Model: Market Neutral Tech Hedged --1 Year Thursday

Performance 12/31/12 - 2/10/20
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Investment Approach
Model: Tech Hedge Market Neutral

The strategy identifies large cap Technology winners and hedges them with equal short allocation by identifying a set of uncorrelated constituents. The hedger uses Neuravest's proprietary pattern matching technology geared to identify which constituents exhibit inverse price behavior (relative to the market). When adding the short positions to the core holdings we in turn get a nice smooth low vol return that accrues over time.
Hedge positions are selected from the Russell 1000.
The portfolio re-assess its positions every week. It also holds between 10 and 20 positions with max allocation of 15 per position.

Performance Versus Benchmark 12/31/12 to 2/10/20
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 208.8% 135.0% 45.1% 23.7%
Rel. Return 73.7% N/A 21.4% N/A
Beta 0.11 N/A 0.17 N/A
Ann. Volatility 14.0% 12.8% 15.6% 11.9%
Sharpe 1.20 1.00 2.47 1.85
Drawdown -13.4% -19.8% -6.8% -6.8%
IR 0.22 N/A 0.90 N/A
Tracking Error 18.0% N/A 18.3% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 45.1% 19.0% 14.3% 20.6% N/A
Ann. Volatility 15.6% 14.2% 13.2% 13.9% N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Total
Strategy 1.2% 2.7% 2.4% -1.2% 3.9% 2.4% 2.7% 5.8% 0.7% -0.7% 13.4% 6.5% 45.1%
Benchmark 1.8% 3.9% -6.6% 6.9% 1.3% -1.8% 1.7% 2.0% 3.4% 2.9% -0.2% 3.9% 23.7%
Rel. Return -0.6% -1.2% 9.0% -8.1% 2.6% 4.2% 1.0% 3.7% -2.7% -3.6% 13.6% 2.6% 21.4%
  
Perspective on Performance
  • Over its five years backtest, the portfolio exhibits returns every year.
  • Max drawdown of -13.2% and a Sharpe Ratio of 1.20.
  • Over 5 years its average annual return stands at over 20%
  • The portfolio is uncorrelated to the S&P with an R^2 of 0.01 and IR of 0.22.

    • Model: Market Neutral Tech Hedged --1 Year Thursday

    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
    AMD188.95
    TSLA175.01
    ADBE140.84
    MSFT137.55
    AAPL128.85
    Top Participation Short
    JCP8.42
    SCTY-2016117.54
    X6.13
    ANVGQ-2015105.85
    CREE5.40
    Top Participation Long/Short
    AMD188.95
    TSLA175.01
    ADBE140.84
    MSFT137.55
    AAPL128.85
    Top Long Winners
    AMD101.9%
    TSLA101.8%
    ADBE20.1%
    AAPL18.3%
    CRM14.1%
    Top Short Winners
    PBYI2.5%
    HRB2.4%
    WLTGQ-2019052.1%
    CXW1.8%
    VSTO1.7%
    Top Long/Short Winners
    AMD101.9%
    TSLA101.8%
    ADBE20.1%
    AAPL18.3%
    CRM14.1%
    Top Short Losers
    MBI-11.7%
    JCP-7.0%
    CAR-6.3%
    CLF-4.3%
    CVET-3.0%
    Top Long/Short Losers
    MBI-11.7%
    JCP-7.0%
    CAR-6.3%
    CLF-4.3%
    CVET-3.0%
      
    Simulation Settings
    Strategy Settings
    Module:Hedger
    Date of report: 2/23/20 9:05 AM
    Date Range: 12/31/12-2/10/20
    Generated by: Lucena Strategies
    Benchmark: S&P 500
    Target Leverage: 1.0
    Transaction Cost Modeling:
    Leverage1.0
    Short Borrowing0.0%
    Slippage ModeSpecify a bps value
    Slippage0 bps
    Rebalancing:
    FrequencyEvery 5 Days
    Preferred Day Thursday
      
    Performance Metrics
    Transaction Cost:
    Commissions ($0.004 per share, $2.95 min per trade)$82,632
    Slippage$126,112
    Borrowing Costs$0
    Total Transaction Costs$208,744

