RupeeCase
Systematic 101 . Starter Strategy . 2 of 3
The Holdings + The Numbers
10 NIFTY names. 5 year backtest. Real rupees.
Current holdings post the 27 April rebalance. Performance is 5Y rolling backtest, net of cost.
HINDALCO
SHRIRAMFIN
TATASTEEL
ADANIPORTS
ONGC
AXISBANK
NTPC
ADANIENT
SBIN
POWERGRID
Energy / Power . 5 names
Banks . 3 names
Metals . 2 names
13.97
CAGR percent
vs NIFTY 50 . 10.44
92.31
Cumulative percent
vs NIFTY 50 . 64.36
0.83
Sharpe
vs NIFTY 50 . 0.78
23.47
Max drawdown percent
be honest about this
3.53 percent of CAGR alpha over 5 years. From the same NIFTY 50 universe. From the rule, not the names.