Tools
Dual momentum, US large caps, IVV (ETF version)
If the Nifty 500 beats cash over 12 months, hold whichever of Nifty 500 and US large caps through iShares IVV has the stronger 12-month return; otherwise hold 5-year G-secs. Its latest target is G-secs since Mar 2026. From Apr 2005 it returned 12.2% a year before investor tax, against 15.1% for its benchmark; its worst fall was −45%. ETF distributions are reinvested on ex-date before investor withholding and income taxes. An after-tax result is not modelled.
What it holds now
Target since Mar 2026: G-secs.
The numbers behind the decision in force, taken 30 Sept 2026.
| 12-month return | |
|---|---|
| Nifty 500 | −2.0% |
| US large caps (iShares IVV NAV total return, INR) | 26.0% |
| Cash (91-day T-bill, as a liquid fund) | 5.4% |
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal parts Nifty 500 and US equity (IVV), rebalanced each January. The gap can reflect asset allocation, risk exposure, rebalancing and timing; this comparison alone does not isolate timing skill. The marks show when the rule was published and when it entered this library; the record after entry is tracked separately. Deciding on a different day of the month would have changed its return before tax from 10.2% to 14.0% a year.
Dual momentum, US large caps, IVV (ETF version): growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
Loading chart…
Dual momentum, US large caps, IVV (ETF version): 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 −45%, against −50% for its benchmark, on daily closes; the weekly line can look a little shallower.
Loading chart…
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 | 12.2 | 15.1 |
| Volatility | 14.8 | 14.6 |
| Worst daily fall, before tax | −45.1 | −50.2 |
| Sharpe ratio | 0.4 | – |
| Average share in equity | 64.5 | – |
| Turnover a year | 3.1 | – |
Backtests and recorded returns
No frozen paper record is available in this release. Returns shown here are recomputed backtests, after costs and before tax.
| Period and basis | Dates | Total return, before tax | A year | More |
|---|---|---|---|---|
| Before the source rule was published (backtest) | 1 Apr 2005 to 31 Dec 2012 | 178.8% | 14.1% | |
| After source publication, before library entry (backtest) | 31 Dec 2012 to 13 Oct 2026 | 328.7% | 11.1% | |
| Since library entry (recomputed backtest) | – | – | – |
What it held
The share of the model in each asset at every month-end.
Dual momentum, US large caps, IVV (ETF version): holdings at each month-end
Loading chart…
The rule
If the Nifty 500 beats cash over 12 months, hold whichever of Nifty 500 and US large caps through iShares IVV has the stronger 12-month return; otherwise hold 5-year G-secs.
ETF-input amendment: docs/research/models_etf_spec.md. Same signal parameters as the corresponding registered rule. Issuer NAV total returns in INR, with distributions reinvested on ex-date. Before investor tax and dividend withholding; NAV is not an executable quote. Fund expenses are already included; assumed execution costs are 0.60% each way. No pre-inception extension. ACWI includes India, so its exposure overlaps the domestic leg where used. Rule published 2012; entered this library 17 Oct 2026.
Sources
The research this rule comes from. The Indian version substitutes Indian indices for the original assets, as the rule above says.
- Gary Antonacci (2012). Risk Premia Harvesting Through Dual Momentum. SSRN working 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.