Model: Bullpen 20 by Lucena Research

Performance 2/23/16 - 4/18/18
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Investment Approach
Bullpen is predicated on a multi-scan voting ensemble geared to identify up to five best positions for entry per day. Positions are added over a a 20 day period and the portfolio is fully leveraged on day 20. On day 21 the oldest held positions are sold and the rotation continues. Positions may exit before their designated exit date if a certain profit target or a stop loss condition is met. BullPen can be offered as a long only strategy or a long/short hedged strategy by which it is Hedged as cash neutral by shorting SPY. Bullpen is an active multi-factor model driven by machine learning. It is designed to outperform the market from both absolute and risk-adjusted perspectives. Allocations can move to cash during heavy market uncertainty.
Performance Versus Benchmark (SPDR S&P 500 Trust) 2/23/16 to 4/18/18
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 22.88% 17.21% 1.86% -0.04%
Rel. Return 5.67% N/A 1.89% N/A
Beta 1.03 N/A 0.99 N/A
Std. Dev 0.39% 0.34% 0.63% 0.62%
Sharpe 1.57 1.49 0.67 0.04
Draw Down 4.46% 4.87% 4.46% 4.87%
IR 0.61 N/A 2.32 N/A
0.81 N/A 0.92 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 8.69% 9.44% 10.05% N/A N/A
Std. Dev 0.43% 0.40% 0.39% N/A N/A
Ann. Volatility 6.90% 6.29% 6.21% N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr Total
Strategy 1.10% 0.40% -0.45% -0.07% 2.95% 0.07% 1.23% 0.61% 3.56% -1.90% -0.41% 0.69% 7.93%
Benchmark 0.77% 0.44% 0.47% 0.23% 0.97% 1.68% 1.94% 0.25% 2.38% -1.05% -1.80% 0.48% 6.92%
Rel. Return 0.33% -0.04% -0.93% -0.30% 1.98% -1.61% -0.70% 0.36% 1.17% -0.85% 1.39% 0.20% 1.01%
Perspective on Performance
  
Model: Bullpen 20

Model: Bullpen 20

Strategy Performance Analysis by Lucena Research
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions2,656
Commissions$17,059.70
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$17,059.70
Benchmark Relative Metrics:
Beta1.03
Information Ratio0.61
R^20.81
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: Bullpen 2022.88%1.571.96 0.23 0.39% 4.46%
SPDR S&P 500 Trust17.21%1.491.73 0.00 0.34% 4.87%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: Bullpen 20$1,000K$1,229K$228,761.83 N/A
SPDR S&P 500 Trust$186.30$218.36$32.06 N/A

Performance Metrics By Year
2016 2017 2018
ReturnStrategy 10.26% 9.41% 1.86%
SPDR S&P 500 Trust 5.70% 10.93% -0.04%
Winning DaysStrategy 57.34% 56.97% 60.81%
SPDR S&P 500 Trust 54.59% 56.97% 58.11%
SharpeStrategy 1.94 1.89 0.67
SPDR S&P 500 Trust 1.51 3.06 0.04
SortinoStrategy 2.67 2.51 0.84
SPDR S&P 500 Trust 1.91 4.63 0.04
Max DDStrategy 3.60% 2.84% 4.46%
SPDR S&P 500 Trust 3.00% 1.46% 4.87%
AlphaStrategy 0.10 0.09 0.02
SPDR S&P 500 Trust 0.00 0.00 0.00
St. Dev.Strategy 0.37% 0.30% 0.63%
SPDR S&P 500 Trust 0.34% 0.22% 0.62%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2016 Strategy 0.00% -0.07% 1.99% 1.01% 1.95% -0.35% 2.73% -0.51% 0.08% 0.20% 2.31% 0.53% 10.26%
Benchmark 0.00% -0.06% 1.84% 0.48% 0.98% 0.12% 1.78% 0.07% -0.04% -0.86% 1.87% 0.69% 5.70%
Relative Return 0.00% -0.01% 0.16% 0.53% 0.97% -0.47% 0.95% -0.58% 0.13% 1.05% 0.44% -0.17% 4.56%
 
2017 Strategy 1.49% 1.56% -0.32% 0.51% 1.10% 0.40% -0.45% -0.07% 2.95% 0.07% 1.23% 0.61% 9.41%
Benchmark 1.03% 1.93% 0.25% 0.45% 0.77% 0.44% 0.47% 0.23% 0.97% 1.68% 1.94% 0.25% 10.93%
Relative Return 0.46% -0.37% -0.57% 0.05% 0.33% -0.04% -0.93% -0.30% 1.98% -1.61% -0.70% 0.36% -1.52%
 
2018 Strategy 3.56% -1.90% -0.41% 0.69% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.86%
Benchmark 2.38% -1.05% -1.80% 0.48% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -0.04%
Relative Return 1.17% -0.85% 1.39% 0.20% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.89%
 
  
Performance Disclaimer
Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.
Disclaimer Pertaining To Content Delivered & Investment Advice
Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.
Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.