WSH Short Earnings Date by Wall Street Horizon

Performance 1/1/13 - 1/24/19
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Investment Approach
About Wall Street Horizon:
Wall Street Horizon provides institutional investors and traders with the most accurate and comprehensive forward-looking corporate data. Wall Street Horizon offers over 40 event types covering more than 7,000 equities worldwide.

Backtest: WSH Short Earnings
The portfolio is based on a model set to identify short signals based on Wall Street Horizon earnings date shift data. More specifically identify optimal conditions for entry when a company shifts its earnings date later than it was originally set. The model portfolio scans securities from the S&P 500 universe.

Here's how the backtest is conducted:

  • The portfolio selects its assets using Lucena’s event scan technology which identifies the equities most likely to underperform the S&P 500 in the           near future.
  • The scan is run everyday, if constituents are identified for entry, equally allocated short positions are entered between all the new constituents.
  • The entered positions are held for 63 days or until they hit the stop loss condition defined for the position
  • There is a stop loss condition on every entered position, which executes when the ATR (average true range) crosses above 3x of the normal                   volatility (averaged across the past 21 days).
  • The portfolio can stay in cash if no constituents are identified. Market relative performance is the goal of the strategy.
  • Performance Versus Benchmark 1/1/13 to 1/24/19
    Strategy Overall Bench Overall Strategy TTM Bench TTM
    Abs. Return 44.68% -57.31% 32.73% -1.15%
    Rel. Return 101.99% N/A 33.88% N/A
    Beta 0.78 N/A 0.67 N/A
    Std. Dev 1.18% 0.77% 1.27% 0.73%
    Sharpe 0.42 -1.08 1.50 -0.04
    Draw Down -27.65% -57.57% -7.41% -9.96%
    IR 1.30 N/A 1.62 N/A
    0.26 N/A 0.15 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 32.73% 16.13% 8.71% 5.71% N/A
    Std. Dev 1.27% 1.07% 1.10% 1.21% N/A
    Ann. Volatility 20.23% 16.91% 17.49% 19.16% N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Total
    Strategy 10.53% -0.40% -0.48% 3.88% 0.66% 0.62% -2.68% 1.06% 9.60% -0.74% 7.76% -0.79% 32.73%
    Benchmark 3.27% 2.28% -0.62% -2.44% -0.67% -3.30% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -1.15%
    Rel. Return 7.26% -2.68% 0.13% 6.33% 1.34% 3.91% -2.68% 1.06% 9.60% -0.74% 7.76% -0.79% 33.88%
      
    Perspective on Performance

    WSH Short Earnings Date

    Strategy Performance Analysis by Wall Street Horizon
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    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
      
    Simulation Settings
    Strategy Settings
    Module:Event Analyzer
    Date of report: 6/24/19 3:48 PM
    Date Range: 1/1/13-1/24/19
    Generated by: WallStreetHorizon Research
    Benchmark: SH
    Holding Period: 63
    Transaction Cost Modeling:
    Commission/trade$0.00
    Commission/share$0.0
    Leverage1.0
    Short Borrowing0.00%
    Slippage0.0 bps
    Rebalancing:
    Preferred Day N/A
    Exit Criteria Settings:
    Stop Loss N/A
    Max Gain N/A
    Portfolio Stop Loss N/A
    Portfolio Max Gain N/A
    Indicators:
    WSH Short Earnings Date
    WSH-Days Earning Shifted Days6.0 to 63.0
    WSH-Days Till Next Earnings Days5.0 to 56.0
    FLRLONG Free Cash Flow Yield Rank0.07 to 0.29
    FLRLONG Market Cap to Net Income Rank0.067 to 0.759
    Event Universe
    Name Dates Whitelist Sectors
    WSH Short Earnings Date 1/1/10 - 12/31/12 S&P 500 All

