Equifax Homebuilders and Related Sub-Sectors Dynamic (Feed)

Performance 12/31/12 - 12/31/19
logo
Investment Approach

About Equifax: Equifax Inc. is a consumer credit reporting agency. It collects and aggregates information on over 800 million individual consumers and more than 88 million businesses worldwide.

Homebuilders and Related Sub-Sectors Bullish Model:
The model identifies optimal conditions for entry based on the credit information of US consumers from Equifax along with technical and fundamental factors from Neuravest Research. Machine learning models are identified and retrained in a roll forward basis to account for change in market regime. Large cap of publicly traded companies in the homebuilders and related sub-sectors are covered by the model and hence the goal of the strategy is to outperform the benchmark XHB (SPDR S&P Homebuilders) in Sharp ratio (Risk Adjusted Return).

Some of the Equifax and Neuravest features used are:

  • Delinquency Rate - Percentage of consumers who are unable to pay their debt
  • Utilization Rate - Ratio of a consumer’s debt to their total credit limit
  • Debt to Income - Ratio of a consumer’s debt to their annual income
  • Inquiries TTM - Number of credit inquiries made by a consumer over the past 12 months
  • Total Balance - The total balance across all consumers
  • Payment Ratio - The ratio of a consumer’s monthly payment to their outstanding debt
  • Available Credit - The difference between a consumer’s total credit limit and their outstanding debt
  • Payment to Due - The ratio of a consumer’s monthly payment to their payment due

Here’s how the backtest is generated:

  • This is a long only model based on homebuilders and related sub-sector stocks
  • Each day the models evaluates a set of constituents from the homebuilders and related sub-sectors
  • Top 20 ranked positions are selected daily, and a maximum of 10 percent of the available cash is allocated daily towards the positions
  • Allocation limit for each equity is set to the maximum of 10 percent of the portfolio
  • Positions are held conditionally until an exit criteria is met or as long as the buy signal is active
  • Models are retrained and feature selection is performed in walk-forward fashion using a sliding window
  • The backtest considers transaction costs and slippage. See report for additional details
Performance Versus Benchmark 12/31/12 to 12/31/19
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 138.1% 79.7% 29.2% 40.0%
Rel. Return 58.5% N/A -10.8% N/A
Beta 0.37 N/A 0.43 N/A
Ann. Volatility 10.7% 18.3% 11.0% 15.8%
Sharpe 1.21 0.55 2.39 2.21
Drawdown -15.1% -33.5% -6.4% -7.7%
IR 0.21 N/A -0.70 N/A
Tracking Error 14.2% N/A 12.4% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 29.2% 11.3% 14.0% 16.0% N/A
Ann. Volatility 11.3% 12.7% 11.3% 11.0% N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
Strategy 8.1% 5.7% -0.0% 2.3% -3.4% 1.0% 0.4% 3.9% 2.3% 2.0% 0.5% 1.0% 29.2%
Benchmark 12.8% 4.6% 0.7% 5.5% -5.7% 8.9% -0.1% 1.0% 5.1% 3.3% 0.9% -0.7% 40.0%
Rel. Return -4.7% 1.1% -0.7% -3.2% 2.2% -7.9% 0.5% 2.9% -2.8% -1.3% -0.3% 1.6% -10.8%
  
Perspective on Performance
The out-of-sample portfolio outperforms the benchmark XHB (SPDR S&P Homebuilders) with a sharpe ratio of 1.21 compared to 0.55, max drawdown of -15.13% compared to -33.53%, a beta of 0.37, and Information ratio (IR) of 0.21.

Copyright © 2020, Lucena Research and Equifax Inc., Atlanta, Georgia. All rights reserved. Equifax is a registered trademark of Equifax Inc.

