I have backtested low beta portfolio based on following.
Backtest period :- Jan 2008 to Dec 2020
Tax:- 10%
Brokerage 0.275% (of turnover)
Weightage :- equal weight
Cash in hand:- 10%
The following set up gave best results
Stock Universe:- Nifty 100
No of stocks in portfolio:- 15
Rebalance:- Quarterly
Results :-
CAGR:- 24%
Max DD:- 34%
Nifty 50 returns were 6.52% with 60% Drawdown for the same period.
Low beta portfolio gives better returns with lower drawdown.
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