{"schema":1,"generated_at":"2026-10-08T19:35:19Z","name":"Protective asset allocation (PAA2): 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_mid100":"Nifty Midcap 100","w_n50":"Nifty 50","w_next50":"Nifty Next 50","w_small100":"Nifty Smallcap 100"}},"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":[0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.58,0.0,0.0,0.0,0.0,0.0,0.0,32.15,6.92,6.33,31.22,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,34.46,35.02,0.0,7.24,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,31.97,31.32,0.0,0.0,0.0,0.0,33.92,35.12,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.98,35.05,35.0,0.0,33.79,20.55,19.25,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.93,31.79,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,6.39,0.0,6.34,0.0,0.0,0.0,0.0,0.0,6.29,34.03,32.21,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,6.8,0.0,6.57,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,20.2,0.0,6.99,0.0,0.0,0.0,6.81,6.5,20.44,20.78,35.43,0.0,0.0,0.0,0.0,0.0,19.08,32.29,33.62,29.41,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.64,33.9,20.33,0.0,0.0,19.5,0.0,0.0,0.0,0.0,34.98,6.46,0.0,0.0,19.63,31.35,0.0,0.0,0.0,0.0,31.51,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.51,33.85,37.13,0.0,0.0,0.0,0.0,19.64,34.7,20.82,7.27,33.29,34.07,34.36,38.88,19.17,18.89,0.0,20.49,18.21,0.0,0.0,19.85,6.65],"w_gsec5":[0.0,0.0,40.18,0.0,38.23,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,79.82,79.35,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,39.03,38.85,39.81,39.41,37.77,0.0,0.0,0.0,0.0,0.0,0.0,100.0,80.31,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,100.0,39.97,0.0,0.0,100.0,0.0,39.9,38.54,0.0,0.0,0.0,0.0,0.0,100.0,100.0,80.21,80.68,100.0,100.0,100.0,100.0,40.29,0.0,42.12,0.0,0.0,39.45,0.0,38.5,41.15,39.45,40.4,39.41,39.69,40.4,39.67,39.95,40.82,40.86,0.0,40.32,39.51,41.92,80.34,100.0,80.3,80.04,81.68,100.0,100.0,100.0,80.38,0.0,0.0,0.0,0.0,0.0,0.0,40.24,38.44,38.89,39.32,38.83,41.0,40.09,39.15,40.21,0.0,0.0,0.0,0.0,0.0,0.0,0.0,79.13,0.0,80.2,100.0,100.0,42.81,100.0,100.0,100.0,100.0,100.0,100.0,40.18,100.0,80.09,100.0,100.0,100.0,79.41,80.16,39.69,39.92,0.0,100.0,100.0,100.0,100.0,100.0,39.74,0.0,0.0,0.0,0.0,0.0,0.0,40.25,40.2,38.53,38.95,39.05,40.0,39.02,40.19,0.0,0.0,0.0,0.0,39.47,0.0,40.88,100.0,100.0,39.65,40.52,39.08,39.83,0.0,0.0,80.24,100.0,100.0,39.62,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,100.0,100.0,100.0,100.0,39.49,0.0,39.66,79.59,0.0,0.0,0.0,0.0,40.06,42.56,100.0,39.4,40.91,39.62,39.82,40.93,79.81],"w_mid100":[33.34,33.04,19.92,33.83,20.46,33.36,33.62,33.56,33.09,33.57,33.38,32.7,33.28,32.29,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,20.19,20.19,20.13,21.01,33.16,34.42,33.64,33.15,32.7,32.91,0.0,6.21,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,33.56,33.63,33.03,33.79,33.69,33.49,33.03,33.07,33.3,33.46,33.57,33.48,33.99,34.53,33.36,33.21,33.05,33.85,33.08,32.39,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,20.17,32.34,32.52,0.0,0.0,0.0,0.0,33.28,32.98,33.58,33.35,32.45,0.0,0.0,6.53,6.36,0.0,0.0,0.0,0.0,0.0,0.0,19.38,0.0,33.38,20.01,32.77,20.56,19.82,20.35,20.22,20.14,20.34,20.28,20.21,19.86,19.77,19.69,33.59,19.99,20.39,19.66,6.71,0.0,6.71,6.63,6.22,0.0,0.0,0.0,6.65,33.37,34.16,33.67,33.48,33.09,33.74,19.8,20.39,20.5,20.35,20.31,19.46,19.97,20.05,19.73,33.51,32.98,33.48,33.7,33.58,33.34,0.0,0.0,32.42,0.0,0.0,0.0,18.37,0.0,0.0,0.0,0.0,0.0,0.0,19.31,0.0,6.45,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.65,0.0,0.0,0.0,0.0,0.0,0.0,33.39,33.25,35.34,32.92,33.43,33.72,20.04,19.86,20.41,20.46,20.16,19.99,20.68,20.11,33.16,33.0,33.63,33.46,0.0,33.42,19.74,0.0,0.0,20.62,19.86,20.16,19.87,33.64,32.42,6.68,0.0,0.0,20.64,34.39,33.53,33.95,33.56,32.8,34.03,32.99,33.35,32.77,33.34,32.79,33.53,33.39,33.65,33.27,33.48,33.24,0.0,0.0,32.15,0.0,0.0,0.0,0.0,20.42,32.97