Model: Utilities Long Only Adaptive

Performance 11/4/16 - 9/13/24
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Investment Approach
Model: Utilities Long Only Adaptive
The portfolio's goal is to track the Utilities Sector Select SPDR ETF (XLU) aiming to achieve higher Sharpe Ratio through active rebalancing.
The Utilities Live portfolio consists securities from the Russell 1000 that fall under the GICs code of Utilities. The portfolio is predicated on an event study model set to outperform the XLU. In addition, using Lucena's machine learning feature selection and classifiers, the portfolio selects constituents set to outperform the benchmark XLU in the next 21 days (one month of trading).
Rebalancing trades are executed every day as long as there is cash available for new entrants. In addition, there is a trailing stop loss per security based on 63/ATR @ 3.
If the price drops by at least 3 times the average daily range as measured by the past 3 months.
Performance Versus Benchmark (Utilities Select Sector SPDR Total Return) 11/4/16 to 9/13/24
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 197.3% 110.0% 31.7% 26.0%
Rel. Return 87.3% N/A 5.6% N/A
Beta 0.92 N/A 0.88 N/A
Ann. Volatility 19.8% 20.0% 13.7% 14.9%
Sharpe 0.77 0.57 2.37 2.19
Drawdown -32.9% -36.1% -7.2% -7.8%
IR 0.44 N/A -0.13 N/A
Tracking Error 7.7% N/A 4.0% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 31.9% 9.6% 7.7% 7.4% 15.0%
Ann. Volatility 15.4% 17.5% 17.0% 22.1% 19.8%
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 0.8% 4.5% 2.2% -2.6% 1.5% 7.5% 1.6% 7.6% -4.4% 11.8% 3.7% 2.3% 41.8%
Benchmark 1.3% 5.1% 1.9% -3.0% 1.1% 6.6% 1.7% 9.0% -5.5% 6.8% 4.8% 2.9% 36.7%
Rel. Return -0.5% -0.6% 0.3% 0.3% 0.4% 0.9% -0.0% -1.3% 1.2% 5.0% -1.2% -0.6% 5.0%
News Based Perspective on Performance
SequenceTextLink
1. Missed opportunities to expand Apple position on 11/4/16 View Details
2. Diversification opportunites: MSFT, GOOG, META 9/13/24 View Details
3. Recommended increase allocation in TSLA position on 11/4/16 View Details
4. Recommended decrease allocation in CMG, GIS 9/13/24 View Details
Total Portfolio Impact:    +2.25%    11/4/16 - 9/13/24
  
Model: Utilities Long Only Adaptive

Model: Utilities Long Only Adaptive

Strategy Performance Analysis by Neuravest
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: Utilities Long Only Adaptive$998,920$2,970K$2,970K 15.0%
Utilities Select Sector SPDR$37.41$78.54$41.13 10.0%
SPDR S&P 500 Trust$182.97$562.01$379.04 15.4%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Utilities Long Only Adaptive197.3%0.770.99 19.8% 32.9%
Utilities Select Sector SPDR110.0%0.570.72 20.0% 36.1%
SPDR S&P 500 Trust207.2%0.871.03 18.4% 33.7%

Transaction Cost:
Number of Transactions2,379
Total Commissions ($0.0035 per share, $2.95 min per trade)$8,691
Slippage($1,982)
Borrowing CostsN/A
Total Transaction Costs$6,709
Benchmark Relative Metrics:
Beta0.92
Information Ratio0.44
Annualized Tracking Error7.7%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 422 (53.7%) N/A (N/A) 422 (53.6%)
Avg Gain 9.87% 0.00% 9.87%
Avg Hold Time 4 months less than a second 4 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 364 (46.3%) 1 (100.0%) 365 (46.4%)
Avg Loss -8.37% -2.83% -8.36%
Avg Hold Time 4 months 1 days 4 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
NRG Jul 19, 2017 12:10:00 PM Nov 16, 2017 9:30:02 AM 3 months 32.8% $123,965.14 8.8%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
D Jun 23, 2020 9:30:56 AM Jul 6, 2020 12:13:24 PM 1 weeks -11.7% ($46,702.85) -2.4%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AES Jan 24, 2022 10:01:46 AM Jan 26, 2022 9:30:12 AM 1 days -2.8% ($1,389.24) -0.1%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AES Jan 24, 2022 10:01:46 AM Jan 26, 2022 9:30:12 AM 1 days -2.8% ($1,389.24) -0.1%

