DYN Short Multi-Event Backtest (8457,8320,1881,8458,8459,8460,8463)

Performance 1/1/10 - 1/24/19
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Investment Approach
Event Backtest
Performance Versus Benchmark 1/1/10 to 1/24/19
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 142.8% -66.8% 23.5% 0.9%
Rel. Return 209.6% N/A 22.7% N/A
Beta 0.98 N/A 0.72 N/A
Ann. Volatility 27.7% 12.8% 18.9% 7.5%
Sharpe 0.49 -0.89 1.21 0.15
Drawdown -44.1% -68.7% -12.4% -5.5%
IR 1.13 N/A 1.35 N/A
Tracking Error 23.7% N/A 17.3% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 23.5% 10.0% -6.0% 13.3% N/A
Ann. Volatility 19.0% 17.7% 33.3% 30.5% 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 2.9% 1.4% 1.4% -3.1% 2.0% 4.7% -1.4% -3.5% 12.7% 2.1% 11.4% -7.6% 23.5%
Benchmark 0.3% 3.9% 0.3% -2.1% 0.1% -2.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.9%
Rel. Return 2.6% -2.6% 1.0% -1.0% 1.8% 6.8% -1.4% -3.5% 12.7% 2.1% 11.4% -7.6% 22.7%
  
Perspective on Performance

DYN Short Multi-Event Backtest (8457,8320,1881,8458,8459,8460,8463)

Strategy Performance Analysis by Neuravest
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
  
Simulation Settings
Strategy Settings
Module:Event Analyzer
Date of report: 1/27/19 6:09 PM
Date Range: 1/1/10-1/24/19
Generated by: Lucena Strategies
Benchmark: $SPXTR_INV
Holding Period: Conditional Hold
Transaction Cost Modeling:
Leverage1.0
Short Borrowing0.0%
Slippage ModeSpecify a bps value
Slippage0 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:
DYN Short 4
TLR Average Price Value Days: 21Greater than 5.0
TLR Average PV Value Days: 21Greater than 50.0
FLRLONG EV to Sales Rank0.0075 to 0.83
TLR Slow Stochastic Bounded Rank Days: 21Less than 0.25
FLRLONG TTM Free Cash Flow Rank0.015 to 0.213
TLR Volume Delta % Change RankGreater than 0.75
DYN Short 1
TLR Average Price Value Days: 21Greater than 5.0
TLR Average PV Value Days: 21Greater than 50.0
FLRLONG EV to Book Value of Capital RankLess than 0.15
FLRLONG Shares Outstanding Change Rank0.689 to 0.836
TLR Slow Stochastic Bounded Rank Days: 2520.197 to 0.469
DYN Short 2
TLR Average PV Value Days: 21Greater than 50.0
TLR Average Run-up % Days: 637.01 to 17.97
TLR Price ValueGreater than 5.0
Analyst Recommendation ConsensusLess than 3.0
DYN Short 5
TLR (Price - SMA) - 1 Ratio Days: 200-5.18 to 47.45
TLR Average Price Value Days: 21Greater than 5.0
TLR Average PV Value Days: 21Greater than 50.0
TLR EMA Difference Rank Slow Days: 100, Fast Days: 500.319 to 0.51
TLR EMA Difference Rank Slow Days: 200, Fast Days: 500.01 to 0.62
TLR Volatility Rank Days: 252Greater than 0.75
DYN Short 6
TLR Average Price Value Days: 21Greater than 5.0
TLR Average PV Value Days: 21Greater than 50.0
TLR Beta Rank Days: 2520.125 to 0.284
FLRLONG Net Income to Total Assets Rank0.371 to 0.441
TLR Sharpe Rank Days: 630.25 to 0.95
DYN Short 7
TLR Average Price Value Days: 21Greater than 5.0
TLR Average PV Value Days: 21Greater than 50.0
TLR EMA Difference Rank Slow Days: 100, Fast Days: 50Less than 0.33
FLRLONG Free Cash Flow Rank0.77 to 0.864
FLR Price to Earnings Ratio Rank0.0257 to 0.234
FLRLONG Asset Turnover RankGreater than 0.95
DYN Short 3
TLR Average PV Value Days: 21Greater than 50.0
FLRLONG Free Cash Flow RankLess than 0.25
TLR Price ValueGreater than 5.0
FLRLONG Shares Outstanding Change Rank0.55 to 0.97
Event Universe
Name Dates Whitelist Sectors
DYN Short 4 1/1/10 - 12/31/11 Russell 1000,S&P 500 Partial
DYN Short 1 1/1/10 - 12/31/12 NASDAQ-100,Russell 1000,S&P 500 All
DYN Short 2 1/1/10 - 12/31/10 Russell 1000,S&P 500 Partial
DYN Short 5 1/1/10 - 12/31/10 Russell 1000,S&P 500 Partial
DYN Short 6 1/1/10 - 12/31/12 Russell 1000,S&P 500 Partial
DYN Short 7 1/1/10 - 12/31/12 Russell 1000,S&P 500 Partial
DYN Short 3 1/1/10 - 12/31/12 NASDAQ-100,Russell 1000,S&P 500 Partial

