Tools
Factor rotation
Each month, hold equally the two of four factor indices (momentum, quality, value, low volatility) with the best return over months t-12 to t-1; a slot goes to cash when its factor's return is below cash's. It holds 50% Nifty500 Value 50, 50% Nifty200 Momentum 30 since Sept 2026. From May 2006 it returned 9.0% a year after tax, against 13.6% for its benchmark; its worst fall was −51%.
What it holds now
Target since Sept 2026: 50% Nifty500 Value 50, 50% Nifty200 Momentum 30. If the month ended today it would hold Cash.
The numbers behind the decision in force, taken 30 Sept 2026. Cash returned 5.0% over the same months.
| Return, months t−12 to t−1 | |
|---|---|
| Nifty500 Value 50 | 12.2% |
| Nifty200 Momentum 30 | 5.6% |
| Nifty200 Quality 30 | 2.7% |
| Nifty100 Low Volatility 30 | 2.6% |
If the month ended today (6 Oct 2026), these numbers would make it hold cash. Cash: 5.0%.
| Return, months t−12 to t−1 | |
|---|---|
| Nifty500 Value 50 | 2.1% |
| Nifty200 Momentum 30 | −5.5% |
| Nifty100 Low Volatility 30 | −8.1% |
| Nifty200 Quality 30 | −8.9% |
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal weight across the same eligible factors, rebalanced each month. 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 9.7% to 11.7% a year.
Factor rotation: growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
Loading chart…
Factor rotation: 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 −51%, against −60% for its benchmark, on daily closes; the weekly line can look a little shallower.
Loading chart…
May 2006 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 | 9.7 | 14.1 |
| Return a year, after tax | 9.0 | 13.6 |
| Volatility | 18.5 | 20.7 |
| Worst fall | −51.5 | −59.8 |
| Sharpe ratio | 0.3 | – |
| Average share in equity | 77.2 | – |
| Turnover a year | 2.4 | – |
| Tax cost, points a year | 0.7 | – |
The live log starts on the entry date.
| Period | Dates | Total return | A year | More |
|---|---|---|---|---|
| Before the rule was published | May 2006 to Dec 2019 | 250.0% | 9.6% | |
| Published, before it entered this library | Dec 2019 to Oct 2026 | 89.3% | 9.9% | |
| Since it entered this library (live) | – | – | – |
As an index: Tipsheet Factor Rotation
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 8 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 Factor Rotation, 1,000 at the end of 2006
Loading chart…
What it held
The share of the model in each asset at every month-end.
Factor rotation: holdings at each month-end
Loading chart…
The rule
Each month, hold equally the two of four factor indices (momentum, quality, value, low volatility) with the best return over months t-12 to t-1; a slot goes to cash when its factor's return is below cash's.
Factor momentum: Gupta and Kelly (2019); Arnott, Clements, Kalesnik and Linnainmaa (2023). Absolute filter after Antonacci (2012). Factor indices are back-calculated before their launches (2016 to 2020). Rule published 2019; entered this library 8 Oct 2026.
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.