Performance Metrics By Year
2016 2017 2018 2019 2020 2021 2022 2023 2024
ReturnStrategy 6.5% 45.0% 17.7% 20.1% 1.2% 15.7% -7.9% -4.1% 31.7%
Utilities Select Sector SPDR 2.0% 12.0% 3.9% 25.9% 0.5% 17.7% 1.4% -7.2% 26.0%
SPDR S&P 500 Trust 7.7% 21.7% -4.6% 31.2% 18.3% 28.7% -18.2% 26.2% 19.0%
Winning DaysStrategy 60.0% 59.4% 55.8% 58.7% 54.2% 54.0% 47.4% 50.4% 58.8%
Utilities Select Sector SPDR 59.0% 55.4% 52.2% 59.9% 53.8% 52.8% 51.8% 48.8% 59.0%
SPDR S&P 500 Trust 61.5% 57.0% 53.0% 59.5% 57.7% 57.9% 43.4% 56.0% 58.4%
SharpeStrategy 3.11 2.56 1.12 1.56 0.22 1.07 -0.32 -0.17 2.37
Utilities Select Sector SPDR 0.83 1.22 0.32 2.08 0.20 1.16 0.17 -0.33 2.19
SPDR S&P 500 Trust 5.54 2.96 -0.18 2.24 0.67 2.01 -0.71 1.86 1.96
SortinoStrategy 4.13 6.15 1.60 2.28 0.27 1.61 -0.44 -0.26 3.48
Utilities Select Sector SPDR 0.92 1.81 0.45 3.06 0.26 1.73 0.26 -0.49 3.23
SPDR S&P 500 Trust 13.21 3.99 -0.22 2.74 0.76 2.87 -1.14 3.07 2.65
Max DDStrategy 3.4% 6.4% 11.6% 6.8% 32.9% 9.3% 28.0% 16.6% 7.2%
Utilities Select Sector SPDR 6.4% 7.5% 9.7% 5.5% 36.1% 9.0% 20.7% 20.2% 7.8%
SPDR S&P 500 Trust 1.3% 2.6% 19.3% 6.6% 33.7% 5.1% 24.5% 10.0% 8.4%
Ann. VolatilityStrategy 18.1% 15.0% 15.7% 12.2% 37.2% 14.6% 19.8% 16.9% 13.7%
Utilities Select Sector SPDR 20.3% 9.8% 15.1% 11.4% 38.5% 15.0% 21.4% 17.7% 14.9%
SPDR S&P 500 Trust 9.1% 6.7% 17.0% 12.5% 33.4% 13.0% 24.2% 13.1% 12.8%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2016 Strategy 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.4% 5.0% 6.5%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.7% 4.9% 2.0%
Relative Return 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.7% 0.1% 4.5%
 
2017 Strategy 9.8% 3.5% 3.4% -1.2% 2.9% -1.4% 16.0% 2.5% -1.6% 3.3% 5.8% -3.6% 45.0%
Benchmark 1.3% 5.3% -0.1% 0.8% 4.1% -2.7% 2.4% 3.3% -2.8% 3.9% 2.7% -6.1% 12.0%
Relative Return 8.5% -1.8% 3.5% -2.0% -1.2% 1.3% 13.6% -0.8% 1.1% -0.6% 3.1% 2.5% 33.0%
 
2018 Strategy -4.7% -4.7% 8.1% 2.3% 2.6% 0.1% 2.5% 3.5% 1.2% 0.8% 6.1% -0.5% 17.7%
Benchmark -3.1% -3.9% 3.8% 2.0% -1.1% 2.8% 1.6% 1.3% -0.6% 2.0% 3.5% -4.0% 3.9%
Relative Return -1.6% -0.8% 4.3% 0.3% 3.7% -2.7% 0.9% 2.2% 1.8% -1.2% 2.5% 3.5% 13.8%
 
2019 Strategy 4.2% 3.3% 3.2% -0.2% -4.8% 3.0% -0.6% 6.1% 2.3% -0.1% -2.8% 5.3% 20.1%
Benchmark 3.5% 4.1% 2.8% 0.9% -0.8% 3.2% -0.1% 5.1% 4.3% -0.8% -1.9% 3.3% 25.9%
Relative Return 0.7% -0.8% 0.4% -1.1% -4.0% -0.2% -0.5% 1.0% -1.9% 0.7% -0.9% 2.0% -5.9%
 
