21x returns of the SP500
of our conservative Combined Alpha Strategy backtested since August 2006
-9% Maximum Drawdown
of our conservative Combined Alpha Strategy compared to -55% maximum drawdown of the SP500
Uncorrelated strategies
to the market. All strategies have a tactical long volatility component which gives crisis alpha in times of market turmoil
We’re not saying put all your eggs in our basket. A 20% allocation to our aggressive Combined Alpha Strategy would have helped all portfolio metrics as opposed to holding the SP500 passively.
| SPY | 80% SPY + 20% Aggressive | Conservative | Aggressive | |
|---|---|---|---|---|
| Growth of $10,000 | $39,229 | $89,046 | $841,176 | $2,972,655 |
| Annualized Return (CAGR) | 9.97% | 16.39% | 35.95% | 48.37% |
| Annualized Volatility | 20.35% | 17.5% | 16.07% | 20.04% |
| Sharpe Ratio | 0.49 | 0.94 | 2.24 | 2.41 |
| Ulcer Performance Index | 0.7 | 2.55 | 14.28 | 11.3 |
| Max Daily Drawdown | -55.2% | -34.6% | -8.94% | -14.53% |
| Max Monthly Drawdown | -50.8% | -30.29% | -6.15% | -10.73% |
Summary Statistics
A 20% allocation to the aggressive Combined Alpha Strategy would’ve yielded 2.3 times the return of the SP500.
In addition to this, The 20% allocation strategy would’ve had a daily drawdown of only -34.6% as opposed to SP500’s -55.2%.