{"schema":1,"generated_at":"2026-10-08T19:35:19Z","name":"Hierarchical risk parity: 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_gold":"Gold (domestic, rupees)","w_gsec5":"G-sec 5-year (NSE benchmark index)","w_n500":"Nifty 500"}},"dates":["2005-04-29","2005-05-31","2005-06-30","2005-07-29","2005-08-31","2005-09-30","2005-10-31","2005-11-30","2005-12-30","2006-01-31","2006-02-28","2006-03-31","2006-04-29","2006-05-31","2006-06-30","2006-07-31","2006-08-31","2006-09-29","2006-10-31","2006-11-30","2006-12-29","2007-01-31","2007-02-28","2007-03-30","2007-04-30","2007-05-31","2007-06-29","2007-07-31","2007-08-31","2007-09-28","2007-10-31","2007-11-30","2007-12-31","2008-01-31","2008-02-29","2008-03-31","2008-04-30","2008-05-30","2008-06-30","2008-07-31","2008-08-29","2008-09-30","2008-10-31","2008-11-28","2008-12-31","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","2026-10-06"],"series":{"w_gold":[9.15,9.92,12.07,12.62,13.21,11.78,9.94,9.04,5.97,3.99,3.53,3.33,3.16,2.75,1.09,0.98,0.73,0.78,0.87,0.87,0.84,0.86,1.09,1.06,1.07,1.07,1.59,2.08,3.23,3.63,4.14,4.2,3.71,3.38,2.59,2.6,2.01,2.01,2.02,1.98,2.04,2.49,1.82,3.37,2.99,3.81,4.92,4.41,4.7,5.79,5.67,6.18,6.15,6.42,6.54,8.91,7.32,7.06,5.54,5.4,4.87,4.97,3.74,3.34,3.23,3.12,2.96,2.58,2.48,2.97,3.4,3.02,3.46,2.83,3.24,4.08,4.63,2.02,1.83,2.0,2.01,2.37,2.42,2.58,2.58,2.69,2.73,2.67,2.75,3.63,4.74,5.24,4.85,4.7,4.31,4.03,3.91,1.72,1.68,2.39,7.75,7.86,9.73,9.88,9.75,10.63,11.03,10.14,11.08,12.47,14.71,14.36,11.8,10.4,7.66,6.98,5.75,5.86,5.16,4.45,4.64,4.27,4.52,4.8,5.34,3.9,4.35,4.01,4.55,4.05,3.77,3.69,3.78,3.72,3.48,2.17,2.12,2.3,2.26,2.15,2.88,3.84,3.95,4.76,4.11,3.92,4.21,5.28,6.86,6.73,6.42,6.41,6.15,6.22,6.8,7.11,8.49,9.18,10.18,8.86,9.61,10.1,11.33,11.48,11.38,12.43,10.36,10.71,9.99,9.2,8.92,8.79,8.83,6.79,6.91,5.96,6.31,6.43,5.24,4.57,7.62,9.81,12.0,6.25,5.48,5.24,5.71,5.52,5.61,5.21,5.07,5.35,4.39,2.62,2.06,4.32,4.38,4.84,4.08,3.68,3.7,3.96,4.6,3.17,3.07,3.56,5.09,5.41,5.09,5.91,6.02,6.69,7.14,7.39,6.83,6.74,7.19,6.43,4.67,4.33,4.43,3.86,4.12,3.55,3.19,2.89,2.91,3.13,3.04,2.56,2.28,2.26,1.82,1.63,1.44,1.14,0.97,1.07,1.13,1.03,1.04,1.08,1.04,1.06,1.22,1.5,1.39,1.12,1.19,1.44,0.75,0.54,0.56,0.79,0.75,0.87,1.02,0.88,0.96],"w_gsec5":[88.88,87.68,82.26,81.05,80.24,82.5,86.08,87.32,91.49,93.89,93.93,94.07,94.33,95.16,97.95,98.43,98.72,98.62,98.45,98.43,98.46,98.5,98.24,98.22,98.17,98.27,97.55,96.48,94.81,94.57,94.09,94.49,95.04,95.75,96.8,96.78,97.32,97.4,97.39,97.16,97.21,96.73,97.46,95.41,95.63,94.71,93.2,92.99,92.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