2020 Strategy 7.7% -9.7% -5.0% 0.3% 2.9% -7.3% 9.0% -1.2% -0.3% 4.7% -0.3% 2.2% 1.2%
Benchmark 6.7% -9.9% -10.0% 3.3% 4.2% -4.7% 7.8% -2.6% 1.1% 5.1% 0.7% 0.6% 0.5%
Relative Return 0.9% 0.2% 5.0% -3.1% -1.3% -2.6% 1.2% 1.4% -1.4% -0.3% -1.1% 1.6% 0.7%
 
2021 Strategy 0.7% -6.7% 9.6% 4.1% -3.1% -1.3% 2.9% 2.7% -5.4% 5.0% -1.6% 9.3% 15.7%
Benchmark -0.9% -6.1% 10.6% 4.2% -2.3% -2.2% 4.3% 3.9% -6.1% 4.7% -1.7% 9.7% 17.7%
Relative Return 1.6% -0.6% -1.0% -0.1% -0.8% 0.9% -1.5% -1.2% 0.7% 0.2% 0.1% -0.4% -2.0%
 
2022 Strategy -1.7% -0.9% 11.1% -5.3% 4.0% -11.1% 3.0% -1.1% -12.2% 2.3% 7.1% -0.7% -7.9%
Benchmark -3.3% -1.9% 10.3% -4.3% 4.3% -4.9% 5.4% 0.5% -11.3% 1.9% 7.0% -0.5% 1.4%
Relative Return 1.6% 1.0% 0.7% -1.0% -0.3% -6.2% -2.4% -1.7% -1.0% 0.4% 0.1% -0.2% -9.3%
 
2023 Strategy -0.4% -5.6% 5.3% 1.5% -5.9% 1.8% 2.7% -5.7% -4.6% 0.8% 4.5% 2.2% -4.1%
Benchmark -2.0% -5.9% 4.9% 1.9% -5.9% 1.6% 2.5% -6.1% -5.6% 1.3% 5.1% 1.9% -7.2%
Relative Return 1.6% 0.3% 0.4% -0.4% -0.0% 0.2% 0.2% 0.4% 1.1% -0.5% -0.6% 0.3% 3.0%
 
2024 Strategy -2.6% 1.5% 7.5% 1.6% 7.6% -4.4% 11.8% 3.7% 2.3% 0.0% 0.0% 0.0% 31.7%
Benchmark -3.0% 1.1% 6.6% 1.7% 9.0% -5.5% 6.8% 4.8% 2.9% 0.0% 0.0% 0.0% 26.0%
Relative Return 0.3% 0.4% 0.9% -0.0% -1.3% 1.2% 5.0% -1.2% -0.6% 0.0% 0.0% 0.0% 5.6%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2016 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 50.0% 30.4% 80.4%
2017 49.8% 12.3% 25.4% 1.1% 55.6% 50.6% 95.0% 1.4% 2.3% 8.2% 22.0% 8.6% 332.2%
2018 8.5% 73.7% 3.8% 18.8% 4.3% 79.3% 21.8% 19.0% 1.5% 1.6% 31.5% 20.0% 283.7%
2019 25.7% 29.4% 10.7% 0.0% 0.0% 0.1% 45.3% 13.1% 1.5% 28.2% 24.3% 1.5% 179.8%
2020 1.7% 24.5% 54.4% 49.6% 16.8% 52.6% 58.4% 7.2% 66.8% 32.0% 52.7% 42.7% 459.4%
2021 36.5% 60.3% 69.8% 15.4% 0.0% 0.3% 2.8% 1.1% 0.3% 0.0% 0.0% 4.6% 191.3%
2022 41.8% 7.1% 0.2% 0.1% 0.0% 74.3% 64.0% 169.6% 117.1% 0.1% 0.1% 0.3% 474.6%
2023 0.1% 0.1% 0.3% 0.1% 0.1% 0.3% 0.1% 0.1% 0.3% 0.1% 0.1% 0.3% 1.7%
2024 0.1% 0.1% 0.2% 0.1% 0.0% 0.2% 0.0% 0.0% 0.0% N/A N/A N/A 0.8%
  

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