Equifax Retail and Auto

Performance 12/31/12 - 5/8/20
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Investment Approach
Equifax Retail and Auto Dynamic

Equifax Retail and Auto Dynamic is a strategy predicated on Equifax Consumer Credit Trend data. The strategy selects optimal entry for large cap retail constituents and holds them as long as they satisfy the conditions that selected them in the first place.
The AI engine retrains its models every 3 months and dynamically identifies which Equifax features are most informative for current market regime. The strategy selects its constituents using a 2 phased screening process. First, it identifies the macro level for retailers using mainly Equifax's data. It then further screens for constituents exhibiting strong fundamental / technical conditions for entry. The strategy max its number of constituents at 50.
This backtest performance report is completely out-of-sample. In addition, it accounts for transaction costs and slippage.

Performance Versus Benchmark 12/31/12 to 5/8/20
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 73.0% 33.8% 8.5% -12.1%
Rel. Return 39.2% N/A 20.6% N/A
Beta 0.18 N/A 0.08 N/A
Ann. Volatility 8.3% 21.6% 8.6% 37.9%
Sharpe 0.94 0.29 0.99 -0.15
Drawdown -9.6% -47.0% -7.9% -41.3%
IR 0.08 N/A 0.39 N/A
Tracking Error 19.2% N/A 35.9% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 8.5% 11.5% 12.0% 7.7% N/A
Ann. Volatility 8.6% 7.5% 9.3% 8.4% N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Total
Strategy -0.2% 0.0% 0.0% 2.6% -0.0% -0.1% 0.8% 0.4% 0.0% 0.0% 5.5% -0.6% 8.5%
Benchmark 6.3% 0.5% -6.6% 7.1% 1.7% 3.5% 3.5% -6.4% -6.5% -25.6% 23.2% 3.7% -12.1%
Rel. Return -6.4% -0.5% 6.7% -4.5% -1.7% -3.6% -2.6% 6.8% 6.5% 25.6% -17.6% -4.2% 20.6%
  
Perspective on Performance

Equifax Retail and Auto

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
WHR16.68
BBY15.97
TSN15.79
KR15.76
LEN15.01
Top Participation Long/Short
WHR16.68
BBY15.97
TSN15.79
KR15.76
LEN15.01
Top Long Winners
BBY4.0%
PHM3.6%
DHI3.6%
AZO3.5%
DG3.0%
Top Long/Short Winners
BBY4.0%
PHM3.6%
DHI3.6%
AZO3.5%
DG3.0%
Top Long Losers
HMC-0.6%
FCAU-0.6%
KMX-0.4%
FOSL-0.3%
FDO-201507-0.3%
Top Long/Short Losers
HMC-0.6%
FCAU-0.6%
KMX-0.4%
FOSL-0.3%
FDO-201507-0.3%
  
Simulation Settings
Strategy Settings
Module:Event Analyzer
Date of report: 5/12/20 10:59 AM
Date Range: 12/31/12-5/8/20
Generated by: Lucena Strategies
Benchmark: XRT
Holding Period: Conditional Hold
Transaction Cost Modeling:
Leverage
Short Borrowing3.5%
Slippage ModeSpecify a bps value
Slippage0 bps
Rebalancing:
Preferred Day N/A
Exit Criteria Settings:
Stop Loss N/A
Max Gain N/A
Training:
Dynamic Retraining True
Retraining Schedule 3 months
Feature Groups Equity Conditions - Fundamental Long Term Rank
Premium Lic - Equifax
Retention Threshold 20%
Long/Short Long
Forecasting Period 21 days
Ranking Feature AroonUp Bounded (Asc)
Dynamic Models Timeline
Event Universe
Name Dates Whitelist Sectors
Equifax Retail and Auto 1/1/10 - 12/31/12 S&P 500,Eqfx Retail ,Eqfx Automobile Partial

Combination Method:
Selection Type:Union
  
Performance Metrics
Transaction Cost:
Commissions ($0.004 per share, $2.95 min per trade)$84,993
Slippage$15,726
Borrowing Costs$0
Total Transaction Costs$100,718

