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Core (no hedge) vs hedged NAV.
Trailing 3y annualised return ÷ 3y max drawdown — the standard Calmar horizon.
Pre-registered windows: parameters fixed on 2011–16, validated on 2017–21, then locked. The 2022-onward test window saw no tuning.
| Window | CAGR | Calmar | Sortino | Volatility | Max DD |
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Each point is the metric computed over the preceding 3 years — the core overfitting diagnostic. Consistent positivity and QAIF > Nifty across all windows signals genuine edge; a single lucky spell would collapse under this view.
Mean-reversion and momentum sleeves vs the blended portfolio.
Low cross-correlation is the diversification engine.
Drawdown — core vs hedged. The gap is the MTM protection.
Cumulative hedge P&L — bleeds in calm, pays in dislocations.
| Crisis episode | Core trough | Hedged trough | Cushion | Hedge payoff |
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Deterministic rules; the controls above only change the allocation and rebalance cadence — not the underlying signals or the validation windows.
Full backtest period, net of costs and dividend-inclusive. The QAIF column reflects the live allocation chosen above.
| Metric | QAIF Strategy | Nifty 50 |
|---|