Combination Method:
Selection Type:Union
  
Performance Metrics
Transaction Cost:
Commissions ($0.0 per share, $0.00 min per trade)$0
Slippage$0
Borrowing Costs$0
Total Transaction Costs$0

Transaction Analysis:
Number of Transactions 2,996
Average Trade Hold Days (Weighted) 9.00 (N/A)
% Successful Transactions (Weighted) 52.3% (N/A)
% Hit Stop Loss 0.0%
% Hit Stop Gain 0.0%
Profit Ratio 1.16
Monthly Performance Metrics:
Days of Outperformance 54.9%
Months of Outperformance67.9%
Most Consecutive Months of Outperformance10
Most Consecutive Months of Underperformance5
Benchmark Relative Metrics:
Beta0.98
Information Ratio1.13
Annualized Tracking Error23.7%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
Fund142.8%0.490.67 2.13 27.7% -44.1%
Benchmark-66.8%-0.89-1.10 -0.06 12.8% -68.7%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,000K$2,428K$1,428K 10.3%
Benchmark$1,000K$331,697($668,303) -11.5%
  
Performance Metrics By Year
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
ReturnStrategy 31.8% 4.0% 13.8% -14.3% 11.8% 71.2% -18.8% -6.4% 35.1% -7.6%
Benchmark -15.9% -6.8% -12.5% -21.7% -11.2% -2.9% -12.5% -15.7% -3.0% 0.0%
Winning DaysStrategy 51.8% 46.0% 56.0% 45.2% 51.6% 56.7% 51.2% 52.2% 45.6% 31.2%
Benchmark 42.6% 45.2% 46.0% 40.9% 41.3% 52.4% 46.2% 47.4% 42.4% 0.0%
SharpeStrategy 1.49 0.28 0.62 -0.74 0.74 1.88 -0.13 -0.36 1.64 -6.58
Benchmark -1.06 -0.22 -1.06 -2.54 -1.24 -0.14 -1.22 -1.53 -0.36 0.00
SortinoStrategy 2.36 0.47 0.90 -1.12 1.34 2.60 -0.18 -0.44 2.80 -13.28
Benchmark -1.42 -0.34 -1.51 -3.85 -2.08 -0.21 -1.63 -0.79 -0.47 0.00
Max DDStrategy -10.8% -21.9% -22.5% -28.2% -11.4% -21.7% -44.1% -11.8% -8.6% -10.4%
Benchmark -19.4% -14.5% -14.0% -21.7% -17.0% -12.1% -21.4% -16.0% -5.5% 0.0%
AlphaStrategy 0.44 0.11 0.34 0.10 0.24 0.75 0.01 -0.02 0.40 -0.08
Benchmark -0.04 -0.00 0.01 -0.01 -0.01 0.00 -0.03 0.02 0.01 0.00
Ann. VolatiltyStrategy 19.8% 28.7% 26.4% 18.6% 16.9% 31.0% 52.8% 15.2% 19.5% 17.6%
Benchmark 15.2% 21.2% 11.9% 9.4% 9.2% 14.3% 10.5% 10.7% 7.6% 0.0%
Tracking ErrorStrategy 0.8% 1.1% 1.3% 1.0% 0.8% 1.7% 3.1% 1.1% 1.1% 1.2%
Benchmark 0.3% 0.2% 0.2% 0.2% 0.2% 0.2% 0.3% 0.1% 0.3% 0.0%
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2010 Strategy 4.8% 0.0% 1.6% 0.3% 8.1% 9.6% -0.1% 12.6% -3.4% -1.7% -0.2% -2.2% 31.8%
Benchmark 1.6% -2.8% -5.3% -1.2% 6.8% 4.9% -6.3% 3.8% -7.3% -3.8% -0.2% -6.3% -15.9%
Relative Return 3.1% 2.9% 6.8% 1.5% 1.3% 4.7% 6.2% 8.8% 3.9% 2.1% -0.0% 4.0% 47.6%
 
2011 Strategy -6.2% 0.1% -3.0% -3.9% 3.6% 4.9% -2.1% 5.6% 19.2% -14.9% 1.4% 2.9% 4.0%
Benchmark -1.8% -2.7% -0.6% -2.9% 1.0% 2.5% 1.8% 1.4% 6.6% -10.1% -0.7% -0.6% -6.8%
Relative Return -4.4% 2.8% -2.4% -1.1% 2.6% 2.4% -3.9% 4.3% 12.6% -4.9% 2.1% 3.5% 10.8%
 
2012 Strategy -6.6% -3.1% 5.8% 3.8% 12.3% 0.3% -1.1% -1.8% -9.8% 8.1% 10.2% -2.6% 13.8%
Benchmark -3.9% -4.4% -3.4% 0.9% 5.2% -3.5% 0.6% -1.9% -2.5% 1.8% -0.7% -1.0% -12.5%
Relative Return -2.7% 1.3% 9.2% 3.0% 7.1% 3.7% -1.6% 0.1% -7.3% 6.2% 10.9% -1.6% 26.2%
 
