Neuravest Multi-Strat Fund

Performance 7/25/13 - 8/16/21
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Investment Approach
Neuravest Multi-Strat Fund Portfolio

Neuravest Multi-Strat Fund is a US Large Cap portfolio that is designed to the cyclicality of major sectors or themes in the US economy.
The portfolio's goal is to outperform the S&P 500 in any market regime while avoiding large drawdowns during heightened market volatility. The portfolio utilizes machine learning models set to outperform their respective benchmarks as defined by corresponding ETFs (SPDR etc...).
The intuition that drives the portfolio is the notion that, over time, the equity market flows cyclically between sectors and valuation metrics.

There are three layers to the portfolio construction:
1) Construct an independent long only, best of breed portfolios for the following sectors / themes:

  • Technology (benchmark XLK)
  • Industrials (benchmark XLI)
  • Healthcare (benchmark XLV)
  • Financials (benchmark XLF)
  • ESG (benchmark (benchmark EFIV)

    • 2) Use Mean Variance Optimization (MVO) to optimize allocation between the five legs with a clear target to maximize the multi-strat portfolio's Sharpe Ratio. The idea is to move cash between holdings in order to exploit sector momentum while maintaining minimum exposure to market surprises.

    3) Hedge the multstrat based on historical performance and current market conditions like VIX.

    Stoploss based on Average True range of individual securities

    How are the Individual Sectors/Asset Portfolios constructed?
  • Each leg utilized Fundamentals, Technicals data factors that were modified (feature engineered) to support machine learning research.
  • The models classify which securities together are set to out perform their corresponding benchmark (an ETF)
  • Security selection is maxed at 20 per leg ranked by the largest cap constituents
  • Each leg is then optimized individually for a max Sharpe

    • How does the portfolio combine all the five legs?

  • The portfolio applies global macro risk factor model based on historical analysis
  • The portfolio utilizes MVO between the legs as if they were synthetic symbols of a five-stock portfolio
  • Optimization is performed monthly
  • There are strict minimum and maximum allocation thresholds per leg to maintain diversification.

    • Transaction cost, slippage are all considered in our backtests.
    Fee structure will be considered by our partner before final delivery.

    Performance Versus Benchmark 7/25/13 to 8/16/21
    Strategy Overall Bench Overall Strategy TTM Bench TTM
    Abs. Return 375.2% 164.3% 27.7% 32.5%
    Rel. Return 210.9% N/A -4.8% N/A
    Beta 0.25 N/A 0.54 N/A
    Ann. Volatility 10.6% 17.1% 10.5% 14.9%
    Sharpe 1.86 0.79 2.38 1.96
    Drawdown -11.8% -33.9% -6.6% -9.6%
    IR 0.38 N/A -0.44 N/A
    Tracking Error 16.2% N/A 9.6% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 27.7% 55.8% 38.8% 30.8% N/A
    Ann. Volatility 10.5% 15.0% 13.4% 11.5% N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Total
    Strategy -0.9% -0.1% 1.5% 0.8% 0.1% 3.1% 4.1% 6.7% 1.5% 2.7% 2.6% 0.7% 27.7%
    Benchmark -3.9% -2.8% 10.8% 3.7% -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 1.7% 32.5%
    Rel. Return 3.0% 2.7% -9.3% -2.9% 1.2% 0.5% -0.1% 1.4% 1.0% 0.5% 0.3% -1.0% -4.8%
      
    Perspective on Performance

    Neuravest Multi-Strat Fund

    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
    ABT10.39
    V9.37
    ACN9.31
    AXP9.26
    MSFT9.25
    Top Participation Short
    SLV67.33
    ILF30.87
    TLT29.64
    USO28.16
    XRT27.25
    Top Participation Long/Short
    SLV67.33
    ILF30.87
    TLT29.64
    USO28.16
    XRT27.25
    Top Long Winners
    GE17.3%
    CSX4.1%
    MSFT3.8%
    V3.2%
    AAPL3.1%
    Top Short Winners
    USO28.6%
    SLV23.8%
    ILF18.9%
    TLT8.4%
    FXI4.9%
    Top Long/Short Winners
    USO28.6%
    SLV23.8%
    ILF18.9%
    GE17.3%
    TLT8.4%
    Top Long Losers
    FLS-0.1%
    VMI-0.1%
    NAV-202106-0.1%
    JOY-201704-0.1%
    RBC-0.1%
    Top Short Losers
    XLY-0.3%
    XLB-0.3%
    XLV-0.1%
    EMTL-0.1%
    SPLV-0.1%
    Top Long/Short Losers
    XLY-0.3%
    XLB-0.3%
    FLS-0.1%
    XLV-0.1%
    VMI-0.1%
      
