	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Total
Strategy	-0.2%	0.8%	-5.8%	4.7%	2.3%	3.1%	1.2%	-0.3%	2.9%	-3.2%	2.0%	2.1%	7.7%
Benchmark	0.4%	0.9%	-5.4%	4.9%	1.3%	5.3%	-0.1%	0.8%	4.1%	-2.7%	2.4%	2.4%	12.1%
Rel. Return	-0.6%	-0.1%	-0.3%	-0.2%	1.0%	-2.2%	1.3%	-1.0%	-1.2%	-0.5%	-0.5%	-0.3%	-4.4%

Model: Utilities Live

Strategy Performance Analysis by Neuravest

Performance Report

Performance Chart

Correlation

Beta

Exposure

Cross Validation Statistics

Cross Validation Performance

Cross Validation Daily Return Distributions

Simulation Settings

Strategy Settings

Module:	Optimizer
Date of report:	2/13/19 9:26 AM
Date Range:	1/1/00-8/20/17
Generated by:	Lucena Strategies
Benchmark:	XLU
Target Leverage:	1.0

Transaction Cost Modeling:
Leverage	1.0
Short Borrowing	3.5%
Slippage Mode	Specify a bps value
Slippage	0 bps

Rebalancing:
Frequency	Every 10 Days
Preferred Day	Tuesday

Exit Criteria Settings:
Stop Loss	12.00%
Max Gain	N/A
Portfolio Stop Loss	N/A
Portfolio Max Gain	N/A
Both Up or Down met	Use Balance Exit

Optimize Settings:
Lookback	3 Months
Minimum Cash Percentage	0.0
Minimum Cash Remaining	0.0
Portfolio Type	Long Only
Risk Level	0 - Conservative

Forecast Settings:
Forecast Method	Historical Average

Performance Metrics

Transaction Cost:

Commissions ($0.004 per share, $2.95 min per trade)	$93,222
Slippage	$168,907
Borrowing Costs	$0
Total Transaction Costs	$262,128

Transaction Analysis:

Number of Transactions	4,762
Average Trade Hold Days (Weighted)	109.00 (N/A)
% Successful Transactions (Weighted)	68.4% (N/A)
% Hit Stop Loss	11.4%
% Hit Stop Gain	0.0%
Profit Ratio	N/A

Monthly Performance Metrics:

Days of Outperformance	N/A
Months of Outperformance	51.9%
Most Consecutive Months of Outperformance	10
Most Consecutive Months of Underperformance	5

Benchmark Relative Metrics:

Beta	0.73
Information Ratio	0.38
Annualized Tracking Error	10.3%

Performance Metrics:

Portfolio	Return	Sharpe	Sortino	Alpha	Ann. Volatilty	Max DrawDown
Fund	705.1%	0.81	1.13	5.06	16.3%	-34.6%
Benchmark	275.2%	0.49	0.66	0.00	18.9%	-52.3%

Portfolio	Initial	Adjusted Final	Adjusted Return	Compound Annual Return
Fund	$1,492K	$12,010K	$10,518K	12.6%
Benchmark	$1,492K	$5,596K	$4,105K	7.8%

