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
19.88%
10 Years
16.74%
5 Years
17.13%
3 Years
9.55%
1 Year
19.30%
Compounded Annual Inflation CAGR
2.70%
10 Years
3.09%
5 Years
4.44%
3 Years
2.94%
1 Year
2.62%
Cumulative Returns
4407.83%
10 Years
370.14%
5 Years
120.49%
3 Years
31.46%
1 Year
19.30%
Annual Volatility
15.76%
10 Years
14.30%
5 Years
16.29%
3 Years
12.80%
1 Year
13.82%
Sharpe
1.25
10 Years
1.14
5 Years
1.00
3 Years
0.71
1 Year
1.46
Alpha
14.38
10 Years
10.24
5 Years
10.01
3 Years
1.80
1 Year
8.76
Beta
0.58
10 Years
0.55
5 Years
0.59
3 Years
0.56
1 Year
0.79
Treynor
33.78%
10 Years
29.91%
5 Years
27.84%
3 Years
16.15%
1 Year
25.51%
Sterling
1.07%
10 Years
0.88%
5 Years
1.87%
3 Years
1.05%
1 Year
3.31%
Downside Annual Volatility
5.63%
10 Years
5.66%
5 Years
4.84%
3 Years
5.03%
1 Year
5.25%
Maximum Drawdown
-18.51%
10 Years
-18.51%
5 Years
-8.70%
3 Years
-8.70%
1 Year
-6.10%
Sortino
3.51
10 Years
2.88
5 Years
3.37
3 Years
1.81
1 Year
3.85
R²
20.40%
10 Years
20.38%
5 Years
14.64%
3 Years
21.77%
1 Year
30.26%
Up Market Capture
108%
10 Years
81%
5 Years
82%
3 Years
59%
1 Year
100%
Down Market Capture
40%
10 Years
29%
5 Years
8%
3 Years
47%
1 Year
72%
Tracking Error
3.88%
10 Years
3.63%
5 Years
4.26%
3 Years
3.20%
1 Year
2.85%
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
3.87%
Average Losing Trade Return
-3.24%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
60.90%
Positive Days
62.62%
Annual Turnover Ratio
6%
Maximum Return
10.70%
27.60%
Minimum Return
-24.66%
-12.26%
Average Return
0.63%
1.27%
Median Return
0.75%
0.74%
Average Return Best
9.87%
Average Return Worst
-2.53%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
3.31%
Average Return Inflation
1.16%
Average Return Inflation 3%
1.26%
Average Return Inflation 6%
0.16%
Positive Returns Deflation
58.33%
Positive Returns Inflation
62.59%
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
0.07
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%
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