Benzinga Multi-Factor News Sentiment Model Long

Performance 12/31/15 - 9/30/20
logo
Investment Approach
About Benzinga: Benzinga is a dynamic and innovative financial media outlet that empowers investors with high-quality, unique content that is sought after by Wall Street’s top traders. Benzinga provides timely, actionable ideas that help users navigate even the most uncertain and volatile markets in real-time.

Benzinga Multi-Factor News Sentiment Model: The model uses derived features related to news sentiment, news volume, change in news sentiment, and change in news volume in conjunction with additional factors to identify promising long positions from the Russell 1000 universe. The model retrains dynamically on a roll forward basis to consider most relevant features and account for changes in market regime. The goal of the strategy is to outperform the Russell 1000 index in risk-adjusted returns measured via Sharpe ratio.
Performance Versus Benchmark 12/31/15 to 9/30/20
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 104.1% 66.6% 28.9% 17.2%
Rel. Return 37.5% N/A 11.6% N/A
Beta 0.79 N/A 0.72 N/A
Ann. Volatility 18.0% 19.5% 29.0% 34.0%
Sharpe 0.92 0.65 1.02 0.64
Drawdown -27.8% -34.7% -27.8% -34.7%
IR 0.40 N/A 0.44 N/A
Tracking Error 10.1% N/A 18.0% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 28.9% 10.8% 13.5% N/A N/A
Ann. Volatility 29.1% 23.0% 19.8% N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Total
Strategy -0.9% 4.5% 1.0% -0.5% -3.3% -15.2% 22.7% 8.2% 2.6% 4.9% 5.4% -3.1% 28.9%
Benchmark 2.0% 3.6% 2.7% -0.0% -8.3% -13.4% 13.1% 5.1% 2.1% 5.7% 7.2% -3.8% 17.2%
Rel. Return -2.9% 0.9% -1.7% -0.5% 5.1% -1.8% 9.6% 3.1% 0.6% -0.8% -1.7% 0.6% 11.6%
  
Perspective on Performance
This is a long-only model for investing in stocks from the Russell 1000 index based on features derived from Benzinga’s news dataset, which aggregates from thousands of sources.

The model retrains every two months and is tested out-of-sample on data from January 2016 to September 2020.

The backtest considers transaction costs and slippage. See report for additional details.

Benzinga Multi-Factor News Sentiment Model Long

Strategy Performance Analysis by Neuravest
logo
Performance Report
Performance Chart
Correlation
Beta
Exposure
  
  
Simulation Settings
Strategy Settings
Module:Event Analyzer
Date of report: 10/12/20 1:34 PM
Date Range: 12/31/15-9/30/20
Generated by: Benzinga Research
Benchmark: Russell 1000
Holding Period: 42
Transaction Cost Modeling:
Leverage
Short Borrowing3.5%
Slippage ModeSpecify a bps value
Slippage0 bps
Rebalancing:
Preferred Day N/A
Exit Criteria Settings:
ATR Max Gain N/A
ATR Day Lookback 63
ATR Stop Loss 4.00
Training:
Dynamic Retraining True
Retraining Schedule 2 months
Feature Groups Premium Lic - Benzinga
Retention Threshold 20%
Long/Short Long
Forecasting Period 21 days
Ranking Feature News Sentiment CumLinDcy % Change - All (Desc)
Dynamic Models Timeline
Event Universe
Name Dates Whitelist Sectors
Benzinga Long 1/1/12 - 12/31/14 Russell 1000,S&P 500 All

Combination Method:
Selection Type:Union
  
Performance Metrics
Transaction Cost:
Commissions ($0.004 per share, $2.95 min per trade)$19,814
Slippage$11,756
Borrowing Costs$0
Total Transaction Costs$31,570

Transaction Analysis:
Number of Transactions 6,531
Average Trade Hold Days (Weighted) 49.00 (49.13)
% Successful Transactions (Weighted) 37.7% (57.4%)
% Hit Stop Loss 100.0%
% Hit Stop Gain 0.0%
Profit Ratio 2.45
Monthly Performance Metrics:
Days of Outperformance 50.3%
Months of Outperformance55.2%
Most Consecutive Months of Outperformance4
Most Consecutive Months of Underperformance3
Benchmark Relative Metrics:
Beta0.79
Information Ratio0.40
Annualized Tracking Error10.1%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
Fund104.1%0.921.10 0.51 18.0% -27.8%
Benchmark66.6%0.650.71 0.00 19.5% -34.7%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,000K$2,041K$1,041K 16.2%
Benchmark$1,000K$1,666K$666,095 11.3%
  