Performance Metrics By Year

		2000	2001	2002	2003	2004	2005	2006	2007	2008
Return	Strategy	44.0%	9.1%	10.1%	17.1%	16.4%	11.1%	16.0%	10.5%	-16.5%
Return	Benchmark	25.6%	-13.0%	-28.8%	26.5%	23.6%	16.4%	20.9%	18.4%	-28.9%
Winning Days	Strategy	52.6%	55.6%	52.4%	54.0%	55.2%	58.3%	53.8%	55.8%	47.4%
Winning Days	Benchmark	50.4%	51.2%	48.0%	55.3%	56.8%	57.8%	53.4%	59.6%	49.2%
Sharpe	Strategy	1.73	0.57	0.53	1.17	1.56	0.91	1.25	0.71	-0.57
Sharpe	Benchmark	1.11	-0.64	-0.89	1.50	1.84	1.12	1.75	1.06	-0.74
Sortino	Strategy	2.96	0.73	0.78	1.86	2.47	1.31	2.13	0.93	-0.81
Sortino	Benchmark	1.87	-0.99	-1.27	2.10	2.70	1.52	2.96	1.34	-1.12
Max DD	Strategy	-16.2%	-13.9%	-24.3%	-13.2%	-8.1%	-10.3%	-9.3%	-12.5%	-24.9%
Max DD	Benchmark	-15.9%	-17.8%	-45.1%	-17.6%	-8.6%	-11.9%	-7.6%	-11.7%	-39.7%
Alpha	Strategy	0.30	0.17	0.28	-0.03	-0.00	-0.02	-0.04	-0.05	0.00
Alpha	Benchmark	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Ann. Volatilty	Strategy	22.6%	18.5%	22.8%	14.2%	10.0%	12.4%	12.6%	16.0%	25.8%
Ann. Volatilty	Benchmark	22.9%	19.2%	32.3%	16.5%	11.9%	14.4%	11.3%	17.4%	36.9%
Tracking Error	Strategy	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Tracking Error	Benchmark	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A

		2008	2009	2010	2011	2012	2013	2014	2015	2016	2017
Return	Strategy	-16.5%	13.7%	14.1%	20.6%	1.6%	12.9%	32.3%	-4.9%	15.4%	10.3%
Return	Benchmark	-28.9%	11.7%	5.3%	19.6%	1.0%	13.1%	28.7%	-4.9%	16.1%	14.0%
Winning Days	Strategy	47.4%	52.4%	52.8%	52.8%	46.8%	54.8%	54.4%	52.4%	57.9%	57.2%
Winning Days	Benchmark	49.2%	52.2%	52.8%	54.7%	50.0%	54.4%	56.2%	54.0%	56.3%	55.4%
Sharpe	Strategy	-0.57	0.80	1.04	1.31	0.21	1.03	2.10	-0.20	0.99	1.63
Sharpe	Benchmark	-0.74	0.65	0.42	1.16	0.16	1.06	1.93	-0.21	1.03	2.23
Sortino	Strategy	-0.81	1.14	1.59	1.97	0.35	1.62	3.39	-0.26	1.24	2.56
Sortino	Benchmark	-1.12	0.98	0.61	1.66	0.25	1.67	3.06	-0.28	1.26	3.67
Max DD	Strategy	-24.9%	-21.5%	-7.5%	-10.6%	-9.2%	-12.4%	-9.5%	-16.8%	-13.0%	-6.0%
Max DD	Benchmark	-39.7%	-24.5%	-9.4%	-11.3%	-9.9%	-12.0%	-9.2%	-15.7%	-12.4%	-5.0%
Alpha	Strategy	0.00	0.04	0.10	0.03	0.01	0.00	0.04	0.00	-0.00	-0.03
Alpha	Benchmark	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
Ann. Volatilty	Strategy	25.8%	18.0%	13.4%	15.2%	9.9%	12.6%	13.8%	17.3%	15.7%	9.8%
Ann. Volatilty	Benchmark	36.9%	20.2%	15.0%	16.6%	9.6%	12.3%	13.5%	17.0%	15.7%	9.5%
Tracking Error	Strategy	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Tracking Error	Benchmark	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A

Monthly Return to Benchmark By Year

		Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2000	Strategy	6.6%	-10.3%	6.7%	11.6%	2.9%	-6.5%	4.5%	11.5%	7.8%	-5.1%	7.3%	2.7%	44.0%
	Benchmark	0.7%	-12.2%	11.1%	6.5%	-0.2%	-3.4%	1.6%	3.8%	13.2%	5.8%	-0.0%	-1.4%	25.6%
	Relative Return	6.0%	1.9%	-4.4%	5.1%	3.1%	-3.1%	2.9%	7.7%	-5.4%	-10.9%	7.4%	4.0%	18.4%

