Model: Street Consensus Long Only

Performance 1/29/19 - 11/28/23
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Investment Approach
Model Portfolio Street Consensus:
The portfolio's goal is to outperform the S&P 500 ($SPX) in Total Return, while maintaining lower volatility. The Analyst Consensus portfolio is based on Analyst Consensus recommendations, Fundamental and Technical factors. The portfolio scans securities from the S&P 500 universe.

Here is how the Model Portfolio is traded:

  • Every day we scan the S&P 500 for constituents that match the selection criteria.
  • The selected constituents are ordered by Average True Range Rank in Descending Order
  • As long as there is cash available we allocate the available cash among the selected constituents equally.
  • We hold for either 21 days (one trading month) or until the stop conditions are met
  • A stop loss condition applies when the ATR (average true range) crosses above 2.50x of the normal volatility (averaged across the past 21 days).
  • A stop gain condition applies when the ATR (average true range) crosses above 3x of the normal volatility (averaged across the past 21 days).
  • Transaction cost and slippage are considered
    • Performance Versus Benchmark (SPDR S&P 500 Trust Total Return) 1/29/19 to 11/28/23
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 45.1% 86.6% -17.2% 20.4%
    Rel. Return -41.6% N/A -37.6% N/A
    Beta 0.82 N/A 1.86 N/A
    Ann. Volatility 31.4% 21.2% 45.3% 13.4%
    Sharpe 0.40 0.72 -0.22 1.58
    Drawdown -48.7% -33.7% -40.7% -10.0%
    IR -0.09 N/A -0.79 N/A
    Tracking Error 26.5% N/A 39.6% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return -14.5% -11.8% -2.3% 8.0% N/A
    Ann. Volatility 45.4% 44.6% 37.1% 31.5% N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Total
    Strategy -3.3% 0.8% -15.0% 14.3% 3.5% -17.0% 10.6% 6.6% -16.0% -14.4% -3.9% 20.8% -19.9%
    Benchmark -5.8% 6.3% -2.5% 3.7% 1.6% 0.5% 6.5% 3.3% -1.6% -4.7% -2.2% 8.9% 13.5%
    Rel. Return 2.4% -5.4% -12.5% 10.6% 1.9% -17.5% 4.1% 3.4% -14.4% -9.6% -1.7% 11.9% -33.4%
    Perspective on Performance
      
    Model: Street Consensus Long Only

    Model: Street Consensus Long Only

    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: Street Consensus Long Only$958,991$1,391K$432,053 8.0%
    SPDR S&P 500 Trust$244.06$455.43$211.37 13.8%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: Street Consensus Long Only45.1%0.400.50 31.4% 48.7%
    SPDR S&P 500 Trust86.6%0.720.87 21.2% 33.7%

    Transaction Cost:
    Number of Transactions2,702
    Total Commissions ($0.0035 per share, $2.95 min per trade)$8,045
    Slippage$236
    Borrowing CostsN/A
    Total Transaction Costs$8,281
    Benchmark Relative Metrics:
    Beta0.82
    Information Ratio-0.09
    Annualized Tracking Error26.5%

    Trade Analysis
    Trade Metrics (Successful):
    Metric Long Short All
    # Trades 701 (59.0%) 1 (50.0%) 702 (59.0%)
    Avg Gain 5.91% 2.59% 5.91%
    Avg Hold Time 1 months 21 hours 1 months
    Trade Metrics (Unsuccessful):
    Metric Long Short All
    # Trades 486 (40.9%) 1 (50.0%) 487 (40.9%)
    Avg Loss -4.61% -0.70% -4.61%
    Avg Hold Time 1 months 21 hours 1 months

    Best Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    MNST Mar 23, 2020 9:32:57 AM Apr 15, 2020 9:30:26 AM 3 weeks 24.3% $92,303.96 8.4%

    Worst Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    MNST Mar 13, 2020 9:51:30 AM Mar 20, 2020 3:50:20 PM 1 weeks -12.3% ($48,869.11) -4.2%

    Best Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    CERN May 4, 2021 11:50:42 AM May 5, 2021 9:30:39 AM 21 hours 2.6% $2,960.10 0.2%

    Worst Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    EW May 4, 2021 11:50:40 AM May 5, 2021 9:30:34 AM 21 hours -0.7% ($1,560.21) -0.1%

