Our portable alpha index is a complementary module that enhances the risk/return relationship of traditional investment portfolios. The active strategy is based on statistically significant evidence. It combines long-term macroeconomic data with mid-term behavioral finance components and short-term technical analysis. The multidisciplinary approach targets consistent and uncorrelated returns.
The illustration above shows how our portable overlay model portfolio added value to a beta component (S&P 500 total return index). The embedded overlay takes advantage of anomalies in stocks, rates commodities, and currency pairs. It has no bias to be long or short in any market at all times and can be overlaid at various exposure levels.
All estimates above are based on an 80% allocation to the S&P 500 total return index along with a 20% allocation of our portable overlay. All statistics include a negative contribution of 2% p.a. fix and 20% p.a. performance adjustment. Any other fees and costs such as brokerage fees, transaction costs, etc. are omitted.
The statistics below reveal the added value from the overlay’s model portfolio. It segregates the overlay contribution by adding it to a risk-free proxy (3m US Treasury yield). Moreover, the estimates below are gross of fees and costs.
Warning: Past performance is not a reliable guide to future performance.
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All estimate figures are based on the overlay model portfolio displayed and updated on scienceinvesting.com. The model portfolio does not include transaction costs. This data should not be reproduced, published or disseminated in any manner. Although ESI Analytics Limited considers the data to be reliable, no warranty is given as to its accuracy or completeness. Any comparisons against indices are for illustrative purposes only.