Earnings Date Restatement Short Only

Performance 1/1/13 - 1/25/19
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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 9,000 equities worldwide.

Backtest: Earnings Date Restatement Short Only
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 Neuravest’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 1/25/19
    Strategy Overall Bench Overall Strategy TTM Bench TTM
    Abs. Return 12.5% -57.3% 18.1% 0.0%
    Rel. Return 69.8% N/A 18.1% N/A
    Beta 0.66 N/A 0.68 N/A
    Ann. Volatility 14.3% 12.3% 16.4% 11.5%
    Sharpe 0.21 -1.08 1.09 0.06
    Drawdown -20.9% -57.6% -15.3% -10.0%
    IR 1.29 N/A 1.16 N/A
    Tracking Error 12.6% N/A 14.9% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 18.1% 13.0% 3.1% 3.6% N/A
    Ann. Volatility 16.4% 14.6% 15.2% 14.9% 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 11.5% -1.5% -3.0% 3.5% 2.2% -2.6% 1.1% -2.0% 10.5% 3.6% 5.1% -11.3% 18.1%
    Benchmark 3.3% 2.3% -0.6% -2.4% -0.7% -3.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
    Rel. Return 8.3% -3.8% -2.4% 6.0% 2.8% 0.7% 1.1% -2.0% 10.5% 3.6% 5.1% -11.3% 18.1%
      
    Perspective on Performance

    Earnings Date Restatement Short Only

    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: 4/26/21 2:29 PM
    Date Range: 1/1/13-1/25/19
    Generated by: WallStreetHorizon Research
    Benchmark: $SPXTR_INV
    Holding Period: 63
    Transaction Cost Modeling:
    Leverage1.0
    Short Borrowing0.0%
    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 N/A
    ATR Stop Loss 3.00
    Indicators:
    WSH Short Earnings Date
    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 ($0.0 per share, $0.00 min per trade)$0
    Slippage$0
    Borrowing Costs$0
    Total Transaction Costs$0

    Transaction Analysis:
    Number of Transactions 612
    Average Trade Hold Days (Weighted) 38.00 (N/A)
    % Successful Transactions (Weighted) 36.8% (N/A)
    % Hit Stop Loss 58.7%
    % Hit Stop Gain 0.0%
    Profit Ratio 2.01
    Monthly Performance Metrics:
    Days of Outperformance 53.8%
    Months of Outperformance68.5%
    Most Consecutive Months of Outperformance9
    Most Consecutive Months of Underperformance2
    Benchmark Relative Metrics:
    Beta0.66
    Information Ratio1.29
    Annualized Tracking Error12.6%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
    Fund12.5%0.210.32 0.50 14.3% -20.9%
    Benchmark-57.3%-1.08-1.34 0.00 12.3% -57.6%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Fund$1,000K$1,125K$124,825 2.0%
    Benchmark$1,000K$426,875($573,125) -13.1%
      
    Performance Metrics By Year
    2013 2014 2015 2016 2017 2018 2019
    ReturnStrategy -5.7% -1.8% 2.4% -8.6% 17.0% 25.0% -11.3%
    Benchmark -23.4% -13.2% -3.7% -12.2% -18.3% -7.0% 0.0%
    Winning DaysStrategy 45.0% 45.2% 52.8% 49.2% 54.2% 50.0% 17.6%
    Benchmark 41.0% 41.3% 52.4% 46.2% 47.4% 42.1% 0.0%
    SharpeStrategy -0.50 -0.08 0.23 -0.44 1.35 1.48 -8.59
    Benchmark -2.42 -1.18 -0.17 -0.93 -1.77 -0.56 0.00
    SortinoStrategy -0.81 -0.14 0.35 -0.58 2.50 2.72 -10.29
    Benchmark -4.16 -1.94 -0.25 -1.38 -0.94 -0.77 0.00
    Max DDStrategy -8.9% -14.6% -9.4% -20.9% -13.6% -6.8% -11.3%
    Benchmark -23.7% -19.2% -12.5% -21.9% -18.8% -10.0% 0.0%
    AlphaStrategy 0.10 0.07 0.05 0.02 0.20 0.30 -0.11
    Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00
    Ann. VolatiltyStrategy 10.7% 12.8% 15.5% 16.9% 12.1% 15.8% 19.3%
    Benchmark 10.8% 11.4% 15.5% 13.1% 11.1% 11.7% 0.0%
    Tracking ErrorStrategy 0.6% 0.7% 0.7% 0.8% 1.0% 0.9% 1.3%
    Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
      
