Analysts Concensus

Performance 1/1/10 - 1/24/19
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Investment Approach
Backtest: Analyst Consensus:
The portfolio's goal is to outperform the S&P 500 ($SPX) in Total Return, while maintaining lower volatility. The Analyst Consensus portfolio is based on Analyst Consensus recommendations, Fundamental and Technical factors. The portfolio scans securities from the S&P 500 universe.

Here is how the backtest is conducted:

  • Every day we scan the S&P 500 for constituents that match the selection criteria.
  • The selected constituents are ordered by Average True Range Rank in Descending Order
  • As long as there is cash available we allocate the available cash among the selected constituents equally.
  • We hold for either 21 days (one trading month) or until the stop conditions are met
  • A stop loss condition applies when the ATR (average true range) crosses above 2.50x of the normal volatility (averaged across the past 21 days).
  • A stop gain condition applies when the ATR (average true range) crosses above 3x of the normal volatility (averaged across the past 21 days).
  • Transaction cost and slippage are considered
    • Performance Versus Benchmark 1/1/10 to 1/24/19
    Strategy Overall Bench Overall Strategy TTM Bench TTM
    Abs. Return 444.1% 133.2% 14.5% -6.9%
    Rel. Return 310.9% N/A 21.5% N/A
    Beta 0.68 N/A 0.59 N/A
    Ann. Volatility 15.1% 15.0% 15.1% 17.6%
    Sharpe 1.31 0.70 0.98 -0.32
    Drawdown -20.9% -19.8% -13.7% -19.8%
    IR 0.77 N/A 1.56 N/A
    Tracking Error 12.1% N/A 13.0% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 14.5% 13.2% 21.1% 16.9% N/A
    Ann. Volatility 15.1% 12.3% 13.2% 14.2% 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 -1.4% 4.8% 1.1% -0.3% 6.2% 1.5% 6.7% 7.7% -7.7% 6.1% -10.1% 2.6% 14.5%
    Benchmark -3.9% -2.7% 0.3% 2.2% 0.5% 3.6% 3.0% 0.4% -6.9% 1.8% -9.2% 5.4% -6.9%
    Rel. Return 2.5% 7.5% 0.8% -2.5% 5.7% -2.1% 3.6% 7.3% -0.8% 4.3% -0.9% -2.8% 21.5%
      
    Perspective on Performance

    Analysts Concensus

    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: 6/30/19 10:23 AM
    Date Range: 1/1/10-1/24/19
    Generated by: Lucena Strategies
    Benchmark: S&P 500
    Holding Period: 21
    Transaction Cost Modeling:
    Leverage1.0
    Short Borrowing3.5%
    Slippage ModeSpecify a bps value
    Slippage0 bps
    Rebalancing:
    Preferred Day N/A
    Exit Criteria Settings:
    Portfolio Stop Loss N/A
    Portfolio Max Gain N/A
    ATR Day Lookback 21
    ATR Max Gain 3.00
    ATR Stop Loss 2.50
    Both Up or Down met Use Balance Exit
    Indicators:
    Analysts Concensus
    TLR Average True Range RankLess than 0.5
    FLRLONG Market Cap to Net Income Rank0.85 to 0.905
    FLRLONG Price to Book RankGreater than 0.61
    Analyst Recommendation ConsensusGreater than 3.5
    FLRLONG Total Debt To Equity Ratio61.096 to 329.048
    Event Universe
    Name Dates Whitelist Sectors
    Analysts Concensus 11/27/18 - 11/27/18 Russell 1000,S&P 500 All

    Combination Method:
    Selection Type:Union
      
    Performance Metrics
    Transaction Cost:
    Commissions ($0.004 per share, $2.95 min per trade)$96,273
    Slippage$236,234
    Borrowing Costs$0
    Total Transaction Costs$332,507

    Transaction Analysis:
    Number of Transactions 2,994
    Average Trade Hold Days (Weighted) 12.00 (N/A)
    % Successful Transactions (Weighted) 60.2% (N/A)
    % Hit Stop Loss 32.3%
    % Hit Stop Gain 43.6%
    Profit Ratio 1.11
    Monthly Performance Metrics:
    Days of Outperformance 53.0%
    Months of Outperformance56.9%
    Most Consecutive Months of Outperformance11
    Most Consecutive Months of Underperformance5
    Benchmark Relative Metrics:
    Beta0.68
    Information Ratio0.77
    Annualized Tracking Error12.1%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
    Fund444.1%1.311.84 3.53 15.1% -20.9%
    Benchmark133.2%0.700.88 0.00 15.0% -19.8%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Fund$1,000K$5,441K$4,441K 20.6%
    Benchmark$1,000K$2,332K$1,332K 9.8%
      
