Tools
Defensive asset allocation (DAA)
Canaries Smallcap 100 and the 5-year G-sec: each with negative 13612W momentum moves half the portfolio to the better of G-sec and cash. The rest goes equally to the top 2 of Nifty 50, Next 50, Midcap 100 and gold by 13612W. It holds 50% gold, 50% Next 50 since Sept 2026. From Apr 2005 it returned 13.0% a year after tax, against 14.3% for its benchmark; its worst fall was −45%.
What it holds now
Target since Sept 2026: 50% gold, 50% Next 50. If the month ended today it would hold 50% gold, 50% Midcap 100.
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal parts Midcap 100, Nifty 50, Nifty Next 50, Smallcap 100, gold 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 13.3% to 18.9% a year.
Defensive asset allocation (DAA): growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
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Defensive asset allocation (DAA): fall from its previous peak
How to read it. How far each was below its own previous high, weekly. The model's worst fall was −45%, against −43% 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: 0.00 (0.95 is the usual bar), counting every rule tried.
| This model | Benchmark | |
|---|---|---|
| Return a year, before tax | 14.9 | 15.0 |
| Return a year, after tax | 13.0 | 14.3 |
| Volatility | 16.3 | 15.5 |
| Worst fall | −45.1 | −43.1 |
| Sharpe ratio | 0.5 | – |
| Average share in equity | 67.9 | – |
| Turnover a year | 5.0 | – |
| Tax cost, points a year | 1.8 | – |
The live log holds 2 sessions, 1 of them filled in after the day; its return differs from today's backtest over the same days by 3.07 points.
| Period | Dates | Total return | A year | More |
|---|---|---|---|---|
| Before the rule was published | Apr 2005 to Dec 2018 | 451.4% | 13.2% | |
| Published, before it entered this library | Dec 2018 to Oct 2026 | 256.2% | 17.8% | |
| Since it entered this library (live) | Oct 2026 to Oct 2026 | 0.7% | – |
What it held
The share of the model in each asset at every month-end.
Defensive asset allocation (DAA): holdings at each month-end
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The rule
Canaries Smallcap 100 and the 5-year G-sec: each with negative 13612W momentum moves half the portfolio to the better of G-sec and cash. The rest goes equally to the top 2 of Nifty 50, Next 50, Midcap 100 and gold by 13612W.
Keller and Keuning (2018), Breadth momentum and the canary universe. Rule published 2018; entered this library 2 Oct 2026. It is the portfolio lab's rule, unchanged.
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.