2013 Strategy -0.5% 4.0% 4.8% -5.6% -2.8% 1.0% -11.8% -4.0% 5.5% -4.1% 2.9% -3.3% -14.3%
Benchmark -4.9% 0.0% -3.0% -0.7% -2.0% 1.1% -4.7% 3.1% -3.5% -4.3% -2.1% -2.8% -21.7%
Relative Return 4.4% 4.0% 7.8% -4.8% -0.9% -0.1% -7.1% -7.1% 9.0% 0.3% 5.0% -0.5% 7.4%
 
2014 Strategy -2.9% -2.9% -0.3% 1.1% 1.2% -5.4% 7.5% 0.5% 9.8% 2.4% 0.6% 0.7% 11.8%
Benchmark 3.2% -3.9% -1.1% -1.9% -2.2% -2.2% 1.0% -3.7% 1.2% -0.6% -1.5% 0.1% -11.2%
Relative Return -6.1% 1.0% 0.8% 3.1% 3.4% -3.3% 6.5% 4.1% 8.6% 3.0% 2.1% 0.5% 23.0%
 
2015 Strategy 8.8% 2.9% 11.4% -8.2% 9.4% 4.7% 6.8% -2.4% 11.0% -12.7% 15.6% 11.6% 71.2%
Benchmark 0.8% -2.6% 1.4% -0.7% -1.6% 2.1% -2.2% 6.2% 1.5% -8.0% -0.4% 0.9% -2.9%
Relative Return 8.0% 5.5% 10.0% -7.5% 10.9% 2.6% 9.0% -8.6% 9.4% -4.7% 16.0% 10.7% 74.1%
 
2016 Strategy 7.1% 9.6% -29.5% -5.1% -2.5% 3.1% 3.0% 12.6% -6.7% 17.6% -20.0% 1.2% -18.8%
Benchmark 3.9% -0.2% -6.6% -0.6% -1.5% -0.4% -3.1% 0.1% -0.9% 1.5% -3.2% -1.8% -12.5%
Relative Return 3.1% 9.7% -22.9% -4.4% -1.0% 3.5% 6.1% 12.5% -5.8% 16.2% -16.8% 3.0% -6.3%
 
2017 Strategy -1.4% -1.1% -0.2% 3.5% 0.9% 0.7% -1.8% 1.1% 1.1% 1.0% 1.7% -11.3% -6.4%
Benchmark -1.4% -2.9% 0.1% 0.1% -0.2% 0.0% 0.0% 0.0% 0.0% 0.0% -11.0% -1.1% -15.7%
Relative Return -0.0% 1.8% -0.3% 3.4% 1.2% 0.7% -1.8% 1.1% 1.1% 1.0% 12.7% -10.2% 9.3%
 
2018 Strategy 1.3% 2.9% 1.4% 1.4% -3.1% 2.0% 4.7% -1.4% -3.5% 12.7% 2.1% 11.4% 35.1%
Benchmark -3.3% 0.3% 3.9% 0.3% -2.1% 0.1% -2.1% 0.0% 0.0% 0.0% 0.0% 0.0% -3.0%
Relative Return 4.7% 2.6% -2.6% 1.0% -1.0% 1.8% 6.8% -1.4% -3.5% 12.7% 2.1% 11.4% 38.1%
 
2019 Strategy -7.6% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -7.6%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Relative Return -7.6% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -7.6%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2010 164.7% 168.7% 78.4% 189.5% 53.5% 89.8% 103.1% 69.6% 78.8% 2.8% 177.8% 22.4% 1,199.2%
2011 103.1% 116.3% 15.0% 93.3% 39.8% 74.9% 78.1% 48.4% 0.0% 30.1% 50.5% 199.5% 848.9%
2012 57.8% 55.3% 101.5% 62.8% 60.1% 61.5% 70.3% 131.9% 23.6% 13.7% 6.1% 0.0% 644.7%
2013 58.3% 152.7% 189.9% 124.2% 248.1% 67.0% 180.5% 125.0% 96.4% 167.2% 178.0% 115.0% 1,702.2%
2014 98.9% 84.9% 23.7% 133.7% 19.1% 128.9% 105.7% 79.3% 139.4% 164.4% 203.1% 182.0% 1,363.1%
2015 137.7% 131.7% 19.8% 52.6% 47.4% 99.8% 79.5% 78.1% 49.6% 67.8% 0.0% 41.7% 805.8%
2016 81.5% 43.9% 65.7% 173.1% 176.6% 238.6% 131.0% 158.4% 56.3% 45.3% 48.2% 194.7% 1,413.2%
2017 106.1% 157.6% 144.2% 197.6% 222.5% 149.0% 161.3% 184.1% 155.9% 94.2% 83.5% 124.7% 1,780.6%
2018 177.4% 137.5% 168.6% 172.2% 174.3% 175.0% 172.3% 186.8% 79.7% 112.9% 96.3% 137.9% 1,791.1%
2019 49.4% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 49.4%
  

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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.

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