    Performance Metrics By Year
    2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
    ReturnStrategy 19.9% 20.6% 24.6% 35.9% 20.6% 9.4% 27.6% 13.6% 13.3% 2.6%
    Benchmark 11.0% -0.0% 13.4% 29.6% 11.4% -0.7% 9.5% 19.4% -6.2% 5.4%
    Winning DaysStrategy 51.5% 52.7% 55.2% 57.9% 56.0% 54.8% 57.1% 56.2% 56.7% 62.5%
    Benchmark 57.0% 54.8% 52.8% 58.3% 57.1% 47.2% 52.0% 57.2% 52.6% 75.0%
    SharpeStrategy 1.24 1.15 1.44 2.08 1.41 0.62 1.63 1.53 0.90 5.27
    Benchmark 0.67 0.12 1.05 2.39 1.00 0.03 0.76 2.69 -0.29 4.12
    SortinoStrategy 2.04 1.55 1.93 3.27 2.09 0.92 2.25 2.10 1.15 7.06
    Benchmark 0.89 0.15 1.62 3.41 1.31 0.04 0.99 3.60 -0.36 4.66
    Max DDStrategy -13.9% -11.4% -10.2% -13.5% -9.5% -17.5% -9.4% -5.5% -13.7% -0.8%
    Benchmark -16.0% -19.4% -9.9% -5.8% -7.4% -12.4% -10.5% -2.8% -19.8% -2.5%
    AlphaStrategy 0.14 0.21 0.13 0.06 0.11 0.10 0.20 0.00 0.17 0.01
    Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
    Ann. VolatiltyStrategy 15.7% 17.6% 16.2% 15.3% 13.9% 16.6% 15.7% 8.6% 15.1% 7.2%
    Benchmark 18.0% 23.2% 12.7% 11.0% 11.3% 15.5% 13.1% 6.7% 17.0% 19.4%
    Tracking ErrorStrategy 1.0% 1.0% 0.8% 0.7% 0.6% 0.8% 0.7% 0.5% 0.8% 0.9%
    Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
      
    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2010 Strategy -1.4% 8.6% 4.3% 6.2% -3.8% -3.5% -2.1% -1.5% -0.8% 1.5% 1.9% 10.2% 19.9%
    Benchmark -5.2% 2.9% 5.9% 1.5% -8.2% -5.4% 6.9% -4.7% 8.8% 3.7% -0.2% 6.5% 11.0%
    Relative Return 3.9% 5.8% -1.6% 4.7% 4.4% 1.9% -9.0% 3.2% -9.6% -2.2% 2.1% 3.7% 8.9%
     
    2011 Strategy 8.3% 10.8% 2.6% 3.4% 2.1% -1.1% 1.3% 2.2% -4.3% 1.3% -3.7% -2.9% 20.6%
    Benchmark 2.3% 3.2% -0.1% 2.8% -1.4% -1.8% -2.1% -5.7% -7.2% 10.8% -0.5% 0.9% -0.0%
    Relative Return 6.1% 7.6% 2.7% 0.5% 3.5% 0.7% 3.4% 7.9% 2.9% -9.5% -3.2% -3.7% 20.6%
     
    2012 Strategy 1.8% 4.5% 0.4% 2.0% -4.9% 2.7% 10.5% 3.9% -1.9% 0.6% -0.8% 4.1% 24.6%
    Benchmark 4.4% 4.1% 3.1% -0.7% -6.3% 4.0% 1.3% 2.0% 2.4% -2.0% 0.3% 0.7% 13.4%
    Relative Return -2.5% 0.4% -2.7% 2.8% 1.3% -1.2% 9.2% 1.9% -4.3% 2.6% -1.1% 3.4% 11.2%
     
    2013 Strategy 11.9% -1.1% 2.5% 5.8% -2.4% -5.1% 3.9% -3.1% 8.2% 2.8% 3.7% 5.4% 35.9%
    Benchmark 5.0% 1.1% 3.6% 1.8% 2.1% -1.5% 4.9% -3.1% 3.0% 4.5% 2.8% 2.4% 29.6%
    Relative Return 6.8% -2.2% -1.1% 4.0% -4.5% -3.6% -1.1% -0.0% 5.2% -1.7% 0.9% 3.1% 6.3%
     