    Combination Method:
    Selection Type:Union
      
    Performance Metrics
    Transaction Cost:
    Commissions$0.00
    Slippage$0.00
    Borrowing Costs$0.00
    Total Transaction Costs$0.00
    Transaction Analysis:
    Number of Transactions 1,057
    Average Trade Hold Days (Weighted) 63.00 (N/A)
    % Successful Transactions (Weighted) 51.42% (N/A)
    % Hit Stop Loss 0.00%
    % Hit Stop Gain 0.00%
    Profit Ratio 1.48
    Monthly Performance Metrics:
    Days of Outperformance 54.62%
    Months of Outperformance67.12%
    Most Consecutive Months of Outperformance6
    Most Consecutive Months of Underperformance3
    Benchmark Relative Metrics:
    Beta0.78
    Information Ratio1.30
    R^20.26
    Tracking Error1.03%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Fund44.68%0.420.67 0.89 1.18% -27.65%
    Benchmark-57.31%-1.08-1.34 0.00 0.77% -57.57%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Fund$1,000K$1,447K$446,760.89 6.28%
    Benchmark$1,000K$426,875.00($573,125.00) -13.11%
      
    Performance Metrics By Year
    2013 2014 2015 2016 2017 2018 2019
    ReturnStrategy 2.75% 2.89% 7.40% -7.61% 4.76% 32.69% -0.79%
    Benchmark -23.45% -13.17% -3.70% -12.20% -18.29% -7.04% 0.00%
    Winning DaysStrategy 50.61% 45.63% 53.17% 46.03% 51.79% 49.21% 46.67%
    Benchmark 41.04% 41.27% 52.38% 46.22% 47.37% 42.14% 0.00%
    SharpeStrategy 0.25 0.25 0.41 -0.30 0.45 1.62 -0.13
    Benchmark -2.42 -1.18 -0.17 -0.93 -1.77 -0.56 0.00
    SortinoStrategy 0.39 0.47 0.64 -0.46 0.69 3.20 -0.20
    Benchmark -4.16 -1.94 -0.25 -1.38 -0.94 -0.77 0.00
    Max DDStrategy -10.59% -17.98% -23.81% -18.81% -9.77% -7.23% -7.41%
    Benchmark -23.69% -19.16% -12.51% -21.86% -18.75% -9.96% 0.00%
    AlphaStrategy 0.24 0.16 0.11 0.01 0.08 0.38 -0.01
    Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00
    St. Dev.Strategy 1.01% 1.09% 1.52% 1.25% 0.76% 1.16% 2.39%
    Benchmark 0.68% 0.72% 0.97% 0.82% 0.70% 0.74% 0.00%
    Tracking ErrorStrategy 0.82% 0.84% 1.15% 1.14% 0.95% 1.07% 2.32%
    Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
      
    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 Strategy 1.81% -2.81% -4.94% -2.91% 10.63% 0.34% -1.42% 5.79% -1.10% 0.13% 0.88% -2.70% 2.75%
    Benchmark -2.52% -1.46% -3.66% -2.06% -2.39% 1.13% -4.89% 2.89% -3.10% -4.53% -3.02% -2.54% -23.45%
    Relative Return 4.32% -1.35% -1.27% -0.86% 13.01% -0.80% 3.47% 2.90% 2.00% 4.66% 3.90% -0.16% 26.20%
     
    2014 Strategy 10.07% 1.54% -4.90% -0.15% 0.12% -5.73% -1.97% -3.66% 4.56% 0.49% 1.81% 1.69% 2.89%
    Benchmark 3.45% -4.50% -0.92% -0.87% -2.35% -2.05% 1.30% -3.90% 1.35% -2.67% -2.63% 0.05% -13.17%
    Relative Return 6.62% 6.03% -3.98% 0.72% 2.47% -3.67% -3.27% 0.23% 3.21% 3.16% 4.44% 1.64% 16.07%
     
