Reporting Process

With the updated historic dataset of 15 years we redo all statistical calculations in order to present an extensive fact sheet, that - in many cases - exceeds the historic performance and extend the original academic research with up-to-date results.
Alphability statistics are intended to provide an indication of the relative ease of capturing alpha from specific markets and time frames using generic categories of trading model.

We offer Investment Professionals easy access to all updated model fact sheets through our website. Our computers do the backward calculations over the past fifteen years for any composite portfolio instantaneously and generate the aggregated fact sheet of any composite portfolio consisting multiple models for 3, 5 and 15 years of data.

Finally, we construct the combined equity curve of composite portfolios with the constituant models.