Tools
GTAA, global equity, ACWI (ETF version)
Four equal sleeves: Nifty 500, developed and emerging global equity through iShares ACWI, 5-year G-secs and gold. Hold a sleeve above its 10-month average at month-end; otherwise hold cash. Its latest target is 25% Global equity (ACWI), 25% G-secs, 50% cash since Sept 2026. From Jan 2009 it returned 10.4% a year before investor tax, against 13.2% for its benchmark; its worst fall was −11%. 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 Sept 2026: 25% Global equity (ACWI), 25% G-secs, 50% cash.
The numbers behind the decision in force, taken 30 Sept 2026.
| Above its 10-month average by | |
|---|---|
| Nifty 500 | −2.8% |
| Global equity (iShares ACWI NAV total return, INR) | 8.1% |
| G-sec 5-year (NSE benchmark index) | 1.3% |
| Gold (domestic, rupees) | −1.5% |
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal parts Nifty 500, global equity (ACWI), gold and 5-year G-secs, 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 9.7% to 11.0% a year.
GTAA, global equity, ACWI (ETF version): growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
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GTAA, global equity, ACWI (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 −11%, against −17% for its benchmark, on daily closes; the weekly line can look a little shallower.
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Jan 2009 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 | 10.4 | 13.2 |
| Volatility | 6.0 | 7.8 |
| Worst daily fall, before tax | −10.7 | −17.2 |
| Sharpe ratio | 0.6 | – |
| Average share in equity | 39.4 | – |
| Turnover a year | 1.4 | – |
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) | – | – | – | |
| After source publication, before library entry (backtest) | 1 Jan 2009 to 16 Oct 2026 | 482.8% | 10.4% | |
| Since library entry (recomputed backtest) | – | – | – |
What it held
The share of the model in each asset at every month-end.
GTAA, global equity, ACWI (ETF version): holdings at each month-end
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The rule
Four equal sleeves: Nifty 500, developed and emerging global equity through iShares ACWI, 5-year G-secs and gold. Hold a sleeve above its 10-month average at month-end; otherwise hold cash.
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 2007; 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.
- Mebane Faber (2007). A Quantitative Approach to Tactical Asset Allocation. The Journal of Wealth Management.
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.