    Simulation Settings
    Strategy Settings
    Module:N/A
    Date of report: 8/25/21 7:30 AM
    Date Range: 7/25/13-8/16/21
    Generated by: Python User
    Benchmark: S&P 500
    Transaction Cost Modeling:
    Leverage
    Short Borrowing0.0%
    Slippage ModeSpecify a bps value
    Slippage2.5 bps
    Rebalancing:
    FrequencyEvery 1 Days
    Preferred Day N/A
    EqualAllocator Settings:
    Description Equally Allocates across input universe.
    Input Universe Weight->Univ((1e-08Univ((0
    Direction Long
    IgnoreDriftAlloc Settings:
    Description Stops Drift
    Lucena Hedger Settings:
    Description Lucena Hedger
    Target Beta 1.0
    Profile Preserve Return
    Lookback 252
    Min/Max 0.05/1.0
    Direction Short
    Size 15
      
    Performance Metrics
    Transaction Cost:
    Commissions ($0.005 per share, $0.00 min per trade)$1,404,571
    Slippage$3,455,748
    Borrowing Costs$0
    Total Transaction Costs$4,860,319

    Transaction Analysis:
    Number of Transactions 385,867
    Average Trade Hold Days (Weighted) 8.00 (5.00)
    % Successful Transactions (Weighted) 56.7% (57.3%)
    % Hit Stop Loss 42.1%
    % Hit Stop Gain 0.0%
    Profit Ratio 1.05
    Monthly Performance Metrics:
    Days of Outperformance 51.6%
    Months of Outperformance55.1%
    Most Consecutive Months of Outperformance8
    Most Consecutive Months of Underperformance10
    Benchmark Relative Metrics:
    Beta0.25
    Information Ratio0.38
    Annualized Tracking Error16.2%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
    Financial:Fund467.2%0.841.24 1.58 25.2% -26.0%
    ESG:Fund206.1%0.821.12 0.55 18.8% -20.8%
    Healthcare:Fund1,555.5%3.944.67 739.76 21.5% -26.5%
    Industrial:Fund909.3%1.671.97 42.59 31.4% -35.9%
    Tech:Fund804.5%1.812.68 36.51 27.3% -27.6%
    _Hedge_-23.0%-0.13-0.18 0.55 14.9% -47.4%
    Fund375.2%1.862.71 3.26 10.6% -11.8%
    Benchmark164.3%0.790.91 0.00 17.1% -33.9%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Financial:Fund$10,027K$56,872K$46,845K 19.8%
    ESG:Fund$10,027K$30,695K$20,668K 14.7%
    Healthcare:Fund$10,027K$165,997K$155,970K 127.3%
    Industrial:Fund$10,027K$101,209K$91,182K 60.7%
    Tech:Fund$10,027K$90,700K$80,673K 57.9%
    _Hedge_$10,027K$7,719K($2,308.K -2.9%
    Fund$10,027K$47,652K$37,625K 21.1%
    Benchmark$10,027K$26,506K$16,479K 12.8%
      
    Performance Metrics By Year
    2013 2014 2015 2016 2017 2018 2019 2020 2021
    ReturnStrategy 9.5% -2.6% 1.1% 15.8% 23.7% 10.4% 25.1% 77.3% 23.5%
    Benchmark 9.4% 11.4% -0.7% 9.5% 19.4% -6.2% 28.9% 16.3% 19.0%
    Winning DaysStrategy 54.5% 49.6% 47.8% 54.0% 59.8% 58.2% 58.3% 60.9% 54.8%
    Benchmark 53.6% 57.1% 47.4% 52.0% 57.2% 52.6% 59.5% 57.3% 56.8%
    SharpeStrategy 2.44 -0.23 0.17 1.78 3.06 1.11 2.39 3.13 3.79
    Benchmark 2.09 1.00 0.03 0.76 2.69 -0.29 2.09 0.61 2.23
    SortinoStrategy 4.72 -0.34 0.26 2.74 4.62 1.42 3.17 4.53 6.95
    Benchmark 3.58 1.31 0.04 0.99 3.60 -0.36 2.58 0.69 3.07
    Max DDStrategy -3.1% -8.4% -8.6% -4.7% -2.5% -11.5% -5.5% -7.7% -3.1%
    Benchmark -4.6% -7.4% -12.4% -10.5% -2.8% -19.8% -6.8% -33.9% -4.2%
    AlphaStrategy 0.05 -0.09 0.01 0.13 0.08 0.12 0.11 0.76 0.13
    Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
    Ann. VolatiltyStrategy 8.6% 9.4% 8.7% 8.4% 7.0% 9.3% 9.5% 18.7% 9.1%
    Benchmark 10.0% 11.3% 15.5% 13.1% 6.7% 17.0% 12.4% 34.4% 12.9%
    Tracking ErrorStrategy 0.5% 0.5% 0.8% 0.8% 0.3% 1.0% 0.6% 2.3% 0.5%
    Benchmark 0.0% 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 N/A N/A N/A N/A N/A N/A -0.2% -1.9% 2.9% 3.8% 4.3% 0.4% 9.5%
    Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.3% -3.1% 3.0% 4.5% 2.8% 2.4% 9.4%
    Relative Return N/A N/A N/A N/A N/A N/A 0.1% 1.2% -0.0% -0.7% 1.5% -2.0% 0.2%
     
