Testing a long-term Nifty + Gold allocation framework against buy-and-hold (2015–2026)

I’ve been testing a rules-based allocation framework combining:

• Nifty 50 exposure
• Gold as a defensive allocation
• Trend and realized volatility filters
• Monthly rebalancing

The objective was not maximizing raw returns, but improving long-term risk-adjusted performance and reducing drawdowns relative to long-only equity exposure.

Backtest period:
Jan 2015 – Mar 2026

Assumptions:

• no leverage
• no shorting
• transaction costs included

Results vs Nifty 50 buy & hold:

• CAGR: 16.57% vs 9.09%
• Max Drawdown: -18.89% vs -38.44%
• Sharpe Ratio: 0.78 vs 0.16

The main tradeoff is that the framework tends to lag during sharp V-shaped recoveries because exposure reduction follows volatility expansion.

Interested in discussion around:

• whether gold is an effective long-term defensive allocation for Indian investors
• whether regime-based allocation genuinely improves long-term portfolios
• alternative defensive assets or diversification methods
• balancing drawdown reduction vs upside participation