InsiderInsights Long II by Lucena Research

Performance 1/1/15 - 4/17/19
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Investment Approach
About Insider Insights:
InsiderInsights.com covers buy and sell transactions by insiders, C level, officers and directors of the underlying company. InsiderInsights is wholly owned by Ex Officio LLC, a New York limited liability company. Its value-added insider transactions data and analytics have been used for over 15 years by investment advisors, brokers, hedge-fund managers, and institutional investors to efficiently narrow down investment choices and enhance returns.

Backtest: InsiderInsights R2K:
The portfolio's goal is to outperform the Russell 2K ($RUT) in Total Return, and Sharpe Ratio, while maintaining lower volatility. The InsiderInsights R2K portfolio is based on InsiderInsights sentiment score derived from insider's buy and sell transactions. A PV factor, which represents a daily average float or price * volume, is also used to construct a 3-factor model geared to identify constituents for entry.

Here is how the backtest is conducted:

  • Every day we scan the Russell 2K for constituents that match the criteria outlined above.
  • The selected constituents are ordered by InsiderInsights Sentiment Score in Descending Order
  • As long as there is cash available we allocate the remaining cash among the selected constituents equally.
  • We hold for either 63 days (three trading months) or until the stop conditions are met
  • There are a stop losses on the positions, which execute when the ATR (average true range) crosses above 1.75x of the normal volatility (averaged         across the past 21 days).
  • There are a stop gains on the positions, which execute when the ATR (average true range) crosses above 5x of the normal volatility (averaged               across the past 21 days).
  • Transaction cost and slippage are considered
  • Performance Versus Benchmark 1/1/15 to 4/17/19
    Strategy Overall Bench Overall Strategy TTM Bench TTM
    Abs. Return 241.55% 30.76% 19.79% -0.40%
    Rel. Return 210.79% N/A 20.19% N/A
    Beta 0.81 N/A 0.75 N/A
    Std. Dev 1.63% 1.04% 1.46% 1.09%
    Sharpe 1.24 0.46 0.90 0.06
    Draw Down -25.74% -27.22% -21.84% -27.22%
    IR 1.09 N/A 1.00 N/A
    0.27 N/A 0.32 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 19.79% 37.61% 30.45% N/A N/A
    Std. Dev 1.46% 1.77% 1.64% N/A N/A
    Ann. Volatility 23.23% 28.15% 25.99% N/A N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr Total
    Strategy 3.62% -8.16% 2.78% 11.06% 1.63% 1.59% -2.43% -12.69% 18.39% 12.85% -5.48% 5.24% 19.79%
    Benchmark 5.95% 0.58% 1.69% 4.19% -2.54% -10.91% 1.45% -12.05% 11.19% 5.08% -2.27% 1.81% -0.40%
    Rel. Return -2.33% -8.74% 1.09% 6.88% 4.17% 12.50% -3.88% -0.64% 7.20% 7.77% -3.21% 3.43% 20.19%
      
    Perspective on Performance
    The constituents sets to benefit the most from InsiderInsights data are small cap stocks with relative lower Price * Volume average. This results in additional volatility which is muted with tight stop loss conditions.

    As can be seen, the portfolio handsomely outperforms the benchmark $RUT even after transaction cost and slippage. Sharpe is assessed at 1.24 with lower max drawdown than the benchmark.

    InsiderInsights Long II

    Strategy Performance Analysis by Lucena Research
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    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Value At Risk
    Rolling Stats
    Return Attributions
    Participation and Contribution
    Top Participation Long
    ADC26.54%
    AAT25.65%
    GOGO24.02%
    VECO17.04%
    TTS16.84%
    Top Participation Long/Short
    ADC26.54%
    AAT25.65%
    GOGO24.02%
    VECO17.04%
    TTS16.84%
    Top Long Winners
    FRTA19.99%
    PLSE18.76%
    CONN15.36%
    GNC11.78%
    OPK11.26%
    Top Long/Short Winners
    FRTA19.99%
    PLSE18.76%
    CONN15.36%
    GNC11.78%
    OPK11.26%
    Top Long Losers
    KOP-6.85%
    PBH-3.46%
    WOW-3.39%
    BW-3.36%
    AZZ-2.32%
    Top Long/Short Losers
    KOP-6.85%
    PBH-3.46%
    WOW-3.39%
    BW-3.36%
    AZZ-2.32%
      
    Simulation Settings
    Strategy Settings
    Module:Event Analyzer
    Date of report: 6/24/19 5:56 PM
    Date Range: 1/1/15-4/17/19
    Generated by: Erez Katz
    Benchmark: Russell 2000
    Holding Period: 63
    Transaction Cost Modeling:
    Commission/trade$2.95
    Commission/share$0.004
    Leverage1.0
    Short Borrowing3.50%
    Slippage0.0 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 5.00
    ATR Stop Loss 1.75
    Both Up or Down met Use Balance Exit
    Indicators:
    InsiderInsights Long II
    TLR Average PV Value Days: 105.0 to 35.0
    Insider Insights Days Since Last Rating19.0 to 63.0
    Insider Insights Filled Sentiment RatingGreater than 1.7
    Event Universe
    Name Dates Whitelist Sectors
    InsiderInsights Long II 1/1/10 - 12/31/12 Russell 2000 All

