InsiderInsights Long II

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 Neuravest
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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%
      

    FOR QUALIFIED INSTITUTIONAL INVESTOR USE ONLY. NOT INTENDED FOR INDIVIDUAL RETAIL INVESTORS.

    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 20% performance fee on excess return above the strategy's benchmark. 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 20% on excess return above the designated benchmark.
    Results are effective as of the last day of the backtest.

    Performance fees may vary depending upon executed leverage.

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