Performance Metrics By Year
2016 2017 2018 2019 2020
ReturnStrategy 17.2% 26.6% -3.6% 17.7% 21.2%
Benchmark 9.7% 19.3% -6.6% 28.9% 5.7%
Winning DaysStrategy 52.8% 58.6% 55.0% 57.5% 61.1%
Benchmark 51.4% 55.8% 53.0% 59.0% 57.9%
SharpeStrategy 1.00 2.78 -0.18 1.49 0.93
Benchmark 0.76 2.64 -0.32 2.08 0.38
SortinoStrategy 1.37 4.32 -0.22 1.93 1.14
Benchmark 0.99 3.56 -0.39 2.59 0.43
Max DDStrategy -15.0% -3.1% -19.0% -7.9% -27.8%
Benchmark -11.1% -2.8% -20.1% -6.9% -34.7%
AlphaStrategy 0.06 0.05 0.01 -0.07 0.17
Benchmark 0.00 0.00 0.00 0.00 0.00
Ann. VolatiltyStrategy 17.5% 8.6% 14.3% 11.3% 33.1%
Benchmark 13.3% 6.8% 16.9% 12.5% 38.7%
Tracking ErrorStrategy 0.5% 0.3% 0.5% 0.3% 1.3%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0%
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2016 Strategy -8.4% 2.6% 8.4% 1.9% 0.2% 1.4% 6.3% -0.2% 2.1% -5.2% 8.9% -0.5% 17.2%
Benchmark -5.5% -0.3% 6.8% 0.4% 1.5% 0.1% 3.7% -0.1% -0.1% -2.1% 3.7% 1.7% 9.7%
Relative Return -2.9% 2.9% 1.7% 1.5% -1.3% 1.4% 2.6% -0.1% 2.1% -3.2% 5.2% -2.2% 7.5%
 
2017 Strategy 2.9% 2.2% -0.5% 1.1% 3.4% 1.0% 4.1% -0.0% 2.9% 1.2% 3.9% 1.7% 26.6%
Benchmark 1.9% 3.6% -0.1% 0.9% 1.0% 0.5% 1.9% 0.1% 2.0% 2.2% 2.8% 1.0% 19.3%
Relative Return 1.0% -1.5% -0.4% 0.2% 2.4% 0.4% 2.3% -0.1% 0.9% -1.0% 1.1% 0.7% 7.2%
 
2018 Strategy 4.5% -4.5% 1.0% 2.7% 3.5% 1.2% 0.1% 3.7% -0.2% -8.8% 2.8% -8.4% -3.6%
Benchmark 5.4% -3.9% -2.4% 0.2% 2.3% 0.5% 3.3% 3.2% 0.2% -7.2% 1.8% -9.3% -6.6%
Relative Return -0.9% -0.6% 3.4% 2.5% 1.1% 0.7% -3.2% 0.4% -0.4% -1.6% 1.0% 0.8% 3.0%
 
2019 Strategy 8.0% 3.4% 1.0% 3.4% -5.4% 4.0% 2.0% -3.8% 0.0% -0.9% 4.5% 1.0% 17.7%
Benchmark 8.2% 3.2% 1.6% 3.9% -6.6% 6.9% 1.4% -2.0% 1.6% 2.0% 3.6% 2.7% 28.9%
Relative Return -0.3% 0.2% -0.5% -0.5% 1.1% -2.9% 0.6% -1.8% -1.5% -2.9% 0.9% -1.7% -11.2%
 
2020 Strategy -0.5% -3.3% -15.2% 22.7% 8.2% 2.6% 4.9% 5.4% -3.1% 1.7% N/A N/A 21.2%
Benchmark -0.0% -8.3% -13.4% 13.1% 5.1% 2.1% 5.7% 7.2% -3.8% 0.7% 0.0% 0.0% 5.7%
Relative Return -0.5% 5.1% -1.8% 9.6% 3.1% 0.6% -0.8% -1.7% 0.6% 1.0% N/A N/A 15.5%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2016 135.3% 47.4% 1.3% 15.7% 21.6% 31.1% 9.2% 20.1% 25.2% 36.9% 33.6% 19.2% 396.6%
2017 18.5% 14.1% 28.6% 12.4% 28.1% 24.1% 18.8% 37.2% 24.7% 26.6% 26.7% 14.3% 273.9%
2018 19.8% 89.1% 47.5% 18.4% 16.8% 16.1% 26.0% 20.7% 21.2% 130.5% 29.9% 114.0% 550.1%
2019 4.6% 0.7% 11.2% 5.5% 26.4% 9.8% 9.2% 44.6% 17.8% 32.6% 3.6% 6.3% 172.3%
2020 17.7% 72.3% 182.9% 5.3% 6.5% 2.7% 0.5% 0.7% 15.8% 0.2% N/A N/A 304.6%
  

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 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.

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