2001	Strategy	-10.7%	7.5%	3.7%	2.8%	4.0%	0.8%	-4.6%	3.1%	-1.8%	0.0%	0.4%	5.0%	9.1%
	Benchmark	-5.6%	2.1%	-1.4%	4.8%	0.7%	-5.0%	-0.9%	-3.6%	-1.0%	-5.3%	-1.3%	3.2%	-13.0%
	Relative Return	-5.1%	5.4%	5.1%	-2.0%	3.3%	5.8%	-3.7%	6.6%	-0.8%	5.3%	1.6%	1.8%	22.2%

2002	Strategy	-1.4%	3.4%	8.0%	3.8%	-0.7%	-2.8%	-6.3%	0.5%	-4.1%	5.2%	-1.5%	6.4%	10.1%
	Benchmark	-3.6%	-0.2%	5.3%	-6.1%	-0.8%	-6.7%	-14.7%	4.0%	-12.1%	-2.3%	2.9%	3.2%	-28.8%
	Relative Return	2.2%	3.6%	2.7%	9.9%	0.2%	3.9%	8.4%	-3.5%	8.1%	7.5%	-4.4%	3.2%	38.8%

2003	Strategy	-3.3%	-2.6%	4.0%	3.8%	7.4%	0.7%	-4.7%	2.0%	4.4%	1.9%	0.1%	2.8%	17.1%
	Benchmark	-2.3%	-5.3%	5.1%	8.6%	10.1%	1.4%	-6.7%	2.0%	5.0%	0.7%	0.2%	6.6%	26.5%
	Relative Return	-0.9%	2.8%	-1.0%	-4.8%	-2.7%	-0.6%	2.0%	0.0%	-0.5%	1.2%	-0.2%	-3.8%	-9.4%

2004	Strategy	-0.6%	0.1%	1.5%	-3.3%	0.1%	3.1%	1.5%	3.3%	-0.4%	1.9%	4.8%	3.6%	16.4%
	Benchmark	2.1%	1.9%	1.1%	-4.3%	1.2%	1.7%	1.5%	4.1%	0.6%	4.9%	4.5%	2.5%	23.6%
	Relative Return	-2.7%	-1.8%	0.4%	1.0%	-1.1%	1.3%	0.0%	-0.8%	-1.0%	-2.9%	0.3%	1.1%	-7.2%

2005	Strategy	0.3%	1.0%	1.9%	0.2%	4.4%	4.7%	0.8%	-0.5%	2.2%	-5.5%	0.9%	0.5%	11.1%
	Benchmark	2.1%	2.1%	1.1%	3.1%	-0.1%	6.0%	2.2%	0.7%	4.2%	-6.4%	-0.2%	0.9%	16.4%
	Relative Return	-1.9%	-1.1%	0.8%	-2.9%	4.5%	-1.2%	-1.5%	-1.2%	-2.0%	0.9%	1.1%	-0.4%	-5.3%

2006	Strategy	1.9%	-1.7%	-3.0%	0.7%	2.3%	0.2%	3.5%	2.4%	-2.3%	5.3%	4.2%	1.8%	16.0%
	Benchmark	2.4%	1.3%	-4.6%	1.6%	1.6%	2.3%	4.8%	2.7%	-1.5%	5.3%	2.7%	0.9%	20.9%
	Relative Return	-0.6%	-3.0%	1.7%	-0.9%	0.7%	-2.1%	-1.3%	-0.4%	-0.8%	-0.0%	1.6%	0.9%	-4.9%

2007	Strategy	-0.1%	2.9%	3.3%	3.1%	-0.1%	-6.6%	-3.3%	1.2%	1.5%	5.1%	2.2%	1.5%	10.5%
	Benchmark	-0.4%	5.3%	3.6%	4.9%	0.5%	-4.7%	-4.0%	1.6%	3.8%	6.7%	0.7%	-0.2%	18.4%
	Relative Return	0.2%	-2.4%	-0.3%	-1.8%	-0.6%	-1.8%	0.7%	-0.4%	-2.4%	-1.6%	1.5%	1.6%	-7.9%

