Model: Short Dyn Ensemble

Performance 1/25/19 - 2/2/23
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Investment Approach
Model: Short Dyn Ensemble
Performance Versus Benchmark (ProShares Short S&P500 Total Return) 1/25/19 to 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return -190.0% -49.3% 2.6% -7.9%
Rel. Return -140.7% N/A 10.4% N/A
Beta 0.41 N/A -0.20 N/A
Ann. Volatility 20.3% 22.8% 4.9% 15.7%
Sharpe -0.57 -0.60 6.01 -4.86
Drawdown -176.8% -58.4% 0.0% -8.6%
IR 0.11 N/A 5.52 N/A
Tracking Error 22.4% N/A 19.8% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return N/A
Ann. Volatility 19.1% 18.3% 21.4% 20.3% N/A
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 0.3% 4.8% -2.0% 1.9% -1.4% 2.2% 5.5% -253.3% 1.9% -0.4% 1.6% 0.9% -278.1%
Benchmark -4.1% 9.1% -1.0% 8.5% -8.6% 4.2% 9.9% -7.7% -5.3% 6.5% -5.6% -2.4% 0.9%
Rel. Return 4.4% -4.3% -1.0% -6.6% 7.2% -2.0% -4.4% -245.6% 7.3% -6.9% 7.2% 3.3% -279.0%
Perspective on Performance
  
Model: Short Dyn Ensemble

Model: Short Dyn Ensemble

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: Short Dyn Ensemble$998,897($898,813)($899.K 0.0%
ProShares Short S&P500$29.13$14.77($14.36) -15.4%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Short Dyn Ensemble-190.0%-0.57-0.66 20.3% 176.8%
ProShares Short S&P500-49.3%-0.60-0.86 22.8% 58.4%

Transaction Cost:
Number of Transactions2,000
Total Commissions ($0.0035 per share, $2.95 min per trade)$7,675
Slippage$1,864
Borrowing CostsN/A
Total Transaction Costs$9,539
Benchmark Relative Metrics:
Beta0.41
Information Ratio0.11
Annualized Tracking Error22.4%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 1 (100.0%) 700 (49.3%) 701 (49.3%)
Avg Gain 2.48% 4.57% 4.57%
Avg Hold Time 1 days 1 weeks 1 weeks
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 0 (0.0%) 720 (50.7%) 720 (50.7%)
Avg Loss 0.00% -5.88% -5.88%
Avg Hold Time less than a second 1 weeks 1 weeks

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AA Aug 4, 2021 1:42:58 PM Aug 6, 2021 9:30:04 AM 1 days 2.5% $1,423.68 0.2%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AA Aug 4, 2021 1:42:58 PM Aug 6, 2021 9:30:04 AM 1 days 2.5% $1,423.68 0.2%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
CHKAQ Apr 27, 2020 9:30:57 AM Apr 30, 2020 9:31:24 AM 3 days 53.5% $26,742.78 3.3%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
EXAS Aug 31, 2020 9:30:24 AM Sep 25, 2020 9:41:08 AM 3 weeks -25.3% ($19,236.48) -2.5%

Performance Metrics By Year
2019 2020 2021 2022 2023
ReturnStrategy -1.5% -38.2% -12.2% -264.3% 2.6%
ProShares Short S&P500 -17.9% -25.1% -24.2% 18.1% -7.9%
Winning DaysStrategy 47.9% 41.9% 48.4% 51.4% 68.2%
ProShares Short S&P500 40.3% 42.3% 40.9% 55.0% 36.4%
SharpeStrategy -0.01 -1.68 -0.67 0.40 6.01
ProShares Short S&P500 -1.66 -0.67 -2.07 0.81 -4.86
SortinoStrategy -0.02 -1.90 -0.72 0.54 11.07
ProShares Short S&P500 -2.91 -0.95 -3.40 1.33 -7.63
Max DDStrategy 19.0% 41.3% 21.8% 256.8% 0.0%
ProShares Short S&P500 18.4% 44.7% 25.6% 15.2% 8.6%
Ann. VolatilityStrategy 16.8% 26.4% 17.3% 19.7% 4.9%
ProShares Short S&P500 11.8% 34.3% 13.0% 24.2% 15.7%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2019 Strategy -0.3% -2.7% -1.5% 1.3% 7.4% -2.0% 5.4% 4.6% 0.3% -2.9% -1.9% -8.5% -1.5%
Benchmark -2.4% -2.9% -1.7% -3.5% 7.0% -6.3% -1.2% 1.6% -1.7% -2.0% -3.4% -2.6% -17.9%
Relative Return 2.1% 0.3% 0.2% 4.8% 0.5% 4.3% 6.6% 3.1% 2.1% -0.9% 1.5% -5.8% 16.4%
 
2020 Strategy 1.4% -4.0% -2.3% -11.2% -9.4% -0.4% 1.8% -0.2% -4.7% -11.5% -4.7% -0.8% -38.2%
Benchmark 0.2% 8.6% 6.0% -12.5% -5.0% -2.7% -5.6% -6.8% 3.3% 2.1% -10.0% -3.7% -25.1%
Relative Return 1.2% -12.5% -8.4% 1.3% -4.4% 2.3% 7.4% 6.5% -7.9% -13.6% 5.4% 3.0% -13.2%
 
2021 Strategy 4.9% -2.5% -2.2% -0.3% 3.5% -9.7% 0.5% 1.0% 2.7% -5.7% -6.8% 2.8% -12.2%
Benchmark 0.7% -2.9% -4.7% -5.1% -0.9% -2.4% -2.5% -3.1% 4.7% -6.8% 0.6% -4.6% -24.2%
Relative Return 4.2% 0.4% 2.4% 4.7% 4.3% -7.3% 3.1% 4.0% -2.0% 1.1% -7.3% 7.5% 12.0%
 
2022 Strategy 0.1% -5.5% 0.3% 4.8% -2.0% 1.9% -1.4% 2.2% 5.5% -253.3% 1.9% -0.4% -264.3%
Benchmark 5.1% 2.6% -4.1% 9.1% -1.0% 8.5% -8.6% 4.2% 9.9% -7.7% -5.3% 6.5% 18.1%
Relative Return -5.1% -8.0% 4.4% -4.3% -1.0% -6.6% 7.2% -2.0% -4.4% -245.6% 7.3% -6.9% -282.4%
 
2023 Strategy 1.6% 0.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.6%
Benchmark -5.6% -2.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -7.9%
Relative Return 7.2% 3.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 10.4%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2019 15.2% 136.6% 182.2% 167.7% 177.6% 163.5% 161.8% 178.9% 208.8% 232.0% 175.4% 116.2% 1,916.0%
2020 197.9% 140.0% 139.3% 199.2% 215.3% 125.6% 201.0% 195.0% 166.6% 189.0% 160.3% 138.9% 2,068.2%
2021 180.9% 169.3% 201.8% 192.9% 211.1% 152.1% 89.6% 191.4% 151.7% 161.2% 192.9% 164.8% 2,059.7%
2022 93.0% 153.7% 150.9% 161.8% 195.6% 156.7% 89.2% 169.0% 90.5% -0.1% -0.0% -0.0% 1,260.3%
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%
  

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