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 21 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 18.71%, compared to the benchmark’s approximate 8.78%, 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
18.71%
10 Years
14.19%
5 Years
17.75%
3 Years
3.46%
1 Year
-5.89%
Compounded Annual Inflation CAGR
2.59%
10 Years
3.00%
5 Years
4.19%
3 Years
4.21%
1 Year
2.85%
Cumulative Returns
3563.14%
10 Years
276.79%
5 Years
126.39%
3 Years
10.75%
1 Year
-5.89%
Annual Volatility
15.62%
10 Years
14.50%
5 Years
16.81%
3 Years
13.55%
1 Year
14.12%
Sharpe
1.19
10 Years
0.95
5 Years
1.02
3 Years
0.15
1 Year
-0.35
Alpha
13.42
10 Years
8.50
5 Years
11.82
3 Years
-0.28
1 Year
-29.41
Beta
0.59
10 Years
0.54
5 Years
0.53
3 Years
0.51
1 Year
1.27
Treynor
31.62%
10 Years
25.40%
5 Years
32.60%
3 Years
3.97%
1 Year
-3.84%
Sterling
1.00%
10 Years
0.74%
5 Years
1.86%
3 Years
0.23%
1 Year
-0.67%
Downside Annual Volatility
5.60%
10 Years
5.80%
5 Years
5.64%
3 Years
5.58%
1 Year
6.30%
Maximum Drawdown
-18.51%
10 Years
-18.51%
5 Years
-9.23%
3 Years
-8.70%
1 Year
-7.27%
Sortino
3.31
10 Years
2.37
5 Years
3.05
3 Years
0.36
1 Year
-0.78
R²
20.57%
10 Years
19.22%
5 Years
19.38%
3 Years
16.42%
1 Year
68.89%
Up Market Capture
107%
10 Years
76%
5 Years
78%
3 Years
46%
1 Year
39%
Down Market Capture
42%
10 Years
29%
5 Years
22%
3 Years
45%
1 Year
188%
Tracking Error
3.91%
10 Years
3.64%
5 Years
4.57%
3 Years
3.78%
1 Year
3.03%
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
3.83%
Average Losing Trade Return
-3.26%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
60.95%
Positive Days
62.46%
Annual Turnover Ratio
4%
Maximum Return
10.70%
27.60%
Minimum Return
-24.66%
-12.26%
Average Return
0.63%
1.25%
Median Return
0.75%
0.72%
Average Return Best
9.95%
Average Return Worst
-2.56%
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
0.22
Returns Distribution
Over 50%
0%
40% to 50%
0%
30% to 40%
0%
20% to 30%
0%
10% to 20%
3%
0% to 10%
59%
-10% to 0%
37%
-20% to -10%
1%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
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