Alpha360 Score · 25-Year Results
22.4%
Compound Annual Growth Rate · 2001–2026 · Price Returns Only
~6.9%
S&P 500 CAGR
+9.3%
Alpha vs Universe p.a.
23/25
+Alpha Years
$1 → $150
Growth of $1
All returns are price returns only. Dividends are excluded. S&P 500 uses price return for fair comparison.
25
Years of Data2001 – 2026
6M+
Scoring ObservationsCompany × period datapoints
~60,000
Company UniverseGlobal equities screened each period
100
Quarterly SnapshotsNon-overlapping measurement periods
Growth of $1: Alpha360 Score vs Benchmarks (2001–2025)
Logarithmic scale · Quarterly interpolation · Price returns only (excludes dividends)
Alpha360 Score
EW US Benchmark
S&P 500
$149.54
Alpha360 Score
$21.87
EW US Benchmark
$5.24
S&P 500
28.5x
vs S&P 500
$100,000 Invested in 2001
Hypothetical growth · Price returns only (excludes dividends) · No fees, taxes, or slippage
Alpha360 Score
S&P 500
$14,954,000
Alpha360 Score
$524,000
S&P 500
28.5x
the S&P 500 return
Dot-Com Crash
2001–2002
+48.8%
cumulative excess
Global Financial Crisis
2008
+16.8%
excess vs S&P 500
COVID-19 Recovery
2020
+77.2%
excess vs S&P 500
Rate Shock
2022
+12.6%
excess vs S&P 500
Total Return: Alpha360 Score (US Equities)
Annualised CAGR · Equal-weight top quintile · Quarterly rebalanced
| Pre-Training 2001–2004 | Training 2005–2016 | Out-of-Sample 2016–2026 (10 yrs) | Full Period p.a. 2001–2026 (25 yrs) | |
|---|---|---|---|---|
| Alpha360 Score | 21.6% | 20.9% | 24.5% | 22.4% |
| EW US Benchmark | 14.0% | ~11.0% | ~14.1% | ~13.1% |
| S&P 500 (Price Return) | −2.2% | 5.2% | 13.4% | ~6.9% |
| Alpha vs EW | +7.6% | +9.9% | +10.4% | +9.1% |
| Alpha vs S&P 500 | +23.8% | +16.3% | +11.1% | +15.3% |
Year-by-Year Performance: Full Results
Price returns only · 23/25 positive alpha years vs EW benchmark
| Year | Alpha360 (Q5) | EW Benchmark | S&P 500 | Alpha vs EW | Period |
|---|---|---|---|---|---|
| 2001 | +19.9% | +6.3% | −13.2% | +13.6% | Pre-Train |
| 2002 | −8.1% | −7.8% | −23.8% | −0.4% | |
| 2003 | +68.5% | +51.9% | +26.8% | +16.5% | |
| 2004 | +18.0% | +13.4% | +9.1% | +4.6% | |
| 2005 | +34.6% | +22.3% | +3.1% | +12.3% | Training |
| 2006 | +23.1% | +18.2% | +13.9% | +4.9% | |
| 2007 | +7.4% | −2.1% | +3.6% | +9.5% | |
| 2008 | −23.0% | −34.1% | −39.8% | +11.1% | |
| 2009 | +58.8% | +51.6% | +23.9% | +7.3% | |
| 2010 | +37.6% | +28.4% | +13.0% | +9.3% | |
| 2011 | +13.0% | +4.0% | +0.0% | +8.9% | |
| 2012 | +27.8% | +18.4% | +13.8% | +9.3% | |
| 2013 | +38.3% | +26.0% | +30.2% | +12.3% | |
| 2014 | +22.1% | +12.1% | +11.6% | +10.0% | |
| 2015 | +0.4% | −11.4% | −0.7% | +11.8% | |
| 2016 | +41.5% | +36.2% | +9.7% | +5.3% | |
| 2017 | +42.6% | +21.9% | +19.8% | +20.7% | OOS |
| 2018 | +9.0% | −2.7% | −6.3% | +11.7% | |
| 2019 | +40.1% | +16.5% | +29.4% | +23.6% | |
| 2020 | +93.6% | +96.4% | +16.4% | −2.8% | |
