InsiderInsights Long II
Performance 1/1/15 - 4/17/19
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.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
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:
Performance Versus Benchmark 1/1/15 to 4/17/19
| Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
| Abs. Return | 241.6% | 30.8% | 19.8% | -0.4% |
| Rel. Return | 210.8% | N/A | 20.2% | N/A |
| Beta | 0.81 | N/A | 0.75 | N/A |
| Ann. Volatility | 25.8% | 16.4% | 23.1% | 17.3% |
| Sharpe | 1.24 | 0.46 | 0.90 | 0.06 |
| Drawdown | -25.7% | -27.2% | -21.8% | -27.2% |
| IR | 1.09 | N/A | 1.00 | N/A |
| Tracking Error | 22.4% | N/A | 19.6% | N/A |
Historical Summary
| 1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
| Ann. Return | 19.8% | 37.6% | 30.5% | N/A | N/A |
| Ann. Volatility | 23.2% | 28.2% | 26.0% | 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 | 3.6% | -8.2% | 2.8% | 11.1% | 1.6% | 1.6% | -2.4% | -12.7% | 18.4% | 12.8% | -5.5% | 5.2% | 19.8% |
| Benchmark | 5.9% | 0.6% | 1.7% | 4.2% | -2.5% | -10.9% | 1.4% | -12.0% | 11.2% | 5.1% | -2.3% | 1.8% | -0.4% |
| Rel. Return | -2.3% | -8.7% | 1.1% | 6.9% | 4.2% | 12.5% | -3.9% | -0.6% | 7.2% | 7.8% | -3.2% | 3.4% | 20.2% |
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.