G-Sec Liquidity Ladder
Holds the most actively traded government securities — the benchmark on-the-run issues that account for most NDS-OM volume — equally weighted and rebalanced quarterly. A sovereign-credit-risk-free core with genuine daily liquidity.
Why this is expected to work
Indian G-Secs are not one market, they are two. A handful of benchmark issues — currently the 10-year, and whichever securities are on-the-run at other tenors — trade every single day in size on NDS-OM, while the several hundred other outstanding securities may not print for weeks. The liquidity is concentrated because the benchmark is what dealers hedge with, and it rotates as new issues are auctioned. Selecting on realised trading activity rather than on tenor or coupon is therefore the only construction that stays tradeable as the benchmark rolls: it tracks where the liquidity actually went instead of assuming where it should be. Quarterly rebalancing matches how slowly the on-the-run set turns over, and the holding carries sovereign credit risk (effectively nil) with pure duration risk, which is the honest description of what a G-Sec portfolio is exposed to.
How the pipeline works
Sovereign or near-sovereign
Keeps rows where spread_over_gsec < 100
spread_over_gsec < 100 Priced by a real trade today
Keeps rows where price_is_traded == 1
price_is_traded == 1 At least 2 years to run
Keeps rows where time_to_maturity_years > 2
time_to_maturity_years > 2 60-day average traded value
Computes avg_turnover_60 = @SMA(bond_turnover, 60)
@SMA(bond_turnover, 60) 10 most liquid issues
Selects the top 10 by avg_turnover_60
What this template teaches
- Bonds as ordinary securities on the standard price path
- Selecting on realised liquidity rather than a static attribute
- Low-turnover schedules for instruments that do not trade daily
G-Secs Are Two Markets, and Only One of Them Is Liquid
A handful of benchmark government securities trade every day in size. The several hundred others may not print for weeks. Any systematic G-Sec strategy has to select on realised liquidity, not on tenor.
Related strategy templates
Find the right starting point for your next trading thesis.
Corporate Bond Carry Basket
A diversified basket of the most consistently quoted corporate bonds on NSE's debt segment, spread across 25 issues so no single credit event dominates, and rebalanced semi-annually to match how slowly the tradeable set changes.
View detailsState Loan Spread Ladder
Holds the 15 State Development Loans offering the widest spread over the central government curve at comparable maturity, filtered to issues with at least three years to run. Quarterly, equally weighted. Same sovereign-class credit, more yield.
View detailsMCX Commodity Momentum
Trend-follows the continuous futures curve on MCX — gold, silver, crude, copper, aluminium, zinc, natural gas and the rest — holding the four strongest by 3-month momentum with a positive long-term trend. Risk-parity weighted, monthly.
View details