asset_allocation · June 1, 2026

Ma Crossover Top 2 Monthly ASSET_CLASS — Research Note

Backtest results (2005-01-01 → 2026-06-01, 5385 trading days)

Backtest summary

Sharpe: 0.79
CAGR: 14.1%
Max DD: -26.2%
Calmar: 0.54
Vol: 15.7%
Beta: 0.22
Beat %: 47%
Capacity: $5M

Backtest window: 2005-01-01 → 2026-06-01. 5 bps per side transaction cost applied.

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Disclaimer. This is research, not investment advice. Empirica Technologies is not licensed as a financial adviser in any jurisdiction. The strategy described is a quantitative ranking methodology; we do not recommend that you trade it. Past backtest performance does not predict future returns. Survivorship bias is present in the dataset (current index constituents only) and overstates returns by approximately 1–3% per year. Real-world frictions (slippage, taxes, liquidity) are not fully captured. Consult a licensed adviser before making any investment decision.