{"schema":1,"generated_at":"2026-10-14T18:04:36Z","name":"Robust equity momentum: 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":"2026-10-14","n_trials":197,"signal_freshness":{"cape":"2026-08-31","yield_gap":"2026-10-14","pe_n500":"2026-10-14","mcap_gdp":"2026-09-30","govt_debt":"2026-10-01"},"stale_prices":{},"live_held":{"trend_local":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"trend_global":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"gtaa":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"gtaa_global":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"dual_momentum":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"trend_india":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"trend_world":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"one_over_n_india":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"one_over_n_global":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"robust_trend":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"adaptive_allocation":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"erc":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"min_variance":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"inverse_vol":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"hrp":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"max_diversification":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"all_weather":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"golden_butterfly":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"endowment":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"paa":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"daa":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"vaa":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"baa":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"ensemble_equal":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"sixty_twenty_twenty":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"permanent":{"to":"2026-10-13","because":{"gold":"2026-10-13"}},"equal_thirds":{"to":"2026-10-13","because":{"gold":"2026-10-13"}}},"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.","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_gsec5":"G-sec 5-year (NSE benchmark index)","w_mid150":"Nifty Midcap 150","w_n100":"Nifty 100","w_small250":"Nifty Smallcap 250","w_spx_inr":"S&P 500 in rupees (price index)"}},"dates":["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","2026-10-14"],"series":{"w_gsec5":[0.0,0.0,36.59,12.51,0.0,0.0,0.0,0.0,0.0,0.0,12.89,25.14,12.51,0.0,0.0,0.0,12.11,0.0,0.0,0.0,0.0,12.68,36.1,75.01,37.47,25.4,100.0,100.0,87.46,76.46,100.0,100.0,100.0,100.0,87.81,74.83,37.48,24.34,24.65,0.0,0.0,0.0,0.0,0.0,0.0,0.0,12.47,0.0,0.0,25.05,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,12.14,0.0,12.5,49.36,25.65,87.26,100.0,0.0,25.09,0.0,0.0,0.0,0.0,0.0,0.0,12.29,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,12.45,0.0,0.0,0.0,0.0,49.97,62.48,12.55,12.52,0.0,100.0,50.16,24.97,25.11,37.57,12.33,0.0,0.0,0.0,0.0,12.48,12.51,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,24.82,12.52,0.0,0.0,0.0,0.0,0.0,12.3,61.87,50.01,62.3,12.51,12.3,0.0,12.59,12.67,12.51,0.0,12.51,0.0,0.0,0.0,0.0,0.0,100.0,87.2,24.56,12.39,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,12.28,0.0,24.98,49.99,24.79,24.93,87.51,100.0,49.51,12.33,0.0,25.01,0.0,12.38,37.66,37.39,49.51,12.53,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,37.59,50.12,0.0,0.0,0.0,0.0,0.0,0.0,12.18,0.0,0.0,0.0,37.4,0.0,0.0,0.0,0.0,0.0,0.0,0.0],"w_mid150":[0.0,0.0,0.0,0.0,0.0,0.0,24.98,0.0,25.06,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,25.22,25.24,75.55,50.1,50.08,74.89,100.0,49.9,0.0,0.0,49.78,0.0,62.42,75.08,50.37,50.16,100.0,50.06,25.12,25.42,0.0,0.0,0.0,24.37,12.65,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,24.13,0.0,0.0,12.82,0.0,0.0,25.48,0.0,51.08,100.0,50.24,24.26,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0,24.9,25.51,25.16,50.16,75.07,62.4,25.48,50.19,75.46,75.29,50.03,37.52,62.15,25.04,0.0,0.0,0.0,0.0,0.0,12.51,12.66,0.0,50.11,74.9,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