| 2021 | +9.8% | −0.2% | +27.2% | +9.9% | |
| 2022 | −7.1% | −10.9% | −19.7% | +3.8% | |
| 2023 | +11.5% | +10.1% | +24.6% | +1.5% | |
| 2024 | +10.4% | +5.6% | +23.7% | +4.7% | |
| 2025 | +24.3% | +21.2% | +16.6% | +3.1% |
Training vs Out-of-Sample: Signal Persistence
Same methodology, unseen data · 14 years of out-of-sample validation
| Metric | Pre-Training 2001–2004 | Training 2005–2016 | Post-Training OOS 2016–2026 | Full Period 2001–2026 |
|---|---|---|---|---|
| CAGR | 21.6% | 20.9% | 24.5% | 22.4% |
| Alpha vs EW Market | +7.6% | +9.9% | +10.4% | +9.1% |
| Sharpe Ratio | 1.54 | 2.09 | 1.60 | ~1.8 |
| Max Drawdown | −19.9% | −33.0% | −19.0% | −33.0% |
| +Alpha Years | 3/4 (75%) | 12/12 (100%) | 9/10 (90%) | 23/25 (92%) |
Current Live Portfolio
Actively managed positions across ASX and US equities
Institutional Risk/Return Profile
Comprehensive quantitative analysis for allocators and investment professionals
Risk-Adjusted Returns
Sharpe from quarterly returns · Sortino, Calmar, IR from annual data (25 obs) · Rf = 2%
| Metric | Pre-Training 2001–2004 | Training 2005–2016 | Out-of-Sample 2016–2026 | Full Period 2001–2026 |
|---|---|---|---|---|
| Sharpe Ratio* | 1.54 | 2.09 | 1.60 | ~1.8 |
| Sortino Ratio | 2.24 | 1.21 | 2.64 | 1.58 |
| Calmar Ratio | 2.67 | 0.94 | 3.28 | 0.96 |
| Information Ratio (vs EW) | 1.10 | 3.76 | 0.95 | 1.46 |
| Information Ratio (vs S&P) | 1.63 | 1.45 | 0.40 | 0.82 |
| Annualised Volatility | 31.9% | 21.7% | 29.9% | 25.4% |
| Tracking Error (vs EW) | 7.8% | 2.5% | 8.9% | 6.1% |
* Sharpe computed from quarterly returns. All other ratios from annual returns. Sortino uses downside deviation only. Calmar = CAGR / |Max Drawdown|. IR = mean excess / tracking error.
Capture Analysis
Asymmetric Return Profile vs S&P 500
| Metric | Value |
|---|---|
| Up Capture | 197% |
| Down Capture | 9% |
| Capture Ratio | 22.9x |
| Beta | 0.91 |
| Jensen’s Alpha | +16.7% p.a. |
| Correlation | 0.64 |
136%
UP CAPTURE vs EW
17%
DOWN CAPTURE vs EW
Distribution & Tail Risk
Return Distribution Characteristics
| Metric | Alpha360 | S&P 500 |
|---|---|---|
| Skewness | +0.70 | −1.01 |
| Excess Kurtosis | 0.78 | 0.47 |
| Best Year | +93.6% (2020) | +30.2% (2013) |
| Worst Year | −23.0% (2008) | −39.8% (2008) |
| Positive Years | 22/25 (88%) | 19/25 (76%) |
92%
+ALPHA vs EW (23/25)
88%
+ALPHA vs S&P (22/25)
Rolling Return Consistency
Every overlapping window · 2001–2025 · No negative rolling 3yr or 5yr period
| Window | Best CAGR | Worst CAGR | Median CAGR | Beat S&P 500 |
|---|---|---|---|---|
| 3-Year Rolling | 43.9% (2019–21) | 0.6% (2006–08) | 25.0% | 20/23 (87%) |
| 5-Year Rolling | 42.9% (2016–20) | 9.3% (2021–25) | 24.7% | 20/21 (95%) |
Worst 5-year rolling CAGR (+9.3%) still exceeds the S&P 500 full-period CAGR (~6.9%).