    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 Strategy -2.3% -2.3% -0.8% -1.2% 2.4% 0.5% -1.9% 5.0% -1.6% 0.8% -0.4% -3.9% -5.7%
    Benchmark -2.5% -1.5% -3.7% -2.1% -2.4% 1.1% -4.9% 2.9% -3.1% -4.5% -3.0% -2.5% -23.4%
    Relative Return 0.2% -0.8% 2.9% 0.9% 4.8% -0.7% 3.0% 2.2% 1.5% 5.3% 2.6% -1.3% 17.7%
     
    2014 Strategy -0.6% -1.5% -1.7% -2.9% 0.8% -0.8% 0.1% -2.7% 1.0% -4.5% 5.4% 5.9% -1.8%
    Benchmark 3.4% -4.5% -0.9% -0.9% -2.3% -2.1% 1.3% -3.9% 1.3% -2.7% -2.6% 0.1% -13.2%
    Relative Return -4.0% 3.0% -0.8% -2.0% 3.2% 1.3% -1.2% 1.2% -0.4% -1.8% 8.1% 5.8% 11.4%
     
    2015 Strategy -3.8% 0.4% 0.4% 0.6% -2.7% 2.7% -1.2% 7.1% 4.4% -6.3% 2.5% -0.9% 2.4%
    Benchmark 2.9% -5.5% 1.4% -1.0% -1.4% 1.9% -2.2% 5.8% 2.1% -7.9% -0.4% 1.3% -3.7%
    Relative Return -6.6% 5.9% -1.1% 1.6% -1.3% 0.8% 1.0% 1.3% 2.3% 1.6% 2.9% -2.2% 6.1%
     
    2016 Strategy 4.4% 3.4% -9.6% 0.5% 0.5% -8.4% -0.9% 5.0% 1.0% 3.9% -6.0% -1.3% -8.6%
    Benchmark 4.8% -0.1% -6.5% -0.5% -1.9% -0.5% -3.6% -0.2% -0.2% 1.8% -3.7% -2.0% -12.2%
    Relative Return -0.4% 3.6% -3.1% 1.0% 2.4% -7.8% 2.7% 5.1% 1.2% 2.1% -2.4% 0.7% 3.6%
     
    2017 Strategy 2.2% 6.0% 3.3% 3.7% 4.1% 5.4% 2.8% 1.1% -5.8% 0.4% -4.1% -2.5% 17.0%
    Benchmark -1.9% -3.8% -0.2% -1.1% -0.4% 0.0% 0.0% 0.0% 0.0% 0.0% -11.0% -1.1% -18.3%
    Relative Return 4.1% 9.8% 3.4% 4.8% 4.5% 5.4% 2.8% 1.1% -5.8% 0.4% 6.9% -1.4% 35.3%
     
    2018 Strategy -4.5% 11.5% -1.5% -3.0% 3.5% 2.2% -2.6% 1.1% -2.0% 10.5% 3.6% 5.1% 25.0%
    Benchmark -5.5% 3.3% 2.3% -0.6% -2.4% -0.7% -3.3% 0.0% 0.0% 0.0% 0.0% 0.0% -7.0%
    Relative Return 0.9% 8.3% -3.8% -2.4% 6.0% 2.8% 0.7% 1.1% -2.0% 10.5% 3.6% 5.1% 32.0%
     
    2019 Strategy -11.3% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -11.3%
    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 -11.3% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -11.3%
     
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 82.4% 37.6% 21.0% 87.9% 18.5% 15.7% 99.8% 3.5% 16.1% 99.0% 0.0% 36.0% 517.4%
    2014 120.4% 63.6% 15.6% 102.3% 10.6% 42.9% 36.2% 18.4% 21.0% 165.0% 0.0% 11.5% 607.5%
    2015 146.2% 55.0% 0.0% 41.9% 64.7% 85.3% 30.8% 46.4% 25.3% 80.1% 25.8% 37.3% 638.9%
    2016 41.0% 16.2% 68.7% 37.0% 10.4% 143.0% 77.6% 0.0% 48.3% 44.7% 10.3% 69.6% 566.9%
    2017 23.7% 40.4% 35.0% 44.1% 38.8% 36.0% 12.8% 22.9% 106.4% 49.9% 45.7% 53.5% 509.2%
    2018 172.9% 0.0% 23.6% 86.5% 21.9% 7.2% 63.2% 36.3% 50.6% 56.5% 28.0% 20.8% 567.5%
    2019 49.0% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 49.0%
      

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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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