    Performance Metrics By Year
    2019 2020 2021 2022 2023
    ReturnStrategy 34.1% 26.6% 17.8% -12.4% -17.2%
    SPDR S&P 500 Trust 24.3% 18.3% 28.7% -18.2% 20.4%
    Winning DaysStrategy 59.4% 59.7% 57.1% 50.6% 49.6%
    SPDR S&P 500 Trust 58.1% 57.7% 57.9% 43.4% 54.4%
    SharpeStrategy 2.26 1.19 1.34 -0.06 -0.22
    SPDR S&P 500 Trust 2.05 0.67 2.01 -0.71 1.58
    SortinoStrategy 2.96 1.57 1.70 -0.09 -0.35
    SPDR S&P 500 Trust 2.46 0.76 2.87 -1.14 2.67
    Max DDStrategy 9.8% 18.6% 6.6% 48.7% 40.7%
    SPDR S&P 500 Trust 6.6% 33.7% 5.1% 24.5% 10.0%
    Ann. VolatilityStrategy 14.5% 21.8% 12.8% 45.8% 45.3%
    SPDR S&P 500 Trust 11.9% 33.4% 13.0% 24.2% 13.4%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 2.8% 6.8% 1.5% 3.8% -1.5% 12.7% 5.2% -1.5% -3.1% 0.9% 0.3% 2.8% 34.1%
    Benchmark 2.5% 3.2% 1.8% 4.1% -6.4% 7.0% 1.5% -1.7% 1.9% 2.2% 3.6% 2.9% 24.3%
    Relative Return 0.3% 3.6% -0.3% -0.3% 4.9% 5.8% 3.6% 0.2% -5.1% -1.3% -3.3% -0.1% 9.7%
     
    2020 Strategy -2.8% -5.1% -5.2% 9.5% 1.4% 2.5% 8.6% 3.7% -4.2% -2.9% 11.3% 9.1% 26.6%
    Benchmark -0.0% -7.9% -12.5% 12.7% 4.8% 1.8% 5.9% 7.0% -3.7% -2.5% 10.9% 3.7% 18.3%
    Relative Return -2.8% 2.9% 7.2% -3.2% -3.4% 0.7% 2.7% -3.2% -0.5% -0.4% 0.4% 5.4% 8.3%
     
    2021 Strategy -2.5% 5.3% 0.7% 4.7% -0.7% 0.4% 1.5% 0.4% -2.9% 2.8% -2.3% 10.1% 17.8%
    Benchmark -1.0% 2.8% 4.5% 5.3% 0.7% 2.2% 2.4% 3.0% -4.7% 7.0% -0.8% 4.6% 28.7%
    Relative Return -1.5% 2.5% -3.9% -0.6% -1.4% -1.9% -0.9% -2.6% 1.7% -4.2% -1.5% 5.5% -10.9%
     
    2022 Strategy 0.2% -1.1% 3.7% -1.9% -1.8% -5.1% 2.4% -4.5% -31.9% 21.4% 19.3% -3.3% -12.4%
    Benchmark -5.3% -3.0% 3.8% -8.8% 0.2% -8.2% 9.2% -4.1% -9.2% 8.1% 5.6% -5.8% -18.2%
    Relative Return 5.5% 1.8% -0.1% 6.9% -2.0% 3.1% -6.8% -0.5% -22.7% 13.3% 13.8% 2.4% 5.7%
     
    2023 Strategy 0.8% -15.0% 14.3% 3.5% -17.0% 10.6% 6.6% -16.0% -14.4% -3.9% 20.8% 0.0% -17.2%
    Benchmark 6.3% -2.5% 3.7% 1.6% 0.5% 6.5% 3.3% -1.6% -4.7% -2.2% 8.9% 0.0% 20.4%
    Relative Return -5.4% -12.5% 10.6% 1.9% -17.5% 4.1% 3.4% -14.4% -9.6% -1.7% 11.9% 0.0% -37.6%
     
    Monthly Turnover By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 49.6% 154.8% 106.6% 193.0% 133.5% 145.9% 167.8% 173.3% 134.7% 125.3% 117.6% 114.9% 1,617.0%
    2020 195.1% 247.1% 175.6% 117.2% 111.7% 134.6% 148.7% 118.4% 118.1% 56.7% 73.6% 70.7% 1,567.5%
    2021 60.8% 31.6% 61.9% 28.2% 187.8% 1.5% 60.1% 10.0% 79.8% 78.3% 9.2% 27.8% 636.9%
    2022 55.5% 17.3% 21.0% 9.2% 2.9% 0.4% 76.2% 67.3% 37.9% 0.5% 0.2% 0.6% 289.0%
    2023 0.4% 0.2% 0.8% 0.4% 0.2% 0.8% 0.4% 0.3% 0.9% 1.0% 0.1% N/A 5.4%
      

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