BlackDog 2.0

Performance 6/29/15 - 6/29/16
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Investment Approach
Performance Versus Benchmark 6/29/15 to 6/29/16
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 9.4% 0.5% 7.5% 1.4%
Rel. Return 8.9% N/A 6.1% N/A
Beta 0.32 N/A 0.19 N/A
Std. Dev 0.6% 1.1% 0.4% 1.0%
Sharpe 1.03 0.11 2.30 0.25
Draw Down -8.7% -14.1% -3.1% -10.5%
IR 0.54 N/A 0.76 N/A
R² 0.35 N/A 0.22 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 9.5% N/A N/A N/A N/A
Ann. Volatility 9.1% N/A N/A N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Total
Strategy 3.5% -4.3% -0.1% 2.3% 0.1% 0.4% -0.4% 1.8% 3.1% -0.4% 0.5% 2.8% N/A
Benchmark 2.0% -6.3% -2.6% 8.3% 0.1% -1.8% -5.1% -0.4% 6.6% 0.3% 1.5% -1.2% N/A
Rel. Return 1.5% 2.0% 2.6% -6.0% 0.0% 2.2% 4.7% 2.2% -3.5% -0.7% -1.0% 4.0% 0.0%
  
Perspective on Performance

BlackDog 2.0

Strategy Performance Analysis by Neuravest
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
  
Cross Validation Statistics
Cross Validation Performance
Cross Validation Daily Return Distributions
  
Simulation Settings
Strategy Settings
Module:Optimizer
Date of report: 6/29/16 4:01 PM
Date Range: 6/29/15-6/29/16
Generated by: Tucker Balch
Benchmark: S&P 500
Target Leverage: 1.0
Transaction Cost Modeling:
Leverage1.0
Short Borrowing0.0%
Slippage ModeSpecify a bps value
Slippage5 bps
Rebalancing:
Frequency1M
Preferred Day N/A
Exit Criteria Settings:
Both Up or Down met Use Balance Exit
Max Gain N/A
Portfolio Max Gain N/A
Portfolio Stop Loss N/A
Stop Loss N/A
Optimize Settings:
Lookback 3 Months
Minimum Cash Percentage 0.0
Minimum Cash Remaining 0.0
Portfolio Type Long Only
Risk Level 5 - Moderate
Forecast Settings:
Forecast Method Historical Average
  
Performance Metrics
Transaction Cost:
Commissions ($0.0035 per share, $0.00 min per trade)$604
Slippage$2,970
Borrowing Costs$0
Total Transaction Costs$3,574

Transaction Analysis:
Number of Transactions 76
Average Trade Hold Days (Weighted) N/A (N/A)
% Successful Transactions (Weighted) 77.8% (N/A)
% Hit Stop Loss 0.0%
% Hit Stop Gain 0.0%
Profit Ratio N/A
Monthly Performance Metrics:
Days of Outperformance N/A
Months of Outperformance66.7%
Most Consecutive Months of Outperformance4
Most Consecutive Months of Underperformance3
Benchmark Relative Metrics:
Beta0.32
Information Ratio0.54
Annualized Tracking Error13.8%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
Fund9.4%1.031.16 0.09 9.1% -8.7%
Benchmark0.5%0.110.15 0.00 17.1% -14.1%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$827,688$905,568$77,879 9.3%
Benchmark$827,688$831,496$3,807 0.5%
  
Performance Metrics By Year
2015 2016
ReturnStrategy 1.7% 7.5%
Benchmark -0.9% 1.4%
Winning DaysStrategy 57.0% 59.7%
Benchmark 47.7% 53.2%
SharpeStrategy 0.36 2.30
Benchmark -0.01 0.25
SortinoStrategy 0.39 3.22
Benchmark -0.02 0.34
Max DDStrategy -8.7% -3.1%
Benchmark -12.2% -10.5%
AlphaStrategy 0.02 0.07
Benchmark 0.00 0.00
Ann. VolatiltyStrategy 11.1% 6.4%
Benchmark 18.1% 16.0%
Tracking ErrorStrategy N/A N/A
Benchmark N/A N/A
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2015 Strategy N/A N/A N/A N/A N/A N/A 3.5% -4.3% -0.1% 2.3% 0.1% 0.4% 1.7%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.0% -6.3% -2.6% 8.3% 0.1% -1.8% -0.9%
Relative Return N/A N/A N/A N/A N/A N/A 1.5% 2.0% 2.6% -6.0% 0.0% 2.2% 2.7%
 
2016 Strategy -0.4% 1.8% 3.1% -0.4% 0.5% 2.8% N/A N/A N/A N/A N/A N/A 7.5%
Benchmark -5.1% -0.4% 6.6% 0.3% 1.5% -1.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.4%
Relative Return 4.7% 2.2% -3.5% -0.7% -1.0% 4.0% N/A N/A N/A N/A N/A N/A 6.1%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2015 N/A N/A N/A N/A N/A N/A 50.4% 31.8% 46.0% 10.6% 37.9% 6.5% 183.2%
2016 23.1% 54.9% 15.2% 5.2% 21.1% 49.3% N/A N/A N/A N/A N/A N/A 168.8%
  

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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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