Factor Alpha
Backtest results
Metrics
1Y · since Oct 2025Factor Alpha | |
|---|---|
| Total Return | +6.76% |
| CAGR | +6.82% |
| Sharpe | 0.47 |
| Calmar | 0.64 |
| Max DD | -10.67% |
| Volatility | 17.47% |
| Win Rate | 51.0% |
Last year of a hypothetical backtest, Oct 30, 2025 to Oct 30, 2026. Create an account to see the full history.
About this strategy
Dynamic and disciplined, the strategy mainly holds leveraged growth (IVW) when the S&P 500 is trending upward. When the index falls below its 120-day average it pivots to the top three of momentum, quality, value, small-cap value, and low-volatility funds, protecting itself by staying in the strongest performers.
Current allocation
What the rules select as of Oct 30, 2026.
- IVW100%
iShares S&P 500 Growth ETF
Frequently asked questions
What is Factor Alpha?
Dynamic and disciplined, the strategy mainly holds leveraged growth (IVW) when the S&P 500 is trending upward. When the index falls below its 120-day average it pivots to the top three of momentum, quality, value, small-cap value, and low-volatility funds, protecting itself by staying in the strongest performers.
What is Factor Alpha holding today?
As of Oct 30, 2026, Factor Alpha allocates to IVW 100%.
How has Factor Alpha performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, Factor Alpha returned +7.6% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of Factor Alpha?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of Factor Alpha in a hypothetical backtest was -10.7%.
How do I use Factor Alpha?
Open Factor Alpha in Quantly to rerun the backtest, adjust the rules, and paper trade it. You can also connect a supported brokerage to trade your version live.
Backtest results are hypothetical and do not guarantee future returns. Strategies are shared by Quantly users for research only and are not investment advice.