    2014 Strategy 5.2% 4.7% -1.5% 0.4% 2.1% 4.8% -4.6% 5.7% -4.8% 3.9% 5.1% -1.4% 20.6%
    Benchmark -3.6% 4.3% 0.7% 0.6% 2.1% 1.9% -1.5% 3.8% -1.6% 2.3% 2.5% -0.4% 11.4%
    Relative Return 8.8% 0.3% -2.1% -0.2% -0.0% 2.9% -3.1% 1.9% -3.3% 1.6% 2.6% -1.0% 9.2%
     
    2015 Strategy -0.5% 10.3% 2.8% -2.0% 10.9% -2.6% -5.1% -5.7% -0.1% 3.5% -1.0% 0.1% 9.4%
    Benchmark -3.1% 5.5% -1.7% 0.9% 1.0% -2.1% 2.0% -6.3% -2.6% 8.3% 0.1% -1.8% -0.7%
    Relative Return 2.6% 4.9% 4.5% -2.9% 9.9% -0.5% -7.1% 0.5% 2.5% -4.8% -1.1% 1.9% 10.1%
     
    2016 Strategy -4.5% 1.6% 2.9% -1.5% 4.9% 3.4% 8.2% 0.9% 4.0% -2.6% 2.9% 5.2% 27.6%
    Benchmark -5.1% -0.4% 6.6% 0.3% 1.5% 0.1% 3.6% -0.1% -0.1% -1.9% 3.4% 1.8% 9.5%
    Relative Return 0.5% 2.1% -3.7% -1.8% 3.4% 3.4% 4.6% 1.0% 4.1% -0.7% -0.6% 3.4% 18.1%
     
    2017 Strategy 2.5% 2.8% 0.6% 0.4% 1.5% 2.5% 0.4% 2.0% 0.6% -2.1% 1.7% -0.0% 13.6%
    Benchmark 1.8% 3.7% -0.0% 0.9% 1.2% 0.5% 1.9% 0.1% 1.9% 2.2% 2.8% 1.0% 19.4%
    Relative Return 0.7% -0.9% 0.6% -0.5% 0.3% 2.0% -1.5% 2.0% -1.3% -4.3% -1.1% -1.0% -5.8%
     
    2018 Strategy -0.2% -1.4% 4.8% 1.1% -0.3% 6.2% 1.5% 6.7% 7.7% -7.7% 6.1% -10.1% 13.3%
    Benchmark 5.6% -3.9% -2.7% 0.3% 2.2% 0.5% 3.6% 3.0% 0.4% -6.9% 1.8% -9.2% -6.2%
    Relative Return -5.9% 2.5% 7.5% 0.8% -2.5% 5.7% -2.1% 3.6% 7.3% -0.8% 4.3% -0.9% 19.5%
     
    2019 Strategy 2.6% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 2.6%
    Benchmark 5.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.4%
    Relative Return -2.8% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -2.8%
     
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2010 108.3% 91.7% 124.0% 135.0% 84.8% 67.8% 83.7% 52.1% 34.6% 137.3% 115.6% 156.6% 1,191.6%
    2011 194.0% 198.5% 50.1% 36.3% 35.3% 85.8% 84.1% 197.2% 118.1% 136.6% 78.3% 34.7% 1,249.1%
    2012 70.9% 105.3% 103.7% 77.7% 174.4% 130.0% 149.6% 99.6% 136.1% 188.5% 168.6% 97.1% 1,501.4%
    2013 181.1% 138.6% 121.6% 192.9% 223.1% 159.6% 122.1% 184.5% 142.0% 187.1% 119.0% 152.2% 1,923.7%
    2014 188.6% 139.8% 146.5% 125.5% 122.7% 146.7% 194.9% 161.1% 136.4% 274.8% 116.7% 170.4% 1,924.2%
    2015 123.3% 170.7% 106.7% 165.6% 179.2% 181.1% 239.8% 225.7% 139.4% 167.7% 101.4% 115.5% 1,916.2%
    2016 171.7% 149.9% 118.2% 114.8% 113.5% 280.0% 191.2% 128.1% 151.1% 137.0% 110.4% 173.4% 1,839.6%
    2017 119.2% 166.1% 90.7% 178.9% 149.7% 172.1% 175.9% 159.4% 186.2% 151.2% 215.8% 53.1% 1,818.3%
    2018 100.6% 150.4% 101.8% 135.8% 141.7% 282.8% 132.1% 174.7% 210.3% 259.0% 115.4% 200.3% 2,005.0%
    2019 59.3% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 59.3%
      

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    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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