ALPHA SELECT
TOTAL ALPHA
The
investment strategy ALPHA
SELECT is
a quantitative trading system for the liquid international stock
markets. The basic investment approach is based on transaction
analysis which evaluates transacted trading volume (the buying and
selling of stocks) in stock markets. In order to draw expectations
of market participants respectively to anticipate moneyflows the
only information used for analysis is related directly to price
formation (supply and demand).
Trading volume is the main dimension for the quantitative pricing model. Priority is given to stocks which indicate the highest demand by market participants. By using a succeeding process based on additional volume criteria the selection of high quality stocks is ensured and at the same time the equity exposure of the portfolio can be controlled dynamically. Depending on market stage the equity exposure can amount 0% to +100%. By expecting rising markets a concentrated portfolio consisting of up to 25 equally weighted different stocks is being targeted.
By expecting falling markets the cash amount of the portfolio will be invested in a risk free money market fund. The medium to long-term goal is to realize above average performance and especially to minimize losses in weak stock market periods.
.bmp)
Hypothetical
performance (01.1991 – 01.2007) with constant market
exposure of 100%. From 23.01.07 real performance and flexible
market exposure.
03.01.91 - 31.05.07
S&P 500
ALPHA SELECT
Performance p.a. (%)
+8,77
+20,60
Volatility p.m. (%)
3,93
5,33
Correlation**
-
+0,54
Sharpe Ratio*
+0,42
+0,95
Alpha (%)**
-
+1,14
Beta
-
+0,73
Tracking Error (%)*
-
+15,54
Information Ratio*
-
+1,13
.bmp)
Real
performance with flexible market exposure.
Linear
chart (23.01.07 – 12.06.07).
(23.01.07 - 12.06.07)
S&P 500
ALPHA SELECT
Performance (%)
+4,54
+8,17
Volatility p.m. (%)
2,22
1,29
Correlation**
-
+0,81
Sharpe Ratio*
+1,70
+3,58
Alpha (%)**
-
+0,96
Beta
-
+0,47
Tracking Error (%)*
-
+2,62
Information Ratio*
-
+6,08
*
3% (riskfree rate)
** S&P 500 (benchmark)
Website disclaimer and risk warning
The shown simulated results are based on the strategy ALPHA SELECT which were created with the highest diligence. The illustrated performance data is partially based on pure computer generated results. The behaviour of the portfolio consisting of a 100% stock exposure is supposed to be only a theoretical long term comparison between the compound growth rate of the strategy and the compound growth rate of the benchmark (S&P500). Transaction costs were also considered. The shown simulated results are based on a basket of stocks which are temporarily comprised in the indices S&P 500, Nasdaq-100 Index and partially S&P MidCap 400, S&P SmallCap 600 and show additionally the current minimum set trading volume. Chances and risks of ALPHA SELECT may occur through survivorship biases that were only corrected by reducing the differential of growth rates between the performances of the basket of stocks and the S&P500. Therefore results remain hypothetical also real past performance of ALPHA SELECT is no guarantee for future performance. MONEYFLOW is neither responsible for the accuracy and completeness of all information contained on this site nor other sites provided by third parties that have links to or from our website. Financial success and the risks involved in stock investing depend strongly on the actual market price in the future, the portfolio manager’s discretionary investment decisions, the extent of market exposure as well as the number and growth rate of the different stocks within the portfolio. All descriptions, statements and illustrations on this site do not constitute an offer to buy or sell securities or derivatives. In particular, it does not constitute an offer or solicitation to buy or sell any securities or products referred to on this site, by anyone in any jurisdiction. This website should not be regarded as an offer or solicitation to conduct investment business. Investors should be aware that prices may fall as well as rise and that the income derived can go down as well as up. When buying or selling any investment that fluctuates in price or value you may get back less than you invested. The information on this site may not be suitable for all investors and if in doubt you should seek qualified independent financial advice and