Core Alpha Research · Nº 003 · Long-History Tearsheet HYPOTHETICAL
The Model Portfolio, across market cycles.
Core Alpha Research — a hypothetical Model Portfolio. This long-history backtest is the Core
Alpha strategy: the high-turnover, opportunistic momentum book built for tax-advantaged accounts.
The flagship Structural Alpha book — diversified, low-turnover, tax-managed — is the
taxable-account strategy. This is a hypothetical, multi-decade backtest, fit in-sample and reported
out-of-sample — not a client account and not an executed order.
Signal system — research only, not investment advice.
Out-of-sample = the held-out remainder after parameters were fit on the in-sample
head; net of modeled transaction cost. Past performance does not predict future results.
Intended for sophisticated investors; these are
hypothetical model results, not advice, and may not be relevant to your situation.
Hypothetical / backtested performance — not a real track record.
Every figure here reflects the retroactive application of a quantitative model to
long-run historical data (price history partly proxy-spliced). It is hypothetical: it does not
represent actual trading, any actual client account, or actual client capital; no client capital was invested.
Results were prepared with the benefit of hindsight and do not reflect the impact material market
factors might have had on live decision-making.
Past performance — whether hypothetical or actual — does not guarantee future results.
Net of modeled transaction cost; benchmarks are buy-and-hold. Research and
illustration only; not investment, tax, or legal advice.