2008	Strategy	-7.5%	-1.0%	-0.8%	7.7%	0.4%	-3.4%	-1.3%	5.0%	-3.3%	-15.7%	5.1%	-1.1%	-16.5%
	Benchmark	-7.3%	-4.1%	1.6%	5.1%	3.6%	-0.7%	-6.4%	-1.1%	-11.0%	-13.0%	4.2%	-2.4%	-28.9%
	Relative Return	-0.1%	3.1%	-2.4%	2.6%	-3.2%	-2.7%	5.2%	6.1%	7.7%	-2.7%	0.9%	1.3%	12.4%

2009	Strategy	-0.7%	-10.7%	4.3%	-2.1%	-1.1%	7.5%	5.7%	1.6%	0.9%	-1.9%	5.3%	5.4%	13.7%
	Benchmark	-0.2%	-12.5%	1.9%	1.2%	3.6%	5.4%	3.8%	1.0%	1.4%	-3.2%	4.8%	5.5%	11.7%
	Relative Return	-0.5%	1.9%	2.4%	-3.2%	-4.7%	2.2%	1.9%	0.6%	-0.5%	1.4%	0.5%	-0.1%	2.0%

2010	Strategy	-2.8%	-0.2%	2.7%	4.3%	-4.8%	1.5%	7.1%	2.0%	3.1%	1.3%	-1.7%	1.4%	14.1%
	Benchmark	-4.8%	-1.3%	2.7%	2.6%	-5.5%	-0.7%	7.5%	1.4%	2.9%	1.1%	-3.0%	3.1%	5.3%
	Relative Return	2.0%	1.1%	-0.0%	1.7%	0.7%	2.2%	-0.4%	0.6%	0.2%	0.2%	1.3%	-1.7%	8.8%

2011	Strategy	1.1%	1.1%	0.0%	3.7%	2.2%	-0.4%	-1.1%	0.9%	2.8%	2.3%	2.1%	4.2%	20.6%
	Benchmark	1.2%	1.2%	0.2%	4.0%	2.1%	-0.1%	-0.9%	2.2%	0.2%	3.7%	1.0%	3.3%	19.6%
	Relative Return	-0.1%	-0.1%	-0.2%	-0.3%	0.0%	-0.2%	-0.2%	-1.3%	2.6%	-1.3%	1.1%	0.9%	0.9%

2012	Strategy	-3.6%	-0.4%	2.1%	2.4%	0.8%	3.1%	1.3%	-4.2%	1.1%	1.8%	-3.0%	0.3%	1.6%
	Benchmark	-3.6%	0.6%	1.4%	1.8%	0.6%	4.1%	2.5%	-4.1%	1.2%	1.4%	-4.3%	-0.0%	1.0%
	Relative Return	-0.0%	-1.0%	0.7%	0.6%	0.2%	-1.0%	-1.2%	-0.0%	-0.0%	0.4%	1.3%	0.4%	0.5%

2013	Strategy	6.0%	2.5%	4.8%	4.6%	-9.9%	1.8%	3.3%	-5.4%	2.1%	4.5%	-1.7%	0.8%	12.9%
	Benchmark	4.8%	2.3%	5.4%	6.0%	-9.1%	0.9%	4.3%	-5.0%	1.1%	3.8%	-1.9%	0.9%	13.1%
	Relative Return	1.3%	0.2%	-0.5%	-1.4%	-0.8%	0.9%	-1.0%	-0.4%	0.9%	0.7%	0.2%	-0.1%	-0.1%

2014	Strategy	4.1%	3.8%	4.6%	4.5%	-1.1%	4.3%	-6.5%	3.1%	-1.2%	7.3%	1.6%	4.5%	32.3%
	Benchmark	3.0%	3.5%	3.4%	4.2%	-1.1%	4.4%	-6.8%	4.9%	-1.9%	8.0%	1.2%	3.6%	28.7%
	Relative Return	1.2%	0.4%	1.3%	0.3%	0.0%	-0.1%	0.3%	-1.8%	0.7%	-0.7%	0.4%	0.9%	3.6%

