Model: Utilities Long Only Adaptive

Performance 11/4/16 - 2/2/23
logo
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 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 217.8% 76.5% 0.1% -1.6%
Rel. Return 141.2% N/A 1.7% N/A
Beta 0.91 N/A 0.75 N/A
Ann. Volatility 20.7% 20.8% 12.2% 16.0%
Sharpe 0.75 0.54 0.11 -1.25
Drawdown -32.9% -36.1% -3.5% -4.9%
IR 0.43 N/A 4.19 N/A
Tracking Error 8.5% N/A 5.1% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 28.3% 19.6% 10.4% 17.7% 20.5%
Ann. Volatility 19.5% 16.8% 25.7% 21.8% 20.7%
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Total
Strategy 11.1% -5.3% 4.0% -11.1% 3.0% -1.1% -12.2% 2.3% 44.7% -0.9% -0.4% 0.5% 27.5%
Benchmark 10.3% -4.3% 4.3% -4.9% 5.4% 0.5% -11.3% 1.9% 7.0% -0.5% -2.0% 0.4% 5.2%
Rel. Return 0.7% -1.0% -0.3% -6.2% -2.4% -1.7% -1.0% 0.4% 37.7% -0.4% 1.6% 0.1% 22.4%
Perspective on Performance
  
Model: Utilities Long Only Adaptive

Model: Utilities Long Only Adaptive

Strategy Performance Analysis by Neuravest
logo
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$3,174K$3,174K 20.5%
Utilities Select Sector SPDR$39.29$69.36$30.07 9.6%
SPDR S&P 500 Trust$186.93$416.78$229.85 13.7%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Utilities Long Only Adaptive217.8%0.750.94 20.7% 32.9%
Utilities Select Sector SPDR76.5%0.540.68 20.8% 36.1%
SPDR S&P 500 Trust123.0%0.740.87 19.6% 33.7%

Transaction Cost:
Number of Transactions2,168
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:
Beta0.91
Information Ratio0.43
Annualized Tracking Error8.5%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 932 (59.7%) 3 (25.0%) 935 (59.5%)
Avg Gain 8.44% 0.33% 8.42%
Avg Hold Time 4 months 20 hours 4 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 628 (40.3%) 9 (75.0%) 637 (40.5%)
Avg Loss -7.31% -1.60% -7.23%
Avg Hold Time 3 months 1 days 3 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
NRG Jul 19, 2017 12:10:00 PM Jan 24, 2019 9:32:00 AM 1 years 32.8% $123,965.14 8.8%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
NEE Sep 29, 2020 9:30:31 AM Oct 27, 2020 9:31:16 AM 4 weeks -73.2% ($99,431.17) -4.9%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
WTRG Sep 14, 2022 3:15:55 PM Sep 15, 2022 9:30:59 AM 18 hours 0.4% $61.92 0.0%

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
ReturnStrategy 6.5% 45.0% 17.7% 20.1% 1.2% 15.7% 24.2% 0.1%
Utilities Select Sector SPDR 2.0% 12.0% 3.9% 25.9% 0.5% 17.7% 1.4% -1.6%
SPDR S&P 500 Trust 7.7% 21.7% -4.6% 31.2% 18.3% 28.7% -18.2% 9.0%
Winning DaysStrategy 60.0% 59.4% 55.8% 58.7% 54.2% 54.0% 47.0% 45.5%
Utilities Select Sector SPDR 59.0% 55.4% 52.2% 59.9% 53.8% 52.8% 51.8% 50.0%
SPDR S&P 500 Trust 61.5% 57.0% 53.0% 59.5% 57.7% 57.9% 43.4% 59.1%
SharpeStrategy 3.11 2.56 1.12 1.56 0.22 1.07 -0.47 0.11
Utilities Select Sector SPDR 0.83 1.22 0.32 2.08 0.20 1.16 0.17 -1.25
SPDR S&P 500 Trust 5.54 2.96 -0.18 2.24 0.67 2.01 -0.71 5.20
SortinoStrategy 4.13 6.15 1.60 2.28 0.27 1.61 -0.64 0.14
Utilities Select Sector SPDR 0.92 1.81 0.45 3.06 0.26 1.73 0.26 -1.49
SPDR S&P 500 Trust 13.21 3.99 -0.22 2.74 0.76 2.87 -1.14 9.00
Max DDStrategy 3.4% 6.4% 11.6% 6.8% 32.9% 9.3% 28.0% 3.5%
Utilities Select Sector SPDR 6.4% 7.5% 9.7% 5.5% 36.1% 9.0% 20.7% 4.9%
SPDR S&P 500 Trust 1.3% 2.6% 19.3% 6.6% 33.7% 5.1% 24.5% 2.5%
Ann. VolatilityStrategy 18.1% 15.0% 15.7% 12.2% 37.2% 14.6% 19.4% 12.2%
Utilities Select Sector SPDR 20.3% 9.8% 15.1% 11.4% 38.5% 15.0% 21.4% 16.0%
SPDR S&P 500 Trust 9.1% 6.7% 17.0% 12.5% 33.4% 13.0% 24.2% 16.0%
  

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% 44.7% -0.9% 24.2%
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% 37.7% -0.4% 22.8%
 
2023 Strategy -0.4% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1%
Benchmark -2.0% 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -1.6%
Relative Return 1.6% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.7%
 
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% 0.0% 0.0% 474.3%
2023 0.0% 0.0% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.0%
  

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.

Performance fees may vary depending upon executed leverage.

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