Equifax Homebuilders and Related Sub-Sectors Dynamic (Feed)

Strategy Performance Analysis by Neuravest
logo
Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Value At Risk
Rolling Stats
Return Attributions
Participation and Contribution
Top Participation Long
JCI37.56
AVB34.85
HON34.14
VNO33.87
EQR30.83
Top Participation Long/Short
JCI37.56
AVB34.85
HON34.14
VNO33.87
EQR30.83
Top Long Winners
DHI5.0%
LEN4.6%
KBH4.2%
WSM4.1%
PHM3.5%
Top Long/Short Winners
DHI5.0%
LEN4.6%
KBH4.2%
WSM4.1%
PHM3.5%
Top Long Losers
DE-1.5%
WAB-0.8%
WELL-0.8%
MAC-0.6%
VTR-0.6%
Top Long/Short Losers
DE-1.5%
WAB-0.8%
WELL-0.8%
MAC-0.6%
VTR-0.6%
  
Simulation Settings
Strategy Settings
Module:N/A
Date of report: 1/28/20 2:02 PM
Date Range: 12/31/12-12/31/19
Generated by: Equifax Research
Benchmark: XHB
Transaction Cost Modeling:
Leverage1.0
Short Borrowing0.0%
Slippage ModeSpecify a bps value
Slippage2.5 bps
Rebalancing:
FrequencyEvery 1 Days
Preferred Day N/A
  
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 16,934
Average Trade Hold Days (Weighted) 14.00 (14.80)
% Successful Transactions (Weighted) 60.9% (64.2%)
% Hit Stop Loss 0.0%
% Hit Stop Gain 0.0%
Profit Ratio 1.27
Monthly Performance Metrics:
Days of Outperformance 49.6%
Months of Outperformance50.0%
Most Consecutive Months of Outperformance9
Most Consecutive Months of Underperformance5
Benchmark Relative Metrics:
Beta0.37
Information Ratio0.21
Annualized Tracking Error14.2%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
Fund138.1%1.211.44 1.08 10.7% -15.1%
Benchmark79.7%0.550.79 0.00 18.3% -33.5%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,000K$2,381K$1,381K 13.2%
Benchmark$1,000K$1,797K$796,520 8.7%
  
Performance Metrics By Year
2013 2014 2015 2016 2017 2018 2019
ReturnStrategy 4.1% 9.0% 22.1% 16.0% 20.0% -1.9% 25.9%
Benchmark 25.6% 3.1% 0.7% -0.3% 31.8% -25.7% 41.3%
Winning DaysStrategy 57.1% 54.1% 54.7% 55.9% 56.5% 50.6% 62.9%
Benchmark 55.6% 53.7% 54.2% 51.0% 55.3% 47.0% 56.5%
SharpeStrategy 0.41 1.00 1.98 1.46 2.34 -0.07 2.09
Benchmark 1.16 0.26 0.13 0.08 2.36 -1.29 2.26
SortinoStrategy 0.47 1.13 2.92 1.79 3.56 -0.08 2.20
Benchmark 1.70 0.39 0.18 0.11 3.77 -1.91 3.93
Max DDStrategy -15.1% -6.4% -3.8% -7.8% -4.3% -13.4% -6.4%
Benchmark -12.6% -17.7% -13.7% -18.1% -4.5% -33.5% -7.7%
AlphaStrategy -0.04 0.08 0.22 0.16 0.05 0.09 0.08
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Ann. VolatiltyStrategy 11.3% 9.0% 10.3% 10.5% 7.9% 13.8% 11.3%
Benchmark 21.5% 16.8% 19.2% 19.6% 12.0% 21.2% 15.8%
Tracking ErrorStrategy 1.1% 0.8% 0.9% 1.0% 0.5% 1.0% 0.8%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2013 Strategy 1.1% 0.6% 0.2% 1.1% 1.5% -5.9% -1.9% -5.0% 6.0% 3.6% -0.2% 3.6% 4.1%
Benchmark 8.3% -1.8% 6.3% 0.8% 2.0% -4.7% 2.3% -5.1% 7.3% -0.3% 4.7% 4.3% 25.6%
Relative Return -7.3% 2.4% -6.1% 0.3% -0.5% -1.2% -4.1% 0.1% -1.2% 3.9% -4.8% -0.7% -21.5%
 
2014 Strategy -2.9% 7.0% -0.4% 1.3% 2.8% 1.9% -1.7% 4.2% -3.9% 1.6% 0.2% -1.0% 9.0%
Benchmark -5.2% 7.8% -4.2% -4.8% 1.6% 4.1% -10.0% 7.1% -6.0% 5.2% 7.5% 2.1% 3.1%
Relative Return 2.3% -0.8% 3.9% 6.1% 1.2% -2.2% 8.3% -2.9% 2.2% -3.6% -7.3% -3.1% 6.0%
 
