Model: Street Consensus Long Only

Performance 1/29/19 - 6/18/21
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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) 1/29/19 to 6/18/21
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 79.33% 64.47% 5.61% 11.79%
    Rel. Return 14.86% N/A -6.18% N/A
    Beta 0.54 N/A 0.96 N/A
    Std. Dev 1.15% 1.49% 1.05% 0.84%
    Sharpe 1.46 0.98 0.96 1.62
    Draw Down 18.59% 33.72% 6.62% 4.06%
    IR 0.21 N/A -0.52 N/A
    0.48 N/A 0.58 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 33.06% 20.00% 27.70% N/A N/A
    Std. Dev 1.10% 1.18% 1.15% N/A N/A
    Ann. Volatility 17.47% 18.78% 18.30% N/A N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Total
    Strategy 8.60% 3.74% -4.24% -2.85% 11.30% 9.17% -2.57% 5.27% 0.67% 4.67% -0.74% -1.56% 34.49%
    Benchmark 5.89% 6.98% -3.74% -2.49% 10.88% 3.70% -1.02% 2.78% 4.54% 5.29% 0.66% -0.82% 36.66%
    Rel. Return 2.71% -3.24% -0.49% -0.36% 0.42% 5.46% -1.55% 2.49% -3.87% -0.62% -1.39% -0.73% -2.18%
    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
    Transaction Cost:
    Number of Transactions1,085
    Commissions$6,477.96
    Slippage$0.00
    Borrowing CostsN/A
    Total Transaction Costs$6,477.96

    Professional Fee Rates:
    Management Fee0.40%
    Hurdle Rate8.00%
    Performance10.00%

    Professional Fee Totals:
    Management Fee$12,544.41
    Performance Fee$49,527.44
    Total Professional Fees$62,071.85
    Benchmark Relative Metrics:
    Beta0.54
    Information Ratio0.21
    R^20.48
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Model: Street Consensus Long Only79.33%1.461.90 0.79 1.15% 18.59%
    SPDR S&P 500 Trust64.47%0.981.06 0.00 1.49% 33.72%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: Street Consensus Long Only$958,998.58$1,720K$760,792.80 27.65%
    SPDR S&P 500 Trust$253.28$416.58$163.30 23.18%

    Performance Metrics By Year
    2019 2020 2021
    ReturnStrategy 34.06% 26.66% 5.61%
    SPDR S&P 500 Trust 24.34% 18.33% 11.79%
    Winning DaysStrategy 59.40% 59.68% 50.86%
    SPDR S&P 500 Trust 58.12% 57.71% 51.72%
    SharpeStrategy 2.26 1.19 0.96
    SPDR S&P 500 Trust 2.05 0.67 1.62
    SortinoStrategy 2.96 1.58 1.36
    SPDR S&P 500 Trust 2.46 0.76 2.19
    Max DDStrategy 9.76% 18.59% 6.62%
    SPDR S&P 500 Trust 6.62% 33.72% 4.06%
    AlphaStrategy 0.34 0.27 0.06
    SPDR S&P 500 Trust 0.00 0.00 0.00
    St. Dev.Strategy 0.91% 1.37% 1.05%
    SPDR S&P 500 Trust 0.75% 2.10% 0.84%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 2.78% 6.80% 1.51% 3.76% -1.52% 12.73% 5.15% -1.45% -3.14% 0.89% 0.35% 2.78% 34.06%
    Benchmark 2.48% 3.24% 1.81% 4.09% -6.38% 6.96% 1.51% -1.67% 1.95% 2.21% 3.62% 2.91% 24.34%
    Relative Return 0.30% 3.56% -0.30% -0.32% 4.86% 5.77% 3.64% 0.22% -5.08% -1.32% -3.27% -0.13% 9.73%
     
    2020 Strategy -2.82% -5.06% -5.25% 9.49% 1.41% 2.47% 8.60% 3.74% -4.24% -2.85% 11.30% 9.17% 26.66%
    Benchmark -0.04% -7.92% -12.49% 12.70% 4.76% 1.77% 5.89% 6.98% -3.74% -2.49% 10.88% 3.70% 18.33%
    Relative Return -2.78% 2.85% 7.24% -3.20% -3.36% 0.70% 2.71% -3.24% -0.49% -0.36% 0.42% 5.46% 8.33%
     
    2021 Strategy -2.57% 5.27% 0.67% 4.67% -0.74% -1.56% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.61%
    Benchmark -1.02% 2.78% 4.54% 5.29% 0.66% -0.82% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 11.79%
    Relative Return -1.55% 2.49% -3.87% -0.62% -1.39% -0.73% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -6.18%
     
      

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    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 20% performance fee on excess return above the strategy's benchmark. 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.

    Hypothetical perpetual paper trading simulation results, past performance is not indicative of future returns. Results are net of transactions' cost and net of annualized management fees of 40 basis points as well as net of performance fee of 20% on any return in excess of the designated benchmark. Results are provided as informational and could potentially include misleading and hypothetical information. If you are a retail investor this information is NOT intended for you. Results are meant as information only for qualified institutional investors only. If you are looking to engage Neuravest in any of the product offerings, the minimum investment size requirement is $1 million USD.

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