    Transaction Analysis:
    Number of Transactions 9,671
    Average Trade Hold Days (Weighted) 20.00 (10.76)
    % Successful Transactions (Weighted) 51.6% (50.5%)
    % Hit Stop Loss 0.0%
    % Hit Stop Gain 0.0%
    Profit Ratio 1.09
    Monthly Performance Metrics:
    Days of Outperformance 48.4%
    Months of Outperformance51.2%
    Most Consecutive Months of Outperformance5
    Most Consecutive Months of Underperformance4
    Benchmark Relative Metrics:
    Beta0.11
    Information Ratio0.22
    Annualized Tracking Error18.0%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
    Core206.8%0.630.93 0.52 34.0% -21.1%
    Hedge210.7%0.691.00 3.34 29.2% -18.7%
    Fund208.8%1.201.81 1.94 14.0% -13.4%
    Benchmark135.0%1.001.27 0.00 12.8% -19.8%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    CoreN/A$3,068K$1,034K 17.1%
    HedgeN/A$3,107K$1,053K 17.3%
    Fund$1,000K$3,088K$2,088K 17.2%
    Benchmark$1,000K$2,350K$1,350K 12.8%
      
    Performance Metrics By Year
    2013 2014 2015 2016 2017 2018 2019 2020
    ReturnStrategy 21.9% 0.5% 20.2% 33.2% 9.9% 4.6% 13.2% 20.9%
    Core 21.9% 0.5% 18.8% 32.9% 11.2% 7.1% 10.8% 20.1%
    Benchmark 29.6% 11.4% -0.7% 9.5% 19.4% -6.2% 28.9% 3.8%
    Hedge 21.9% 0.5% 21.7% 33.5% 8.6% 2.1% 15.8% 21.6%
    Winning DaysStrategy 51.0% 50.0% 55.2% 54.8% 53.0% 52.8% 50.4% 59.3%
    Core 53.0% 54.0% 50.8% 54.8% 54.2% 51.2% 54.4% 66.7%
    Benchmark 58.3% 57.1% 47.2% 52.0% 57.2% 52.6% 59.5% 63.0%
    Hedge 52.2% 46.8% 49.6% 52.0% 49.4% 47.2% 50.4% 59.3%
    SharpeStrategy 1.17 0.10 2.01 1.67 0.83 0.44 1.05 5.79
    Core 0.73 0.17 0.73 0.87 0.55 0.37 0.48 3.09
    Benchmark 2.39 1.00 0.03 0.76 2.69 -0.29 2.09 2.80
    Hedge 0.74 0.16 0.91 1.03 0.52 0.22 0.63 5.89
    SortinoStrategy 1.68 0.15 3.44 2.93 1.10 0.66 1.60 7.65
    Core 0.96 0.24 1.18 1.42 0.69 0.60 0.73 3.30
    Benchmark 3.41 1.31 0.04 0.99 3.60 -0.36 2.58 3.60
    Hedge 0.93 0.23 1.20 1.55 0.76 0.32 1.05 24.30
    Max DDStrategy -10.3% -8.4% -6.7% -9.5% -8.8% -7.9% -7.4% -5.0%
    Core -15.0% -19.2% -15.1% -15.0% -12.4% -18.6% -12.7% -11.6%
    Benchmark -5.8% -7.4% -12.4% -10.5% -2.8% -19.8% -6.8% -3.1%
    Hedge -16.7% -13.8% -12.1% -13.5% -8.3% -13.8% -11.6% -3.0%
    AlphaStrategy 0.21 -0.00 0.20 0.32 0.09 0.06 0.09 0.19
    Core -0.08 -0.13 0.20 0.23 -0.12 0.14 -0.28 0.15
    Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
    Hedge 0.48 0.13 0.21 0.42 0.30 -0.02 0.46 0.23
    Ann. VolatiltyStrategy 18.2% 9.7% 9.4% 18.0% 12.2% 11.8% 12.6% 30.3%
    Core 35.6% 30.2% 29.5% 43.1% 25.3% 35.8% 31.2% 59.0%
    Benchmark 11.0% 11.3% 15.5% 13.1% 6.7% 17.0% 12.4% 12.1%
    Hedge 34.6% 27.6% 24.9% 33.4% 19.6% 30.6% 30.5% 30.8%
    Tracking ErrorStrategy 1.3% 0.9% 1.1% 1.4% 0.9% 1.2% 1.0% 2.0%
    Core 2.1% 1.7% 1.4% 2.6% 1.5% 2.0% 1.7% 3.6%
    Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
    Hedge 2.5% 2.1% 2.3% 2.5% 1.4% 2.6% 2.4% 2.2%
      