Crisis Resilience
Through Every Regime (2001–2026)
Dot-Com Crash
2001–02 · Pre-Training
+13.2% avg alpha
GFC
2008 · Training
+11.1% alpha
Late Bull & Vol Spike
2016–2020 · OOS
+20.5% alpha
COVID Crash
2020 · OOS
+93.6% return
Rate Shock Bear
2022 · OOS
+3.8% alpha
AI Rally
2024–25 · OOS
+3.9% alpha
Drawdown & Costs
Risk Profile & Transaction Analysis
| Metric | Alpha360 | Benchmark |
|---|---|---|
| Max Drawdown | −33.0% | −45% |
| GFC Recovery | ~6 months | ~36 months |
| OOS Max DD | −19.0% | −25.4% |
| Turnover p.a. | 50.1% | |
| Negative Years | 3/25 | 7/25 |
Transaction Cost Sensitivity
11.9%
NET @ 50bps
11.4%
NET @ 100bps
1,233
BREAK-EVEN bps
Bootstrap 90% CI (5,000 samples, training)
P5: 10.5%
Median: 21.2%
P95: 31.0%
8-Point Bias Audit
Backtest (2005–2016) · 8/8 PASS | OOS (2020–2026) · 6/8 PASS, 2 Partial
| # | Check | Backtest | Out-of-Sample | OOS Verdict |
|---|---|---|---|---|
| 1 | Look-Ahead | ICs < 0.15 | N/A (live data) | ✓ PASS |
| 2 | Survivorship | 1.68% gap | Q5 −2.8pp vs universe | ✓ PASS |
| 3 | Monotonicity | Q1→Q5 perfect | Q5 > avg, not perfect | Partial |
| 4 | Sector Concentration | Max 17% | Max 18% | ✓ PASS |
| 5 | Small-Cap Bias | $3.8B median | $5.1B median | ✓ PASS |
| 6 | Delisting Bias | Q5: 0.11% | Q5 < Q1 | ✓ PASS |
| 7 | Signal Independence | Corr 0.23 | Corr 0.16 | ✓ PASS |
| 8 | Sub-Period Stability | Alpha all 5 | Alpha 4/5 | Partial |
Strategy
Alpha360 Score
The Alpha360 Score is a proprietary quantitative composite that ranks every stock in our coverage universe across multiple dimensions of quality: earnings momentum, price behaviour, analyst consensus, and fundamental growth. Stocks that score highest across these dimensions consistently outperform over subsequent quarters.
The scoring methodology was developed through decades of academic research by Professor Stewart Jones (FASSA, PhD, FCPA, University of Sydney) and has been validated across 25 years of data, including 14 years of fully blind out-of-sample testing.
Methodology
Rank-Transform · Quarterly Rebalance · Equal Weight
All input scores rank-transformed to percentiles, then z-scored. Composite weighted sum computed each quarter. Top quintile selected. 8-point bias audit passed on training data; 6/8 confirmed on live data.
Universe: ~1,400 US stocks
Rebalance: Quarterly
Portfolio: ~250–450 stocks
Turnover: 50.1% p.a.
Median cap: $3.8B (IS) / $5.1B (OOS)
Break-even: 1,233 bps
Important: Hypothetical and simulated performance. All returns shown are price returns only and exclude dividends. S&P 500 comparison uses price return (excluding dividends), derived from Damodaran data.
Pre-training (2001–2004): Data the methodology was not trained on. Hypothetical back-tested returns.
Training (2005–2016): Score calibration and validation. Hypothetical back-tested returns. Not actual trading. Subject to hindsight, survivorship, and model selection bias.
Out-of-sample (2016–2026 + 2001–2004): 14 years of data the methodology was never trained on. Holdout period (2016–2020) was withheld during development. Live run (2020–2026) applied the identical scoring to 42 live Alpha360 snapshots.
Key caveats: US equities only. Single data provider (Alpha360). Equal-weighted ~250–450 stocks; suits $100M–$500M AUM. No fees, taxes, or slippage modelled. Break-even cost: 1,233 bps.
Past performance is not indicative of future results. This is not investment advice.
Alpha360 Score (US): Proprietary multi-factor scoring methodology. Top quintile of ~1,400 US stocks, equal-weighted, quarterly rebalanced. Pre-training: 2001–2004. Training: Jan 2005–Sep 2016. Holdout: Oct 2016–Apr 2020. Live run: Mar 2020–Mar 2026 (Yahoo Finance split-adjusted prices). All returns are price returns only and exclude dividends. S&P 500 comparison uses price return derived from Damodaran data.
EW US Benchmark is the equal-weighted return of all eligible Alpha360-scored US stocks in each period. Sharpe ratios computed from quarterly returns. Sortino, Calmar, and Information Ratios computed from annual returns (25 observations). Risk-free rate assumed at 2% (approximate long-run average). Up/Down capture ratios measured against S&P 500 price return in years where the index was positive/negative respectively.
Bootstrap confidence intervals from 5,000 random samples of training-period quarterly returns. Skewness and kurtosis from 25 annual return observations. Rolling return windows use overlapping annual periods.