    Combination Method:
    Selection Type:Union
      
    Performance Metrics
    Transaction Cost:
    Commissions$42,693.76
    Slippage$46,917.14
    Borrowing Costs$0.00
    Total Transaction Costs$89,610.90
    Transaction Analysis:
    Number of Transactions 833
    Average Trade Hold Days (Weighted) N/A (21.00)
    % Successful Transactions (Weighted) N/A (62.26%)
    % Hit Stop Loss 62.68%
    % Hit Stop Gain 31.22%
    Profit Ratio 3.14
    Monthly Performance Metrics:
    Days of Outperformance 49.35%
    Months of Outperformance63.46%
    Most Consecutive Months of Outperformance6
    Most Consecutive Months of Underperformance4
    Benchmark Relative Metrics:
    Beta0.81
    Information Ratio1.09
    R^20.27
    Tracking Error1.41%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Fund241.55%1.242.01 2.17 1.63% -25.74%
    Benchmark30.76%0.460.64 0.00 1.04% -27.22%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Fund$1,000K$3,416K$2,416K 33.16%
    Benchmark$1,000K$1,308K$307,640.97 6.45%
      
    Performance Metrics By Year
    2015 2016 2017 2018 2019
    ReturnStrategy 42.87% 26.30% 68.37% -15.40% 32.89%
    Benchmark -5.25% 19.48% 13.14% -12.18% 16.24%
    Winning DaysStrategy 51.81% 51.79% 53.78% 45.38% 56.76%
    Benchmark 48.61% 55.16% 54.58% 53.20% 62.16%
    SharpeStrategy 1.69 1.05 1.82 -0.64 3.54
    Benchmark -0.24 1.06 1.09 -0.63 3.22
    SortinoStrategy 2.71 1.46 3.42 -0.98 5.90
    Benchmark -0.35 1.51 1.63 -0.81 4.26
    Max DDStrategy -13.69% -19.00% -9.57% -25.74% -9.40%
    Benchmark -16.35% -16.04% -6.45% -27.22% -5.29%
    AlphaStrategy 0.47 0.10 0.58 -0.08 0.11
    Benchmark 0.00 0.00 0.00 0.00 0.00
    St. Dev.Strategy 1.42% 1.59% 1.97% 1.40% 1.77%
    Benchmark 1.05% 1.16% 0.75% 1.13% 1.02%
    Tracking ErrorStrategy 1.13% 1.28% 1.88% 1.27% 1.20%
    Benchmark 0.00% 0.00% 0.00% 0.00% 0.00%
      
    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2015 Strategy 7.63% -0.22% 4.05% 1.80% 0.38% 4.42% 1.58% -6.95% -2.34% 22.64% 7.86% -1.87% 42.87%
    Benchmark -2.79% 5.83% 1.57% -2.61% 2.16% 0.60% -1.22% -6.40% -5.07% 5.56% 3.12% -5.19% -5.25%
    Relative Return 10.42% -6.06% 2.48% 4.40% -1.78% 3.83% 2.80% -0.55% 2.73% 17.09% 4.74% 3.32% 48.12%
     
    2016 Strategy -14.57% 10.01% 9.32% 4.77% 10.22% -6.80% 3.44% 8.92% -0.59% -2.28% 0.32% 4.02% 26.30%
    Benchmark -8.85% -0.14% 7.75% 1.51% 2.12% -0.25% 5.90% 1.64% 0.95% -4.81% 10.99% 2.63% 19.48%
    Relative Return -5.72% 10.16% 1.57% 3.26% 8.11% -6.56% -2.47% 7.28% -1.53% 2.53% -10.67% 1.39% 6.82%
     
    2017 Strategy -3.07% 3.63% 0.55% 4.83% -2.66% 1.86% 8.44% -4.63% 24.37% 1.61% 12.61% 8.99% 68.37%
    Benchmark 0.35% 1.83% -0.05% 1.05% -2.16% 3.30% 0.69% -1.39% 6.09% 0.78% 2.77% -0.56% 13.14%
    Relative Return -3.42% 1.80% 0.60% 3.78% -0.50% -1.43% 7.75% -3.24% 18.28% 0.83% 9.84% 9.55% 55.23%
     
    2018 Strategy 2.91% -1.25% -4.41% -8.84% 3.62% -8.16% 2.78% 11.06% 1.63% 1.59% -2.43% -12.69% -15.40%
    Benchmark 2.57% -3.97% 1.12% 0.81% 5.95% 0.58% 1.69% 4.19% -2.54% -10.91% 1.45% -12.05% -12.18%
    Relative Return 0.34% 2.72% -5.54% -9.66% -2.33% -8.74% 1.09% 6.88% 4.17% 12.50% -3.88% -0.64% -3.23%
     
    2019 Strategy 18.39% 12.85% -5.48% 5.24% N/A N/A N/A N/A N/A N/A N/A N/A 32.89%
    Benchmark 11.19% 5.08% -2.27% 1.81% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 16.24%
    Relative Return 7.20% 7.77% -3.21% 3.43% N/A N/A N/A N/A N/A N/A N/A N/A 16.65%
     
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2015 54.07% 90.59% 13.93% 0.00% 94.81% 28.91% 78.14% 120.41% 60.83% 115.04% 65.53% 39.33% 761.61%
    2016 90.01% 84.49% 64.38% 48.71% 118.39% 62.58% 59.16% 41.06% 43.32% 49.33% 33.77% 30.02% 725.22%
    2017 23.66% 77.95% 114.35% 72.83% 72.57% 39.93% 135.83% 51.45% 74.90% 63.96% 202.98% 56.12% 986.53%
    2018 101.86% 138.62% 28.66% 120.13% 102.41% 103.71% 111.87% 111.38% 104.55% 152.08% 43.86% 372.30% 1,491.44%
    2019 40.32% 102.01% 145.09% 13.65% N/A N/A N/A N/A N/A N/A N/A N/A 301.07%
      

    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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