Transaction Analysis:
Number of Transactions 28,586
Average Trade Hold Days (Weighted) 13.00 (27.39)
% Successful Transactions (Weighted) 57.2% (70.2%)
% Hit Stop Loss 0.0%
% Hit Stop Gain 0.0%
Profit Ratio 1.47
Monthly Performance Metrics:
Days of Outperformance 48.9%
Months of Outperformance46.1%
Most Consecutive Months of Outperformance4
Most Consecutive Months of Underperformance6
Benchmark Relative Metrics:
Beta0.18
Information Ratio0.08
Annualized Tracking Error19.2%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
Fund73.0%0.940.94 0.67 8.3% -9.6%
Benchmark33.8%0.290.38 0.00 21.6% -47.0%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,000K$1,730K$729,713 7.7%
Benchmark$1,000K$1,338K$337,764 4.0%
  
Performance Metrics By Year
2013 2014 2015 2016 2017 2018 2019 2020
ReturnStrategy 13.6% 1.9% 3.8% 3.8% 15.8% 2.6% 10.9% 5.3%
Benchmark 42.2% 9.9% -8.9% 3.3% 4.2% -8.0% 14.1% -16.8%
Winning DaysStrategy 61.3% 52.7% 45.1% 52.5% 56.7% 54.5% 55.1% 55.6%
Benchmark 59.3% 53.8% 50.0% 50.6% 53.0% 54.2% 53.2% 46.1%
SharpeStrategy 1.66 0.29 0.65 0.52 1.63 0.29 2.52 1.14
Benchmark 2.60 0.69 -0.44 0.26 0.32 -0.29 0.77 -0.61
SortinoStrategy 1.63 0.29 0.68 0.48 2.15 0.31 3.28 0.98
Benchmark 3.87 1.00 -0.63 0.40 0.50 -0.43 1.17 -0.78
Max DDStrategy -5.2% -6.0% -2.9% -4.7% -6.1% -9.6% -2.2% -7.9%
Benchmark -6.9% -12.1% -16.6% -13.1% -15.4% -26.2% -17.5% -41.1%
AlphaStrategy -0.01 -0.01 0.05 0.03 0.14 0.05 0.10 0.07
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Ann. VolatiltyStrategy 7.8% 7.5% 5.9% 7.5% 9.2% 11.2% 4.1% 13.6%
Benchmark 13.9% 15.3% 17.6% 19.5% 18.0% 21.2% 19.6% 57.2%
Tracking ErrorStrategy 0.7% 0.8% 1.0% 1.1% 0.9% 1.1% 1.1% 3.4%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2013 Strategy -0.1% 0.2% -0.1% 2.5% 3.0% 0.7% 2.2% 0.1% 0.0% 1.4% 1.5% 1.4% 13.6%
Benchmark 7.5% 0.1% 4.9% 4.5% 5.6% -1.0% 6.6% -4.7% 5.4% 2.6% 5.1% -0.2% 42.2%
Relative Return -7.6% 0.2% -5.0% -2.0% -2.6% 1.7% -4.4% 4.7% -5.4% -1.3% -3.6% 1.7% -28.6%
 
2014 Strategy -3.2% 6.6% -0.3% -1.0% 0.1% 0.0% -3.8% 5.0% -1.6% 0.8% -0.0% -0.2% 1.9%
Benchmark -9.4% 7.2% -1.5% -0.9% 0.3% 3.9% -3.4% 5.9% -3.5% 3.4% 6.6% 2.0% 9.9%
Relative Return 6.1% -0.6% 1.2% -0.1% -0.2% -3.9% -0.4% -1.0% 1.9% -2.5% -6.7% -2.2% -7.9%
 
2015 Strategy -1.9% 4.7% 0.6% -1.4% 1.6% 0.2% 0.0% 0.0% 0.0% 0.0% -0.0% 0.0% 3.8%
Benchmark -3.2% 6.2% 2.7% -4.3% 1.1% 1.2% -0.3% -4.9% -4.9% 3.3% -2.9% -2.6% -8.9%
Relative Return 1.4% -1.5% -2.1% 2.8% 0.5% -1.0% 0.3% 4.9% 4.9% -3.3% 2.9% 2.6% 12.6%
 