    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 Strategy -2.1% -1.1% -1.0% 5.3% 6.6% 5.0% 2.8% 6.6% 4.5% 0.7% -3.6% -2.9% 21.9%
    Benchmark 5.0% 1.1% 3.6% 1.8% 2.1% -1.5% 4.9% -3.1% 3.0% 4.5% 2.8% 2.4% 29.6%
    Relative Return -7.2% -2.2% -4.6% 3.5% 4.5% 6.5% -2.1% 9.8% 1.5% -3.8% -6.4% -5.2% -7.7%
     
    2014 Strategy 1.5% 6.2% -4.5% 1.1% 0.4% -1.4% -3.3% 2.6% -0.8% 1.0% -0.2% -1.6% 0.5%
    Benchmark -3.6% 4.3% 0.7% 0.6% 2.1% 1.9% -1.5% 3.8% -1.6% 2.3% 2.5% -0.4% 11.4%
    Relative Return 5.0% 1.9% -5.2% 0.5% -1.7% -3.3% -1.8% -1.2% 0.8% -1.3% -2.7% -1.2% -10.9%
     
    2015 Strategy -1.3% 1.6% -3.6% 0.4% 2.0% 3.5% 2.7% -1.5% 5.7% 2.2% 2.6% 4.7% 20.2%
    Benchmark -3.1% 5.5% -1.7% 0.9% 1.0% -2.1% 2.0% -6.3% -2.6% 8.3% 0.1% -1.8% -0.7%
    Relative Return 1.8% -3.9% -1.9% -0.5% 1.0% 5.6% 0.7% 4.7% 8.3% -6.1% 2.6% 6.5% 21.0%
     
    2016 Strategy -2.2% -3.5% 2.9% 11.0% 8.1% 2.3% 4.1% 3.0% -1.1% 0.7% -1.6% 6.5% 33.2%
    Benchmark -5.1% -0.4% 6.6% 0.3% 1.5% 0.1% 3.6% -0.1% -0.1% -1.9% 3.4% 1.8% 9.5%
    Relative Return 2.9% -3.1% -3.7% 10.8% 6.5% 2.2% 0.5% 3.1% -0.9% 2.6% -5.0% 4.7% 23.7%
     
    2017 Strategy -2.4% 8.4% 3.4% 3.0% 0.7% -1.8% -3.9% 1.8% -2.0% 2.8% -0.4% 0.4% 9.9%
    Benchmark 1.8% 3.7% -0.0% 0.9% 1.2% 0.5% 1.9% 0.1% 1.9% 2.2% 2.8% 1.0% 19.4%
    Relative Return -4.2% 4.7% 3.4% 2.1% -0.4% -2.3% -5.9% 1.8% -4.0% 0.6% -3.2% -0.6% -9.5%
     
    2018 Strategy 3.1% 1.5% -2.8% 2.8% 2.4% -1.3% -2.9% 3.1% 3.5% -3.6% 0.3% -1.1% 4.6%
    Benchmark 5.6% -3.9% -2.7% 0.3% 2.2% 0.5% 3.6% 3.0% 0.4% -6.9% 1.8% -9.2% -6.2%
    Relative Return -2.5% 5.4% -0.1% 2.5% 0.3% -1.8% -6.5% 0.0% 3.1% 3.3% -1.5% 8.0% 10.8%
     
    2019 Strategy -5.2% -1.8% 1.2% 2.7% 2.4% -1.2% 3.9% 2.4% 2.7% 5.8% 0.7% -0.7% 13.2%
    Benchmark 7.9% 3.0% 1.8% 3.9% -6.6% 6.9% 1.3% -1.8% 1.7% 2.0% 3.4% 2.9% 28.9%
    Relative Return -13.0% -4.8% -0.6% -1.2% 9.0% -8.1% 2.6% 4.2% 1.0% 3.7% -2.7% -3.6% -15.6%
     
