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
19.09%
10 Years
13.97%
5 Years
18.47%
3 Years
3.28%
1 Year
6.51%
Compounded Annual Inflation CAGR
2.67%
10 Years
3.04%
5 Years
4.58%
3 Years
3.15%
1 Year
2.14%
Cumulative Returns
3819.24%
10 Years
269.85%
5 Years
133.34%
3 Years
10.16%
1 Year
6.51%
Annual Volatility
15.68%
10 Years
14.23%
5 Years
16.23%
3 Years
12.53%
1 Year
12.56%
Sharpe
1.21
10 Years
0.95
5 Years
1.09
3 Years
0.18
1 Year
0.60
Alpha
13.85
10 Years
8.42
5 Years
11.58
3 Years
-2.66
1 Year
-2.89
Beta
0.58
10 Years
0.54
5 Years
0.58
3 Years
0.55
1 Year
0.65
Treynor
32.73%
10 Years
25.14%
5 Years
30.64%
3 Years
4.01%
1 Year
11.65%
Sterling
1.02%
10 Years
0.73%
5 Years
2.03%
3 Years
0.25%
1 Year
1.24%
Downside Annual Volatility
5.63%
10 Years
5.81%
5 Years
4.84%
3 Years
5.66%
1 Year
5.95%
Maximum Drawdown
-18.51%
10 Years
-18.51%
5 Years
-8.70%
3 Years
-8.70%
1 Year
-6.10%
Sortino
3.36
10 Years
2.33
5 Years
3.64
3 Years
0.39
1 Year
1.27
R²
20.12%
10 Years
20.10%
5 Years
14.18%
3 Years
22.15%
1 Year
30.97%
Up Market Capture
106%
10 Years
75%
5 Years
81%
3 Years
46%
1 Year
53%
Down Market Capture
40%
10 Years
32%
5 Years
8%
3 Years
60%
1 Year
86%
Tracking Error
3.89%
10 Years
3.52%
5 Years
4.29%
3 Years
3.18%
1 Year
2.73%
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
-3.25%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
60.73%
Positive Days
62.26%
Annual Turnover Ratio
4%
Maximum Return
10.70%
27.60%
Minimum Return
-24.66%
-12.26%
Average Return
0.62%
1.24%
Median Return
0.72%
0.73%
Average Return Best
9.95%
Average Return Worst
-2.50%
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
0.06
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%
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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