    2014 Strategy -0.6% -0.9% -2.1% -0.1% 1.0% 1.7% -2.0% 2.9% -1.8% -1.8% 0.7% 0.6% -2.6%
    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 2.9% -5.2% -2.8% -0.7% -1.1% -0.2% -0.5% -0.9% -0.2% -4.1% -1.8% 1.0% -14.0%
     
    2015 Strategy -4.7% 1.7% 2.1% -0.2% 1.2% -1.3% -0.1% -5.2% -1.1% 6.0% 2.9% 0.3% 1.1%
    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 -1.6% -3.7% 3.9% -1.1% 0.1% 0.8% -2.1% 1.0% 1.5% -2.3% 2.8% 2.1% 1.8%
     
    2016 Strategy 0.7% 1.3% 3.2% -0.3% 2.5% -0.5% 5.1% 1.5% 0.2% -1.2% 3.2% -0.7% 15.8%
    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 5.8% 1.7% -3.4% -0.6% 0.9% -0.6% 1.6% 1.6% 0.3% 0.8% -0.2% -2.5% 6.2%
     
    2017 Strategy 1.5% 1.8% 2.3% 1.7% 1.8% 2.2% 3.6% 2.3% 3.6% 2.4% 0.2% -1.9% 23.7%
    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 -0.3% -2.0% 2.4% 0.8% 0.7% 1.8% 1.6% 2.3% 1.7% 0.2% -2.6% -2.9% 4.3%
     
    2018 Strategy 1.7% 3.5% -2.8% 0.0% 3.2% -0.1% 4.7% 7.8% 3.8% -4.8% -0.3% -5.7% 10.4%
    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 -3.9% 7.4% -0.1% -0.3% 1.0% -0.6% 1.1% 4.8% 3.3% 2.1% -2.1% 3.5% 16.7%
     
    2019 Strategy -0.3% 1.0% 1.3% 7.0% -3.9% 6.1% 2.6% -3.8% 3.5% 4.4% 5.9% -0.5% 25.1%
    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 -8.1% -2.0% -0.5% 3.1% 2.7% -0.8% 1.3% -2.0% 1.7% 2.4% 2.5% -3.3% -3.8%
     
    2020 Strategy 5.7% 4.4% 12.2% 8.4% 7.2% 7.1% 7.2% 6.0% -0.9% -0.1% 1.5% 0.8% 77.3%
    Benchmark -0.2% -8.4% -12.5% 12.7% 4.5% 1.8% 5.5% 7.0% -3.9% -2.8% 10.8% 3.7% 16.3%
    Relative Return 5.8% 12.8% 24.7% -4.3% 2.6% 5.3% 1.7% -1.0% 3.0% 2.7% -9.3% -2.9% 61.0%
     
    2021 Strategy 0.1% 3.1% 4.1% 6.7% 1.5% 2.7% 2.6% 0.7% N/A N/A N/A N/A 23.5%
    Benchmark -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 1.7% 0.0% 0.0% 0.0% 0.0% 19.0%
    Relative Return 1.2% 0.5% -0.1% 1.4% 1.0% 0.5% 0.3% -1.0% N/A N/A N/A N/A 4.5%
     
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 N/A N/A N/A N/A N/A N/A 126.6% 268.6% 183.3% 329.6% 212.2% 418.2% 1,538.6%
    2014 287.2% 358.4% 372.9% 304.6% 269.9% 198.8% 298.6% 304.5% 310.1% 672.6% 280.6% 457.4% 4,115.7%
    2015 453.4% 277.4% 305.5% 230.3% 195.0% 339.4% 365.4% 339.0% 446.1% 319.4% 290.4% 481.4% 4,042.6%
    2016 449.0% 475.7% 368.1% 281.4% 302.1% 540.6% 308.3% 281.2% 323.2% 415.7% 450.8% 472.4% 4,668.5%
    2017 406.5% 247.1% 297.5% 351.5% 433.2% 442.4% 422.0% 509.1% 312.8% 359.9% 465.3% 461.4% 4,708.7%
    2018 415.0% 352.6% 576.1% 437.3% 297.2% 286.4% 391.6% 352.1% 258.3% 597.0% 580.6% 589.1% 5,133.3%
    2019 345.8% 292.1% 328.5% 276.2% 563.9% 437.1% 462.2% 756.9% 245.5% 401.6% 362.8% 426.1% 4,898.8%
    2020 387.2% 461.3% 907.5% 538.5% 367.4% 347.5% 278.1% 275.9% 443.8% 371.3% 404.9% 315.7% 5,099.0%
    2021 355.3% 345.2% 514.6% 259.3% 384.9% 359.3% 402.2% 177.3% N/A N/A N/A N/A 2,798.2%
      

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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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