2016 Strategy -2.1% 0.0% -0.2% -0.2% 0.0% 2.0% 0.2% 0.0% 0.0% -0.5% 3.7% 0.9% 3.8%
Benchmark -5.1% 5.6% 7.0% -4.3% -4.3% -0.5% 7.5% -1.4% -1.7% -3.0% 8.2% -3.3% 3.3%
Relative Return 3.0% -5.6% -7.2% 4.1% 4.3% 2.5% -7.3% 1.4% 1.7% 2.6% -4.6% 4.2% 0.4%
 
2017 Strategy 1.8% -0.0% -2.1% -0.9% 0.0% 0.0% 1.5% -2.5% 5.3% 0.9% 9.5% 1.7% 15.8%
Benchmark -2.0% -0.6% -1.4% 1.6% -5.1% 0.4% 1.1% -4.8% 7.1% -5.5% 10.7% 3.8% 4.2%
Relative Return 3.8% 0.6% -0.7% -2.5% 5.1% -0.4% 0.5% 2.3% -1.8% 6.4% -1.2% -2.1% 11.6%
 
2018 Strategy 4.4% -2.9% -3.1% -0.4% 1.3% 3.2% 1.4% 0.0% 0.0% -1.1% 0.0% -0.1% 2.6%
Benchmark 4.5% -4.1% -1.9% 2.0% 2.6% 5.1% 2.2% 5.0% -1.8% -7.6% -1.7% -11.2% -8.0%
Relative Return -0.1% 1.2% -1.2% -2.4% -1.3% -1.9% -0.8% -5.0% 1.8% 6.5% 1.7% 11.1% 10.7%
 
2019 Strategy 2.1% 5.0% 0.0% 0.4% -0.3% -0.2% 0.0% 0.0% 2.6% -0.0% -0.1% 0.8% 10.9%
Benchmark 7.7% 3.9% -1.6% 1.5% -12.3% 6.3% 0.5% -6.6% 7.1% 1.7% 3.5% 3.5% 14.1%
Relative Return -5.6% 1.1% 1.6% -1.1% 12.1% -6.4% -0.5% 6.7% -4.5% -1.7% -3.6% -2.6% -3.2%
 
2020 Strategy 0.4% 0.0% 0.0% 5.5% -0.6% N/A N/A N/A N/A N/A N/A N/A 5.3%
Benchmark -6.4% -6.5% -25.6% 23.2% 3.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -16.8%
Relative Return 6.8% 6.5% 25.6% -17.6% -4.2% N/A N/A N/A N/A N/A N/A N/A 22.2%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2013 19.4% 82.8% 19.4% 46.6% 44.5% 25.4% 70.6% 22.1% 0.0% 71.6% 36.8% 59.7% 498.9%
2014 62.0% 4.5% 3.8% 50.0% 14.8% 0.0% 44.2% 9.6% 7.1% 59.9% 9.7% 14.5% 280.0%
2015 65.4% 11.9% 11.1% 71.6% 72.5% 19.5% 0.0% 0.0% 0.0% 0.0% 4.8% 0.0% 256.8%
2016 52.5% 0.0% 23.6% 19.2% 14.8% 38.1% 50.0% 0.0% 0.0% 50.6% 16.3% 14.4% 279.4%
2017 33.5% 59.6% 98.8% 32.1% 0.0% 0.0% 43.7% 50.2% 21.8% 0.4% 0.0% 0.0% 340.2%
2018 112.6% 41.8% 0.0% 39.0% 8.3% 2.7% 50.0% 0.0% 0.0% 51.9% 0.0% 4.7% 311.0%
2019 41.8% 57.6% 11.7% 30.4% 24.0% 19.4% 4.8% 24.0% 75.1% 4.7% 14.0% 66.0% 373.5%
2020 56.2% 0.0% 0.0% 41.0% 8.1% N/A N/A N/A N/A N/A N/A N/A 105.4%
  

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  • 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.

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