Model: Street Consensus Long Only

Performance 1/29/19 - 8/10/22
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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 8/10/22
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 94.9% 68.7% -2.5% -10.9%
    Rel. Return 26.2% N/A 8.4% N/A
    Beta 0.52 N/A 0.48 N/A
    Ann. Volatility 16.8% 22.4% 16.2% 24.1%
    Sharpe 1.22 0.75 -0.11 -0.82
    Drawdown -18.6% -33.7% -15.5% -23.0%
    IR 0.23 N/A 1.07 N/A
    Tracking Error 16.1% N/A 16.7% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 4.9% 16.3% 13.2% 20.8% N/A
    Ann. Volatility 13.8% 15.1% 17.0% 16.8% N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Total
    Strategy -2.9% 2.8% -2.3% 10.1% 0.2% -1.1% 3.7% -1.9% -1.8% -5.1% 2.6% 1.2% 4.6%
    Benchmark -4.7% 7.0% -0.8% 4.6% -5.3% -3.0% 3.8% -8.8% 0.2% -8.2% 9.2% 1.9% -5.7%
    Rel. Return 1.7% -4.2% -1.5% 5.5% 5.5% 1.8% -0.1% 6.9% -2.0% 3.1% -6.6% -0.8% 10.2%
    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$958,999$1,869K$910,273 20.8%
    SPDR S&P 500 Trust$248.92$419.99$171.07 16.0%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: Street Consensus Long Only94.9%1.221.56 16.8% 18.6%
    SPDR S&P 500 Trust68.7%0.750.87 22.4% 33.7%

    Transaction Cost:
    Number of Transactions2,342
    Total Commissions ($0.0035 per share, $2.95 min per trade)$7,526
    Slippage($108)
    Borrowing CostsN/A
    Total Transaction Costs$7,418

    Professional Fees:
    Management Fee (0.4%)$12,544
    Performance Fee (Hurdle 8.0% / Performance 10.0%) $49,527
    Total Professional Fees$62,072
    Benchmark Relative Metrics:
    Beta0.52
    Information Ratio0.23
    Annualized Tracking Error16.1%

    Trade Analysis
    Trade Metrics (Successful):
    Metric Long Short All
    # Trades 838 (53.1%) 1 (50.0%) 839 (53.1%)
    Avg Gain 5.79% 2.59% 5.78%
    Avg Hold Time 1 months 21 hours 1 months
    Trade Metrics (Unsuccessful):
    Metric Long Short All
    # Trades 740 (46.9%) 1 (50.0%) 741 (46.9%)
    Avg Loss -6.28% -0.70% -6.28%
    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
    ReturnStrategy 34.1% 26.7% 17.8% -2.5%
    SPDR S&P 500 Trust 24.3% 18.3% 28.7% -10.9%
    Winning DaysStrategy 59.4% 59.7% 57.1% 52.0%
    SPDR S&P 500 Trust 58.1% 57.7% 57.9% 44.7%
    SharpeStrategy 2.26 1.19 1.34 -0.11
    SPDR S&P 500 Trust 2.05 0.67 2.01 -0.82
    SortinoStrategy 2.96 1.58 1.69 -0.16
    SPDR S&P 500 Trust 2.46 0.76 2.87 -1.22
    Max DDStrategy 9.8% 18.6% 6.6% 15.5%
    SPDR S&P 500 Trust 6.6% 33.7% 5.1% 23.0%
    Ann. VolatilityStrategy 14.5% 21.8% 12.8% 16.2%
    SPDR S&P 500 Trust 11.9% 33.4% 13.0% 24.1%
      

    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% 9.2% 26.7%
    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% 5.5% 8.3%
     
    2021 Strategy -2.6% 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% -11.0%
     
    2022 Strategy 0.2% -1.1% 3.7% -1.9% -1.8% -5.1% 2.6% 1.2% 0.0% 0.0% 0.0% 0.0% -2.5%
    Benchmark -5.3% -3.0% 3.8% -8.8% 0.2% -8.2% 9.2% 1.9% 0.0% 0.0% 0.0% 0.0% -10.9%
    Relative Return 5.5% 1.8% -0.1% 6.9% -2.0% 3.1% -6.6% -0.8% 0.0% 0.0% 0.0% 0.0% 8.4%
     
    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% 80.1% 31.7% N/A N/A N/A N/A 218.2%
      

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    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).

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    • Actual price was available for execution
    • Capacity and daily float was supportive of volume traded.
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