2015	Strategy	3.1%	-7.8%	-1.8%	0.1%	-0.5%	-5.2%	7.1%	-3.5%	4.1%	0.2%	-2.4%	2.6%	-4.9%
	Benchmark	2.3%	-6.4%	-1.0%	-0.5%	0.6%	-6.0%	6.1%	-3.5%	2.9%	1.1%	-2.1%	2.1%	-4.9%
	Relative Return	0.7%	-1.4%	-0.8%	0.6%	-1.1%	0.7%	1.0%	-0.0%	1.2%	-0.9%	-0.2%	0.5%	0.1%

2016	Strategy	5.0%	3.0%	8.1%	-3.6%	0.9%	8.5%	-0.3%	-5.5%	-0.2%	0.8%	-5.8%	4.7%	15.4%
	Benchmark	4.9%	1.9%	8.0%	-2.4%	1.5%	7.6%	-0.7%	-5.5%	0.4%	0.9%	-5.4%	4.9%	16.1%
	Relative Return	0.0%	1.1%	0.1%	-1.1%	-0.6%	0.9%	0.3%	0.1%	-0.6%	-0.1%	-0.3%	-0.2%	-0.7%

2017	Strategy	2.3%	3.1%	1.2%	-0.3%	2.9%	-3.2%	2.0%	2.1%	N/A	N/A	N/A	N/A	10.3%
	Benchmark	1.3%	5.3%	-0.1%	0.8%	4.1%	-2.7%	2.4%	2.4%	0.0%	0.0%	0.0%	0.0%	14.0%
	Relative Return	1.0%	-2.2%	1.3%	-1.0%	-1.2%	-0.5%	-0.5%	-0.3%	N/A	N/A	N/A	N/A	-3.7%

Monthly Turnover For Strategy By Year

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2000	66.3%	16.2%	21.5%	42.2%	34.7%	33.7%	34.8%	65.9%	26.9%	23.6%	13.2%	20.4%	399.5%
2001	53.2%	12.5%	11.9%	40.6%	12.4%	11.0%	16.0%	8.6%	19.2%	11.8%	24.6%	5.0%	226.9%
2002	22.2%	8.7%	17.6%	14.7%	27.4%	10.3%	66.7%	17.8%	8.9%	13.5%	39.9%	26.5%	274.2%
2003	26.3%	19.7%	7.2%	25.3%	34.0%	42.2%	35.3%	59.2%	34.6%	40.0%	38.5%	71.4%	433.8%
2004	24.2%	38.1%	18.6%	22.3%	27.3%	16.3%	11.9%	22.9%	8.6%	40.2%	50.3%	46.3%	327.1%
2005	22.7%	18.2%	32.0%	11.2%	33.8%	16.3%	38.8%	49.5%	29.3%	35.1%	37.9%	13.1%	337.9%
2006	22.1%	21.5%	14.5%	16.7%	84.3%	55.7%	26.7%	25.5%	43.7%	52.1%	50.9%	34.9%	448.6%
2007	21.1%	23.0%	40.6%	24.7%	15.2%	35.0%	38.1%	54.0%	3.8%	19.6%	11.2%	24.8%	311.1%
2008	12.1%	11.7%	12.2%	9.4%	16.9%	31.2%	17.6%	25.4%	53.7%	176.6%	32.4%	4.5%	403.7%
2009	26.5%	14.4%	59.6%	6.5%	9.7%	36.7%	21.0%	3.5%	37.4%	16.0%	20.9%	15.6%	267.9%
2010	11.6%	18.6%	43.3%	20.1%	24.1%	20.4%	7.4%	19.9%	15.0%	29.7%	25.9%	38.3%	274.5%
2011	27.2%	39.0%	58.7%	10.8%	15.4%	48.7%	25.2%	51.7%	12.0%	19.9%	15.5%	12.7%	336.8%
2012	45.3%	26.7%	24.4%	31.3%	48.9%	15.5%	34.8%	16.9%	43.8%	31.5%	47.2%	39.0%	405.3%
2013	41.8%	61.0%	32.7%	43.8%	18.3%	40.3%	40.1%	27.1%	27.9%	31.8%	42.6%	28.7%	436.1%
2014	40.5%	27.8%	35.3%	29.1%	42.8%	30.8%	57.6%	25.9%	23.1%	24.0%	54.8%	21.8%	413.4%
2015	33.3%	25.6%	10.4%	12.2%	12.9%	38.8%	29.3%	39.2%	27.3%	7.7%	17.7%	46.4%	300.9%
2016	8.0%	7.4%	27.0%	16.1%	57.8%	44.3%	33.2%	41.1%	48.9%	25.0%	28.0%	28.5%	365.3%
2017	15.2%	42.7%	27.2%	12.7%	65.2%	25.0%	18.7%	29.5%	N/A	N/A	N/A	N/A	236.2%

