Multi-Factor Walk-Forward Portfolio

How allocation works: Fixed 60% equity / 40% gold allocation, rebalanced at each monthly tranche rotation. Gold provides structural diversification and drawdown protection without relying on market timing signals. Layer attribution analysis showed that dynamic regime timing (7-signal model) had negative correlation with forward returns, so a fixed allocation captures the gold diversification benefit while eliminating timing noise.

Walk-Forward Portfolio: Selects top 25 stocks from ~250 eligible using 8 factors (momentum, value, quality). Factor weights optimized on rolling 2-year training windows, tested on subsequent 6-month out-of-sample periods. Fixed 60/40 equity/gold allocation. Staggered daily rebalance (21 tranches) with 10% max single-stock weight cap. 10bps round-trip slippage applied.

NIFTY 50 (Benchmark): Passive 100% investment in India's flagship large-cap index. No rebalancing, no allocation changes. This is the baseline that any active strategy must beat.

Static 80/15/5: Fixed allocation of 80% NIFTY 50, 15% gold (GOLDBEES), 5% debt (6.5% annual). Rebalanced to target weights. Represents a simple diversified allocation without any active signals.

Gold (GOLDBEES): 100% investment in gold ETF. Included to show the diversification asset that the portfolio allocates 40% to.

50/50 Gold + Stock Pick: Same 25-stock selection as Walk-Forward but with a fixed 50% equity, 50% gold allocation rebalanced monthly. Tests alternative equity/gold ratio.

Classic 60/40: Traditional balanced portfolio with 60% equity (NIFTY 50) and 40% debt. The conservative benchmark for risk-adjusted comparison.