AlphaMax Diversified
AlphaMax Diversified is a quantitative model developed to analyze historical performance metrics such as Compound Annual Growth Rate (CAGR), Sharpe ratio, and Alpha, with a focus on managing volatility and drawdowns with a higher CAGR. Over a back-tested period of more than 22 years, it evaluated price movements across diverse Exchange Traded Funds (ETFs) representing multiple market sectors and classes, leveraging cross-sectional momentum to highlight diversification's role in historical simulations. In these back-tests, AlphaMax demonstrated an annual CAGR of 18.95%, compared to the benchmark’s approximate 8.57%, and a maximum drawdown of -18.51%, compared to the benchmark’s -39.32%, suggesting possible resilience in challenging market conditions.
Quantitative Rules
Price Momentum
Currencies, Commodities, Equities, Bonds
OverviewAllocationTradesStatistics
CAGR
19.28%
10 Years
15.15%
5 Years
21.52%
3 Years
7.87%
1 Year
5.23%
Compounded Annual Inflation CAGR
2.64%
10 Years
3.06%
5 Years
4.33%
3 Years
3.53%
1 Year
2.16%
Cumulative Returns
3953.95%
10 Years
309.87%
5 Years
165.01%
3 Years
25.52%
1 Year
5.23%
Annual Volatility
15.65%
10 Years
14.42%
5 Years
16.09%
3 Years
13.89%
1 Year
12.47%
Sharpe
1.22
10 Years
1.02
5 Years
1.29
3 Years
0.48
1 Year
0.51
Alpha
14.15
10 Years
9.81
5 Years
14.75
3 Years
4.16
1 Year
0.79
Beta
0.58
10 Years
0.53
5 Years
0.47
3 Years
0.45
1 Year
0.70
Treynor
33.02%
10 Years
27.76%
5 Years
44.03%
3 Years
14.68%
1 Year
8.96%
Sterling
1.03%
10 Years
0.80%
5 Years
2.38%
3 Years
0.76%
1 Year
1.03%
Downside Annual Volatility
5.61%
10 Years
5.77%
5 Years
4.74%
3 Years
5.48%
1 Year
5.44%
Maximum Drawdown
-18.51%
10 Years
-18.51%
5 Years
-8.70%
3 Years
-8.70%
1 Year
-6.10%
Sortino
3.41
10 Years
2.55
5 Years
4.37
3 Years
1.21
1 Year
1.16
R²
20.18%
10 Years
18.81%
5 Years
12.35%
3 Years
13.05%
1 Year
33.91%
Up Market Capture
108%
10 Years
79%
5 Years
75%
3 Years
49%
1 Year
72%
Down Market Capture
39%
10 Years
23%
5 Years
1%
3 Years
25%
1 Year
64%
Tracking Error
3.91%
10 Years
3.63%
5 Years
4.52%
3 Years
3.83%
1 Year
2.83%
Minimum Rolling Return
10 Years
164.18%
5 Years
38.16%
3 Years
7.87%
1 Year
-11.17%
Maximum Rolling Return
10 Years
765.08%
5 Years
405.34%
3 Years
192.26%
1 Year
110.67%
General
denotes benchmark
Average Winning Trade Return
3.85%
Average Losing Trade Return
-3.27%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
60.90%
Positive Days
62.74%
Annual Turnover Ratio
7%
Maximum Return
10.70%
27.60%
Minimum Return
-24.66%
-12.26%
Average Return
0.61%
1.27%
Median Return
0.72%
0.74%
Average Return Best
9.95%
Average Return Worst
-2.54%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
3.31%
Average Return Inflation
1.23%
Average Return Inflation 3%
1.26%
Average Return Inflation 6%
0.16%
Positive Returns Deflation
58.33%
Positive Returns Inflation
63.12%
Positive Returns Inflation 3%
59.38%
Positive Returns Inflation 6%
53.85%
Best Year
2020
Worst Year
2024
Correlation with Benchmark
0.45
Correlation with Benchmark Positive Returns
0.06
Correlation with Benchmark Negative Returns
0.24
Returns Distribution
Over 50%
0%
40% to 50%
0%
30% to 40%
0%
20% to 30%
0%
10% to 20%
3%
0% to 10%
60%
-10% to 0%
37%
-20% to -10%
1%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
AlgoMart Ltd © 2025 All rights reserved
2nd Floor College House, 17 King Edwards Road, London, HA4 7AE
Product
Company
Disclaimer: The content on this website is provided for informational purposes only and should not be interpreted as financial advice. Please consult a licensed advisor before making investment decisions.