Tools
Valuation glide (yield gap)
Equity share moves from 80% when the Nifty 500 earnings yield minus the 10-year G-sec yield is at or above its expanding 80th percentile (cheap) to 20% at or below the 20th; the rest in the 5-year G-sec; one-month lag. It holds 57% G-secs, 43% Nifty 500 since Sept 2026. From Apr 2005 it returned 10.3% a year after tax, against 10.8% for its benchmark; its worst fall was −29%.
What it holds now
Target since Sept 2026: 57% G-secs, 43% Nifty 500. If the month ended today it would hold 60% G-secs, 40% Nifty 500.
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.
Valuation glide (yield gap): growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
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Valuation glide (yield gap): 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 −29%, 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: 0.00 (0.95 is the usual bar), counting every rule tried.
| This model | Benchmark | |
|---|---|---|
| Return a year, before tax | 11.4 | 11.3 |
| Return a year, after tax | 10.3 | 10.8 |
| Volatility | 10.4 | 11.0 |
| Worst fall | −29.1 | −29.5 |
| Sharpe ratio | 0.5 | – |
| Average share in equity | 34.5 | – |
| Turnover a year | 0.6 | – |
| Tax cost, points a year | 1.1 | – |
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 1.70 points.
| Period | Dates | Total return | A year | More |
|---|---|---|---|---|
| Before the rule was published | – | – | – | |
| Published, before it entered this library | Apr 2005 to Oct 2026 | 923.0% | 11.4% | |
| 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.
Valuation glide (yield gap): holdings at each month-end
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The rule
Equity share moves from 80% when the Nifty 500 earnings yield minus the 10-year G-sec yield is at or above its expanding 80th percentile (cheap) to 20% at or below the 20th; the rest in the 5-year G-sec; one-month lag.
The Fed-model yield gap (Asness 2003 on its flaws). Rule published 1998; 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.