.89,25.09,24.71,24.38,25.27,25.14,24.01,26.28,25.29,26.23,25.04,24.72,24.99,24.69,0.0,0.0,25.52,24.59,23.98,0.0,0.0,25.06,25.3,24.21,25.14,25.02,24.96,24.9,26.2,25.37,25.43,25.11,24.54,24.94,25.29,25.07,24.98,24.93,25.89,24.88,25.26,24.94,25.63,25.02,24.51,25.62,25.44,25.32,25.63,25.57,26.04,23.47,24.34,0.0,0.0,0.0,24.74,25.84,23.77,0.0,25.07,24.51,25.34,24.96,25.69,25.35,24.76,23.68,23.47,0.0,0.0,24.1,25.13,25.84,24.66,24.74,26.62,25.0,25.49,25.75,25.33,26.15,24.45,25.61,25.1,24.88,24.39,26.11,25.08,25.48,24.05,0.0,0.0,24.19,0.0,0.0,0.0,0.0,0.0,0.0,0.0,24.51,25.82,25.12,24.77,24.93,24.91,25.64,25.28,24.63,24.41,24.64,0.0,25.16,25.2,25.65,25.22,24.07,25.54,25.18,24.99,25.05,24.85,25.02,25.9,24.9,25.65,24.59,23.86,24.66,0.0,25.47,25.75,25.43,25.03,24.93,24.68,25.09,24.92,25.11,25.63,26.64,25.71,25.11,24.9,25.63,25.64,24.92],"w_cash":[49.76,49.0,50.93,50.24,23.23,0.0,0.0,0.0,0.0,0.0,23.68,0.0,0.0,0.0,0.0,0.0,0.0,24.48,25.32,0.0,24.52,0.0,0.0,0.0,0.0,24.66,25.15,0.0,25.17,25.39,24.82,48.07,50.88,49.97,24.7,25.39,24.92,24.77,0.0,0.0,0.0,24.7,0.0,0.0,0.0,0.0,0.0,0.0,0.0,25.39,25.06,49.59,24.63,25.09,49.82,73.52,50.93,49.62,0.0,0.0,0.0,0.0,0.0,24.92,24.4,24.6,25.04,24.71,25.17,24.79,24.65,25.1,24.8,0.0,25.28,25.05,0.0,0.0,24.83,25.68,50.32,75.01,25.36,50.2,50.64,49.09,50.05,24.78,0.0,0.0,0.0,0.0,0.0,0.0,0.0,25.08,49.73,24.85,24.91,24.93,24.74,24.99,24.61,25.15,0.0,0.0,0.0,0.0,0.0,0.0,0.0,24.81,25.02,0.0,24.96,24.64,0.0,50.83,25.62,74.75,49.4,49.93,25.41,0.0,0.0,24.74,0.0,24.27,25.3,0.0,0.0,0.0,0.0,0.0,25.82,49.61,49.97,23.81,24.15,0.0,0.0,0.0,0.0,0.0,0.0,0.0,24.89,24.6,24.64,24.68,24.85,0.0,24.92,24.62,0.0,0.0,0.0,24.91,49.99,0.0,50.75,74.97,74.86,24.92,25.3,49.37,49.64,0.0,0.0,0.0,24.51,24.94,0.0,0.0,0.0,0.0,0.0,25.39,24.46,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,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