    2020 Strategy 13.4% 6.5% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 20.9%
    Benchmark -0.2% 3.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.8%
    Relative Return 13.6% 2.6% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 17.1%
     
    Monthly Return for Core By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 -2.5% -2.0% 0.5% 9.6% 1.4% 6.2% 2.4% 6.7% 3.7% -0.4% -1.6% -3.0% 21.9%
    2014 2.3% 5.6% -3.5% -0.2% 1.0% -0.4% -6.8% 5.5% -3.3% 6.7% -5.0% -0.5% 0.5%
    2015 -1.4% 1.0% -2.2% -2.4% 3.1% 1.1% 6.8% 0.7% 2.7% 0.8% 3.5% 4.0% 18.8%
    2016 2.9% -3.7% -0.2% 3.8% 18.0% 0.7% 3.6% 2.4% -0.6% 0.6% -2.0% 5.0% 32.9%
    2017 -1.3% 5.6% 7.3% 2.0% 1.0% -4.2% -5.9% 8.0% -3.8% 4.6% -0.5% -1.0% 11.2%
    2018 3.3% 1.5% -0.6% 1.5% 0.7% 0.0% -2.1% 0.9% 5.0% -4.1% 2.0% -0.7% 7.1%
    2019 -5.6% -3.2% 2.8% 0.1% 2.2% 1.5% 2.3% 4.7% -0.1% 6.5% -0.4% 0.2% 10.8%
    2020 11.8% 7.4% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 20.1%
    Monthly Return for Hedge By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 -1.7% -0.1% -2.5% 0.9% 12.2% 3.8% 3.2% 6.6% 5.3% 1.7% -5.4% -2.7% 21.9%
    2014 0.6% 6.9% -5.5% 2.5% -0.2% -2.5% 0.4% -0.2% 1.7% -4.5% 4.8% -2.7% 0.5%
    2015 -1.3% 2.2% -4.9% 3.3% 1.0% 5.8% -1.1% -3.7% 8.8% 3.5% 1.8% 5.4% 21.7%
    2016 -7.1% -3.4% 6.3% 18.4% -0.7% 3.9% 4.6% 3.5% -1.6% 0.8% -1.2% 8.0% 33.5%
    2017 -3.4% 11.2% -0.3% 4.0% 0.5% 0.6% -2.1% -3.8% -0.2% 1.2% -0.3% 1.7% 8.6%
    2018 2.9% 1.5% -4.9% 4.1% 4.2% -2.6% -3.6% 5.3% 2.1% -3.1% -1.4% -1.6% 2.1%
    2019 -4.6% -0.4% -0.3% 5.4% 2.7% -3.8% 5.6% 0.1% 5.6% 5.1% 1.7% -1.6% 15.8%
    2020 15.1% 5.7% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 21.6%
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 159.6% 141.2% 178.5% 135.8% 157.0% 111.5% 142.1% 179.0% 163.3% 176.5% 139.0% 175.0% 1,858.4%
    2014 206.1% 126.6% 191.5% 155.1% 236.6% 138.6% 219.3% 206.2% 196.3% 247.7% 201.3% 135.4% 2,260.7%
    2015 219.3% 154.7% 162.8% 176.0% 168.7% 154.5% 232.0% 224.4% 202.7% 277.3% 187.2% 156.4% 2,316.1%
    2016 152.1% 176.8% 232.6% 124.8% 127.6% 200.5% 102.6% 163.2% 161.2% 123.3% 199.6% 132.7% 1,897.0%
    2017 140.9% 97.8% 134.6% 168.3% 209.9% 184.3% 178.8% 232.2% 197.4% 213.5% 199.6% 128.2% 2,085.6%
    2018 145.7% 197.2% 187.3% 127.7% 224.0% 160.3% 139.6% 229.5% 134.0% 171.9% 276.7% 152.8% 2,146.6%
    2019 242.6% 141.9% 94.6% 141.5% 153.2% 143.1% 106.4% 212.2% 186.0% 223.4% 178.0% 110.1% 1,933.1%
    2020 117.2% 34.1% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 151.4%
      

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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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