For educational purposes only. Nothing on this site constitutes investment advice. Disclaimers

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Alpha Quadrants

Advanced four-sleeve model, each pairing a shared growth-beta engine with a distinct alpha source: long/short equity, factor premia, systematic premia, and managed futures.

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TickerWeightBetaNotes
CLSE16%0.6[Alpha] US long/short equity, security selection and dispersion, low-net-correlation drawdown buffer.
SSO9%2[Growth] 2x S&P 500, leveraged beta paired with the long/short alpha sleeve.
FCMO.TO18%1[Growth] Fidelity U.S. Momentum ETF, Canadian-listed momentum growth engine for this quadrant.
VFLO7%0.75[Alpha] Large-cap free-cash-flow value tilt, factor-premia alpha alongside momentum.
UPRO7.5%3[Growth] 3x S&P 500, high-conviction leveraged beta paired with the systematic premia sleeves.
FLSP9%0[Alpha] Systematic long/short equity and style premia sleeve.
PFMN.TO8.5%0.12[Alpha] Market-neutral long/short equity, beta-neutral premia complement to FLSP.
MATE25%1[Growth + Alpha] Return-stacked 100% S&P 500 + 100% managed futures, growth core and trend-following alpha in one fund.

Weighted portfolio beta (approx.): 0.99

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Total return (CAD vs SPY)

Range
+43.66%
Portfolio
+24.56%
SPY (benchmark)
+19.10%
Excess α vs SPY
-8.29%
Max drawdown
-9.41%
SPY max DD
—
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
—
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
PortfolioSPY
Portfolio score: A

Alpha score: A+

Max DD score: B+

Beta score: B+

Beta: 0.99

Net leverage:

Total: 116.1%

Gross longs: 98.6%

Gross shorts: 16.5%

Gross alpha & alts: 34.0%

Portfolio weights:

CLSE: 16%

SSO: 9%

FCMO.TO: 18%

VFLO: 7%

UPRO: 7.5%

FLSP: 9%

PFMN.TO: 8.5%

MATE: 25%

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

FCMO.TO: methodology lists SPMOas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

VFLO: methodology lists COWZas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

MATE: total-return path multiplies daily returns of RSST. Pre-inception path deducts ~4%/yr wholesale financing on 1.00× incremental notional (gross ~200% vs 100% cash).

CLSE's inception date of 2022-02-22 is limiting the backtest.

Growthshared core
Long/short + 2× SPY25%
Growth: 2× SPY (SSO)Alpha: long/short equity
GrowthChoppy/Sideways

Security selection and dispersion alpha, paired with leveraged S&P 500 beta.

Momentum + value25%
Growth: momentum factorAlpha: factor premia
GrowthInflation

Momentum growth engine paired with a free-cash-flow value alpha sleeve.

Premia + 3× SPY25%
Growth: 3× SPY (UPRO)Alpha: systematic premia / carry
GrowthInflationChoppy/Sideways

Style premia and multi-strategy alternatives, paired with high-conviction leveraged beta.

Managed futures + SPY25%
Growth: SPY sleeve in MATEAlpha: managed futures
GrowthInflationRecessionDeflation

Trend-following crisis alpha return-stacked with S&P 500 beta in a single fund.