Quantitative model
Momentum and factor exposure.
Alone, it cannot tell a sustainable trend from temporary enthusiasm.
Strategy · concentrated equity, long only
Alpha Convergence®
Twenty-two US-traded equities, equal weight, two in each of the eleven sectors, bought only when two independent models agree, and rebuilt before the edge fades. The live record is tested against luck every trading day and published favorable or not.
- Live since
- 27 Jun 2025
- Holdings
- 22, equal weight
- Benchmark
- RSP, fixed before trading began
- Record as of
- 20 Oct 2026
Who it is for
A long-only equity strategy for tax-deferred and tax-exempt accounts
- Schwab RIAs, through the Schwab Managed Account Marketplace as sub-adviser, on your paper.
- Sophisticated individual investors and non-tax-paying institutions, in a separately managed account at Schwab.
- IRA, Roth and other tax-exempt mandates first: the strategy rebalances on signal and generates short-term gains by design, so account tax treatment matters when choosing where to hold it.
“Two independent systems must both approve every stock before we buy it, the portfolio holds 22 of them equally so no single bet can sink it, and we watch market conditions all day so we know when the environment favors us and when it does not.”
How it works
Two independent models. A stock is bought only when both agree.
The strategy borrows its central idea from credit underwriting and applies it to stocks.
Design
A bank funds a loan when two systems that study the borrower from different angles both approve. A credit score looks backward, at how the borrower has behaved. A cash-flow analysis looks forward, at whether the borrower can repay. The two have low correlation by design, so their agreement carries more information than either one alone.
Fundamental model
Quality, valuation and catalyst.
Alone, it cannot tell an imminent catalyst from indefinite undervaluation.
Agreement
Market recognition and fundamental support in the same stock.
Every name in the portfolio comes from here.
- Universe1,300+ liquid securities
- Pass the quantitative screenabout 23%
- Pass the fundamental screenabout 14%
- Pass bothabout 8%
- Held22, two per sector
Construction and characteristics
Design- Positions
- 22, equal weight
- Sectors
- All eleven GICS sectors, two in each, with sub-sector diversity where possible
- Universe
- 1,300+ liquid securities, mostly US large caps, plus ADRs and occasional mid caps
- Holding
- Signal-driven, capped at 90 calendar days
- Rebalancing
- As signals decay, about four to five times a year
- Model correlation
- Target −5% to +5%
- Stock correlation
- Target below 0.30
- Independent factors
- 10 to 12 principal components
- Turnover
- 200–400%
The full method, including how the regime classification works, what triggers position changes and how the rules behave through a rate shock, is in the Alpha Convergence white paper. Why some days are excluded from the alpha measurement.
The live record
Since the first trade, against RSP, with SPY alongside
AC grossAC netRSP priceSPY price
* Net figures deduct a 2% model fee, the highest fee we charge. Our fees range from 1% to 2% a year, depending on the size of the account. The full schedule is in Form ADV Part 2A.
| Window | Alpha Convergence, gross | Net of 2% model fee* | RSP | Excess, gross |
|---|---|---|---|---|
| Since inception331 trading days | +56.8% | +52.8% | +22.3% | +34.5 ppt |
| Since composite inceptionclient composite, from 1 Sep 2025 | +44.7% | — | +16.5% | +28.1 ppt |
| Last twelve monthsfrom 21 Oct 2025 | +36.3% | — | +15.5% | +20.8 ppt |
| Year to datefrom 2 Jan 2026 | +32.0% | +29.9% | +14.1% | +17.9 ppt |
* Net figures deduct a 2% model fee, the highest fee we charge. Our fees range from 1% to 2% a year, depending on the size of the account. The full schedule is in Form ADV Part 2A.
- Net, since inception
- +52.8% cumulative, +38.1% a year
- Gross, since inception
- +56.8% cumulative, +40.9% a year
- Is the edge real?
- Gross: t = 2.38, p = 0.009, one-sided, Newey-West HAC. Significance is measured gross of fees, as the SEC marketing rule permits for a statistic of skill; the returns above are shown gross and net.
The composite: the Alpha Convergence Flagship composite held 29 client portfolios in 41 accounts, $18.41MM, as of Sep 30, 2026. Mark invests alongside clients, in the same positions at the same prices.
Gross is the daily equity-sleeve return of the Alpha Convergence Flagship strategy, reconciled to a tracking account at Schwab. Net deducts a 2% model advisory fee*, not the fees actually billed. RSP is total return: price plus its dividend accrued evenly. The strategy record starts on 27 Jun 2025 and includes 27 Jun to 18 Aug 2025 on firm capital, before client accounts began; client accounts were rotated into the strategy on 19 Aug 2025, and the client composite starts 1 Sep 2025. “Since inception” is the strategy record; “since composite inception” is the client composite. Figures are not independently verified, and the firm does not claim GIPS compliance. Past performance is not indicative of future results.
* Net figures deduct a 2% model fee, the highest fee we charge. Our fees range from 1% to 2% a year, depending on the size of the account. The full schedule is in Form ADV Part 2A.
Risk statistics
Lower beta than the market, by design
Since inception, from daily returns against RSP. It tends to move less than the index and give back less in a drawdown; that cushion is regime-dependent, not a floor.
- Annual volatility13.9%Annualized, daily
- Maximum drawdown−8.5%Peak to trough
- Beta0.86to RSP · 0.78 to SPY
- Sharpe · Sortino2.17 · 3.35Gross, annualized
- Information ratio1.91Tracking error 10.1%
- Capture vs RSP96% / 76%Up market / down market
Expectation
Early ratios run high
Information ratios this early in a record usually reflect favorable sequencing, and tend to compress toward 1.0–1.5 over full market cycles. Read today’s figure as an observation, not a long-run expectation.
Design
What FlightDeck watches
VIX above 30 for more than five trading days brings a closer look at equity exposure; above 40, an immediate defensive assessment. When VIX runs very high we recommend a defensive reallocation. Where we manage the whole account, we make it ourselves, at our discretion. Where we manage only the equity sleeve, we recommend trimming exposure to us for a while. We will post notes when we think an event requires a reallocation.
Terms
How to hold it
- Vehicle
- Separately managed account, custodied at Charles Schwab. You hold the account, we trade it.
- Accounts
- IRA, Roth, other tax-exempt, and taxable. Long only, no margin required.
- Minimum
- Direct relationship: $150,000, as stated in Form ADV Part 2A. Sub-advised through Schwab: $50,000 per sleeve, $250,000 per relationship.
- Fees
- Direct: fee-only, up to 2% a year at the top tier; full schedule in Form ADV Part 2A. Schwab sub-advisory: 75 bps a year.
- Contract
- 30-day terminable; no long-term contract, no lock-up.
- Liquidity
- Daily.
- Capacity
- At least $300MM, on a deliberately conservative estimate. Modeled capacity runs to roughly $1B.
- GIPS
- A self-prepared, GIPS-consistent composite is available, with its methodology defined, on request.
Documents and monitors
- PDFFactsheet, one pageNet and gross since inception against RSP, both significance readings, risk, construction and terms. Generated from the live record.
- PaperThe white paperThe complete systematic method and the full table of tests.
- LiveAC Market MonitorRegime, period status and alpha, updated each trading day at 1:30 PM PT.
- KitThe full due-diligence kitForm ADV, reconciled returns and how to request the rest.
Backstage tour
See it running live
A live screen-share of FlightDeck with Mark Tennenbaum, CIO: the command center driven in real time, how today’s market is classified and what the book does about it, and the record with the tests behind it.