    2015 Strategy -1.25% -12.21% -4.26% 3.58% -0.59% 4.31% 4.12% 9.31% 9.37% -10.09% 6.04% 1.51% 7.40%
    Benchmark 2.87% -5.51% 1.43% -1.01% -1.36% 1.87% -2.17% 5.80% 2.12% -7.93% -0.41% 1.32% -3.70%
    Relative Return -4.12% -6.70% -5.70% 4.59% 0.77% 2.44% 6.29% 3.51% 7.25% -2.16% 6.45% 0.19% 11.10%
     
    2016 Strategy -3.44% 2.00% -8.34% 6.33% 3.89% -9.64% -1.11% 5.40% 0.56% 3.12% -2.18% -3.04% -7.61%
    Benchmark 4.77% -0.13% -6.47% -0.47% -1.86% -0.55% -3.60% -0.17% -0.19% 1.82% -3.66% -1.99% -12.20%
    Relative Return -8.22% 2.13% -1.86% 6.80% 5.75% -9.09% 2.49% 5.57% 0.75% 1.30% 1.49% -1.05% 4.59%
     
    2017 Strategy 2.20% 2.26% 3.69% -0.96% -2.22% -2.66% 0.79% 8.84% -0.99% -0.21% -7.50% 2.28% 4.76%
    Benchmark -1.89% -3.84% -0.17% -1.06% -0.40% 0.00% 0.00% 0.00% 0.00% 0.00% -10.96% -1.12% -18.29%
    Relative Return 4.10% 6.10% 3.86% 0.10% -1.82% -2.66% 0.79% 8.84% -0.99% -0.21% 3.47% 3.40% 23.06%
     
    2018 Strategy -0.17% 10.53% -0.40% -0.48% 3.88% 0.66% 0.62% -2.68% 1.06% 9.60% -0.74% 7.76% 32.69%
    Benchmark -5.49% 3.27% 2.28% -0.62% -2.44% -0.67% -3.30% 0.00% 0.00% 0.00% 0.00% 0.00% -7.04%
    Relative Return 5.32% 7.26% -2.68% 0.13% 6.33% 1.34% 3.91% -2.68% 1.06% 9.60% -0.74% 7.76% 39.72%
     
    2019 Strategy -0.79% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -0.79%
    Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
    Relative Return -0.79% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -0.79%
     
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 51.79% 0.00% 0.00% 106.71% 0.00% 0.00% 96.21% 0.00% 0.00% 95.25% 0.00% 0.00% 349.95%
    2014 104.60% 0.00% 0.00% 89.98% 0.00% 0.00% 109.00% 0.00% 0.01% 102.09% 0.00% 0.00% 405.68%
    2015 97.10% 0.00% 0.00% 120.35% 0.01% 0.00% 92.61% 0.01% 0.00% 85.11% 0.00% 0.01% 395.21%
    2016 97.88% 0.00% 0.01% 107.46% 0.01% 0.01% 105.40% 0.01% 0.01% 92.10% 0.01% 0.01% 402.90%
    2017 105.61% 0.03% 0.01% 90.88% 0.05% 0.01% 106.49% 0.05% 0.01% 93.62% 0.03% 0.04% 396.82%
    2018 105.78% 0.01% 0.06% 89.28% 0.03% 0.02% 97.61% 0.04% 0.00% 95.02% 0.01% 0.02% 387.90%
    2019 93.63% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 93.63%
      

    DISCLAIMER PERTAINING TO CONTENT DELIVERED & INVESTMENT ADVICE

    Simulation/Data Guidelines: Backtest simulations use adjusted pricing data to reflect split, reverse split and dividends. Dividends are automatically reinvested. Trade executions are evaluated daily using open, high, low, close and total volume points. Stop losses and total return limits do not consider intraday price changes. Trade executions may assume unattainable prices in live trading. Backtests that have run through the current date may contain trades based on intraday data for the last date. All data used by backtest simulation is subject to change or correction, and backtest results may vary at different run times. Trade decisions made by Lucena's proprietary technologies are also subject to change due to alterations of underlying algorithms. Backtest results should not be considered reproducible at a later point in time. Backtest results may contain in-sample and out-of-sample periods and do not reflect a real actively-managed portfolio.​

    Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.

    Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.

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