Alpha Trends on Spotalpha demonstrate superior performance compared to the benchmark S&P-500 index. There are several sections of data that help you understand Alpha Trends better.
The performance summary table shows annualised return and peak risk (maximum drawdown) of the Alpha Trends in comparison to US equity mutual funds and benchmark S&P-500 index since 1-Jan-2016. The column Alpha measures outperformance against the benchmark index per same unit of risk.
An Alpha of 1.2x for Dynamic Alpha Trends in the above table indicates that it is 1.2 times better than the benchmark S&P-500 on a risk-adjusted return basis during the period 1-Jan-2016 to 16-Jun-2023.
At the top of each Alpha Trends product page you can see a snapshot of it’s performance since 1-Jan-2016. The snapshot shows previous day’s return, previous month’s return, previous 1-year return, annualised return since 1-Jan-2016, peak risk (maximum drawdown) since 1-Jan-2016 and Alpha – which measures risk-adjusted-return in comparison to the benchmark S&P-500 index.
Historic Performance Equity Curve
The equity curve shows the daily historic performance across multiple timeframes. In the Portfolio Trends equity curve shown below you can notice the tabs at the top of the graph, which help you select the historic period that you would like to analyse.
For instance, the graph shown below is plotting performance during the period 1-Jan-2016 to 16-Jun-2023, US Portfolio Alpha Trends yielded a return of about 214% during this time whereas S&P-500 benchmark index achieved a return of 112%.
For a clearer snapshot of recent performance you can consider a shorter duration, for example 2m (2 months) as shown in the below chart.
Historic Monthly Returns
The historic monthly returns table shown below the equity curve helps investors identify how Alpha Trends performed on a monthly basis since inception.
Allocation per Sector
The allocation per sector chart shown to subscribed users allows them to analyse the allocation profile of both Portfolio and Dynamic Alpha Trends by sector. As Alpha Trends hold only up to 5 instruments at anytime, the allocation per sector chart helps investors understand the risk profile of their investments better.
In conclusion, the data provided in Alpha Trends helps investors perform a deep dive into understanding it’s historic return, risk and sectoral allocation performance. In addition, investors can also compare it’s performance to benchmark S&P-500 so that they can use this information to compare other products.