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Investment advisory services provided by Neuravest Research Inc., a registered investment adviser. Registration as an investment adviser does not imply a certain level of skill or training. Nothing presented herein has been approved or verified by the United States Securities and Exchange Commission or by any self regulatory organization (SRO), or state securities authority.

Information presented herein is hypothetical and solely for informational purposes only, and should not be construed as an offer to buy or a solicitation of an offer to sell any security or other investment product. Though we have endeavored to present the information contained herein from sources believed to be reliable, we cannot guarantee the accuracy of such information and make no warranties or representations as such.

All investments involve risks that an investor should fully understand and be willing to bear. Past performance is no guarantee of future returns, and investing can result in partial or complete loss of invested capital. Such risks can be magnified to the extent leverage is deployed in the pursuit of potentially higher returns.

To the extent investment returns are presented, such investment returns are either hypothetically backtested or reflect a perpetual paper trading simulation and are labeled as such. Returns are presented as net returns of transaction costs, slippage and short borrowing costs (when applicable). Investment returns are also net of Neuravest standard annualized management fees of 40 basis points (on Assets Under Management) and 10% performance fee on excess return above an 8% hurdle. Investment returns presented reflect the reinvestment of dividends and other earnings, however they do not account for taxes that an investor may owe as a result of any investment gains. Investors may incur taxes as a result of investing, and may pay different transaction costs to the ones presented to the broker-dealer executing the transactions for their account(s).

Hypothetical backtested returns are simulated, retroactive, and created using the benefit of hindsight to a select period of time, and are thus inherently not as reflective of actual historical returns. Any hypothetical backtested returns are based on the following assumptions and criteria:

Actual price was available for execution
Capacity and daily float was supportive of volume traded.
Transaction cost and slippage are reflective of real-world brokerage fees.

Hypothetical backtested returns do not reflect actual trading and do not reflect the impact that material economic and market factors may have had on Neuravest’s algorithmic decision-making at the time.

To the extent investment performance is compared to one or more indexes, investors should be aware that one cannot invest directly into an index (a simulated basket of securities that do not reflect fees, costs, or taxes that an investor may actually incur).

Neuravest Research and its affiliates do not provide tax, legal or accounting advice. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for, tax, legal or accounting advice. You should consult your personal tax, legal and accounting advisors before engaging in any transaction.

Asset allocation/diversification or hedging does not guarantee a profit or protect against a loss.

Hypothetical backtest results, past performance is not indicative of future returns. Results are net of transactions' cost as well as of subscription fees of 40bps on AUM plus performance fee of 10% on excess return above an 8% hurdle.
Results are effective as of the last day of the backtest.

Performance fees may vary depending upon executed leverage.

NEURAVEST RESEARCH INC (CRD# 312803/SEC#: 801-120607)

	Strategy Overall	Bench Overall	Strategy TTM	Bench TTM
Abs. Return	705.1%	275.2%	7.7%	12.1%
Rel. Return	430.0%	N/A	-4.4%	N/A
Beta	0.73	N/A	0.97	N/A
Ann. Volatility	16.3%	18.9%	13.4%	13.5%
Sharpe	0.81	0.49	0.62	0.92
Drawdown	-34.6%	-52.3%	-10.1%	-9.8%
IR	0.38	N/A	-1.36	N/A
Tracking Error	10.3%	N/A	3.0%	N/A

	1 Yr	2 Yr	3 Yr	5 Yr	10 Yr
Ann. Return	7.7%	11.0%	11.6%	12.1%	10.4%
Ann. Volatility	13.5%	14.8%	15.2%	14.1%	15.9%