,19.66,6.55,0.0,32.86,32.69,30.45,20.59,19.55,0.0,20.19,20.35,20.04,20.13,19.29,0.0],"w_n50":[0.0,0.0,0.0,32.11,0.0,0.0,33.5,0.0,33.54,33.46,33.52,33.44,32.46,32.44,36.36,6.68,7.04,34.2,33.43,33.85,33.26,33.06,32.88,33.46,33.23,20.04,0.0,0.0,0.0,0.0,0.0,30.99,0.0,0.0,0.0,0.0,0.0,6.25,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.1,32.98,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.49,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.88,0.0,0.0,0.0,33.14,19.99,20.79,33.4,33.03,32.69,0.0,34.01,0.0,0.0,6.61,6.65,0.0,0.0,0.0,0.0,19.62,33.7,0.0,33.57,32.53,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.27,0.0,20.2,0.0,0.0,0.0,0.0,19.76,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.6,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,33.34,33.64,7.03,34.44,6.7,0.0,0.0,20.08,0.0,0.0,0.0,0.0,0.0,0.0,20.31,0.0,6.47,0.0,0.0,0.0,6.87,6.73,20.12,19.47,0.0,0.0,0.0,0.0,0.0,0.0,21.02,0.0,0.0,0.0,33.49,32.81,31.86,19.94,19.48,20.49,0.0,0.0,0.0,0.0,0.0,32.82,0.0,0.0,34.62,20.68,32.68,0.0,0.0,0.0,20.24,19.87,20.75,20.33,33.19,32.61,6.62,0.0,0.0,20.11,0.0,32.51,32.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,20.45,0.0,19.86,6.58,33.53,33.06,32.95,30.68,20.17,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0],"w_next50":[32.25,33.31,20.01,0.0,19.48,33.87,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,33.36,32.94,33.36,32.91,33.26,33.95,33.74,20.29,20.65,19.82,20.21,21.0,32.91,34.58,31.94,34.14,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,34.33,33.39,32.26,33.75,33.45,33.39,33.06,32.85,33.93,33.34,33.12,33.97,34.04,34.15,32.92,33.44,33.39,33.7,33.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.61,0.0,0.0,33.07,19.56,21.42,33.32,34.0,33.73,33.69,33.54,0.0,0.0,6.65,6.31,0.0,0.0,0.0,0.0,20.16,34.51,19.29,33.02,0.0,19.79,32.41,20.07,20.01,20.42,19.91,20.24,20.45,20.05,20.27,19.98,19.73,19.95,33.61,20.25,20.35,19.93,6.56,0.0,6.64,6.66,6.16,0.0,0.0,0.0,6.68,0.0,0.0,33.28,33.16,33.05,33.87,19.79,20.67,20.14,20.12,20.38,19.89,19.97,20.36,20.11,33.31,32.67,32.99,33.0,33.67,0.0,33.93,7.04,33.14,6.53,0.0,0.0,18.73,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,6.91,6.61,19.76,19.83,0.0,0.0,0.0,0.0,0.0,0.0,20.16,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.94,19.86,20.79,19.7,19.87,0.0,32.66,33.05,0.0,20.21,0.0,19.05,0.0,0.0,0.0,19.75,20.01,19.96,33.17,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.81,33.38,0.0,34.05,33.05,34.8,34.5,33.21,33.94,32.37,33.28,33.28,33.69,32.36,33.95,32.41,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,33.18,0.0,0.0,0.0,0.0,19.01,0.0,19.92,20.53,20.2,19.74,0.0,6.74],"w_small100":[34.41,33.65,19.9,34.06,21.83,32.77,32.88,33.87,33.37,32.97,33.09,33.86,34.26,35.28,31.49,6.58,7.28,34.58,33.22,33.21,33.38,34.04,33.86,32.58,33.03,20.64,20.31,20.18,20.26,20.22,33.94,0.0,34.41,32.71,32.84,32.07,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,34.71,32.46,32.86,33.11,33.91,34.08,32.77,33.2,33.32,32.55,0.0,0.0,33.73,33.35,33.57,32.45,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.48,0.0,0.0,0.0,0.0,0.0,0.0,0.0,32.96,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,19.21,33.4,34.08,20.76,34.82,20.87,19.02,19.77,19.48,20.21,19.52,0.0,19.85,0.0,19.68,19.5,32.8,19.44,0.0,18.5,0.0,0.0,0.0,6.67,5.94,0.0,0.0,0.0,0.0,0.0,33.63,33.04,33.37,33.86,32.39,20.17,20.5,20.47,20.22,20.47,19.66,19.97,20.44,19.95,33.18,34.35,33.53,33.29,32.76,33.32,32.43,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,31.91,0.0,0.0,0.0,0.0,0.0,0.0,34.32,33.12,35.25,33.59,33.77,34.43,19.77,20.46,20.57,20.65,20.93,19.22,20.6,19.82,34.02,34.34,33.32,31.92,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,34.26,33.96,34.05,33.63,33.82,34.46,32.96,33.59,32.43,32.16,34.01,32.53,34.23,33.08,33.45,32.83,34.4,33.54,33.75,30.72,0.0,0.0,0.0,0.0,0.0,32.33,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,20.14,20.31,19.93,6.79]}}