Tools
Countercyclical indexing
Each month-end, equity's share of equity plus government debt is the market value of listed companies over the sum of that and government debt (both as a % of GDP; debt as BIS published it). Hold the inverse: that share in the 5-year G-sec and the rest in the Nifty 500. Trades only when a weight is more than 5 points off target. It holds 62% G-secs, 38% Nifty 500 since Sept 2026. From Apr 2005 it returned 11.0% a year after tax, against 10.8% for its benchmark; its worst fall was −32%.
What it holds now
Target since Sept 2026: 62% G-secs, 38% Nifty 500.
The numbers behind the decision in force, taken 30 Sept 2026.
| Reading | |
|---|---|
| Listed market value, % of GDP | 135.4 |
| Government debt, % of GDP (BIS, as published then) | 83.8 |
| Equity's share of the two, % | 61.8 |
| Equity held: the inverse, % | 38.2 |
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal parts Nifty 500 and 5-year G-secs, rebalanced each January. The benchmark holds the assets the rule chooses from but never switches, so the gap is what the rule's timing added or cost. The marks show when the rule was published and when it entered this library; only the stretch after the second mark is free of hindsight. Deciding on a different day of the month would have changed its return before tax from 10.8% to 11.6% a year.
Countercyclical indexing: growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
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Countercyclical indexing: fall from its previous peak
How to read it. How far each was below its own previous high, weekly: the model as the line, its benchmark as the grey area, so wherever the line sits above the grey the model was falling less. The model's worst fall was −32%, against −30% for its benchmark, on daily closes; the weekly line can look a little shallower.
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Apr 2005 to Oct 2026. Percentages except the Sharpe ratio, turnover and tax cost. Deflated Sharpe ratio against the benchmark: 0.01 (0.95 is the usual bar), counting every rule tried.
| This model | Benchmark | |
|---|---|---|
| Return a year, before tax | 11.5 | 11.3 |
| Return a year, after tax | 11.0 | 10.8 |
| Volatility | 11.1 | 11.0 |
| Worst fall | −31.6 | −29.5 |
| Sharpe ratio | 0.5 | – |
| Average share in equity | 47.0 | – |
| Turnover a year | 0.1 | – |
| Tax cost, points a year | 0.4 | – |
The live log holds 1 sessions; its return differs from today's backtest over the same days by −0.17 points.
| Period | Dates | Total return | A year | More |
|---|---|---|---|---|
| Before the rule was published | Apr 2005 to Dec 2016 | 283.8% | 12.1% | |
| Published, before it entered this library | Dec 2016 to Oct 2026 | 171.1% | 10.7% | |
| Since it entered this library (live) | – | – | – |
As an index: Tipsheet Countercyclical
The same rule published as an index: total return, before any fund cost, trading cost or tax, set to 1,000 at the end of 2006 like every Tipsheet index. Its launch date is 14 Oct 2026, when the rule entered this library; the lighter line before it is back-calculated. Tipsheet indices are reference series for research only: not official indices, not investable, and not advice.
Tipsheet Countercyclical, 1,000 at the end of 2006
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- Rule
- Each month-end, equity's share of equity plus government debt is the market value of listed companies over the sum of that and government debt (both as a % of GDP; debt as BIS published it). Hold the inverse: that share in the 5-year G-sec and the rest in the Nifty 500. Trades only when a weight is more than 5 points off target.
- Rebalancing
- Decided each week; trades only when a weight is more than 5 points off its target.
- Basis
- Total return, before any fund cost, trading cost or tax; 1,000 on 31 December 2006.
- Launch
- 14 Oct 2026. Earlier levels are back-calculated with a rule chosen after that history was known; later ones chain returns written once to a hash-chained log and are never restated.
- Download
- Daily levels, CSV · JSON · every index
What it held
The share of the model in each asset at every month-end.
Countercyclical indexing: holdings at each month-end
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The rule
Each month-end, equity's share of equity plus government debt is the market value of listed companies over the sum of that and government debt (both as a % of GDP; debt as BIS published it). Hold the inverse: that share in the 5-year G-sec and the rest in the Nifty 500. Trades only when a weight is more than 5 points off target.
Roche, Countercyclical Indexing (Discipline Funds): stocks and bonds held at the inverse of their share of the financial asset portfolio. The bond side is government debt at nominal value, without corporate bonds; market value rises with new listings as well as prices. Rule published 2016; entered this library 14 Oct 2026.
Sources
The research this rule comes from. The Indian version substitutes Indian indices for the original assets, as the rule above says.
- Cullen Roche (2016). Countercyclical Indexing. Discipline Funds (white paper).
Graded with the deflated Sharpe ratio of Bailey and López de Prado (2014), counting every rule tried: the pre-registered specification.
The workings
Data
Every chart has a table view, a CSV download and a link to its published JSON. Bundles are listed in data status.