2015 Strategy 1.3% 8.0% 1.4% -1.9% 1.7% 3.2% 2.0% -1.5% -0.9% 7.0% 1.8% -1.5% 22.1%
Benchmark 0.5% 6.0% 1.5% -6.1% 3.9% 2.0% 2.6% -3.6% -5.4% 4.4% 1.7% -5.8% 0.7%
Relative Return 0.8% 2.0% -0.1% 4.3% -2.2% 1.3% -0.6% 2.1% 4.6% 2.6% 0.1% 4.3% 21.4%
 
2016 Strategy -2.7% 3.4% 7.2% -1.8% 0.7% 5.1% 1.0% -0.1% 0.1% -0.0% 0.1% 2.5% 16.0%
Benchmark -10.7% 1.1% 9.8% -0.5% 1.5% -1.7% 7.6% 0.2% -5.9% -6.8% 7.1% 0.2% -0.3%
Relative Return 8.0% 2.2% -2.5% -1.3% -0.9% 6.9% -6.6% -0.3% 6.0% 6.8% -7.0% 2.2% 16.3%
 
2017 Strategy 0.4% 3.2% 0.6% 1.3% 1.4% 1.0% -1.5% 0.1% 3.2% 2.7% 4.8% 1.2% 20.0%
Benchmark 1.9% 4.4% 3.5% 1.6% -0.8% 3.0% -0.5% -0.4% 4.5% 3.9% 6.0% 1.2% 31.8%
Relative Return -1.5% -1.2% -2.9% -0.3% 2.3% -2.0% -1.0% 0.5% -1.3% -1.1% -1.1% -0.0% -11.8%
 
2018 Strategy -0.5% -5.9% 2.2% -1.6% 2.2% 1.0% 3.0% 3.5% -0.9% -0.7% 4.2% -7.6% -1.9%
Benchmark 1.1% -9.4% 0.8% -4.5% 0.8% 0.9% 0.2% 1.0% -3.7% -11.6% 4.5% -8.0% -25.7%
Relative Return -1.6% 3.5% 1.3% 2.9% 1.4% 0.1% 2.8% 2.5% 2.8% 10.8% -0.3% 0.4% 23.8%
 
2019 Strategy 8.1% 5.7% -0.0% 2.3% -3.4% 1.0% 0.4% 3.9% 2.3% 2.0% 0.5% 1.0% 25.9%
Benchmark 12.8% 4.6% 0.7% 5.5% -5.7% 8.9% -0.1% 1.0% 5.1% 3.3% 0.9% -0.7% 41.3%
Relative Return -4.7% 1.1% -0.7% -3.2% 2.2% -7.9% 0.5% 2.9% -2.8% -1.3% -0.3% 1.6% -15.4%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2013 189.6% 100.2% 124.2% 70.1% 134.0% 71.0% 84.9% 64.8% 124.1% 25.4% 0.0% 0.0% 988.5%
2014 103.7% 4.0% 1.0% 172.0% 74.8% 135.2% 112.6% 10.6% 5.4% 159.7% 30.0% 29.9% 839.0%
2015 103.6% 103.0% 87.5% 133.1% 101.4% 120.1% 75.2% 63.7% 115.7% 108.4% 81.9% 122.6% 1,216.3%
2016 194.0% 120.8% 33.2% 0.0% 74.9% 25.0% 89.7% 9.9% 10.1% 128.1% 75.2% 124.5% 885.3%
2017 50.1% 62.1% 40.3% 109.0% 95.3% 133.3% 110.7% 76.4% 57.5% 175.1% 82.9% 83.3% 1,075.9%
2018 121.9% 96.9% 126.7% 108.7% 1.5% 101.2% 203.7% 120.9% 117.0% 95.5% 8.8% 0.0% 1,102.8%
2019 84.7% 74.5% 5.0% 118.9% 70.4% 29.6% 91.3% 41.1% 146.6% 104.6% 48.4% 134.3% 949.4%
  

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.

NEURAVEST RESEARCH INC (CRD# 312803/SEC#: 801-120607)