Model: WSH Short Earnings

Performance 2/13/19 - 4/26/24
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Investment Approach
About Wall Street Horizon:
Wall Street Horizon provides institutional investors and traders with the most accurate and comprehensive forward-looking corporate data. Wall Street Horizon offers over 40 event types covering more than 9,000 equities worldwide.

Backtest: WSH Short Earnings
The portfolio is based on a model set to identify short signals based on Wall Street Horizon earnings date shift data. More specifically identify optimal conditions for entry when a company shifts its earnings date later than it was originally set. The model portfolio scans securities from the S&P 500 universe.

Here's how the backtest is conducted:

  • The portfolio selects its assets using Lucena’s event scan technology which identifies the equities most likely to underperform the S&P 500 in the           near future.
  • The scan is run everyday, if constituents are identified for entry, equally allocated short positions are entered between all the new constituents.
  • The entered positions are held for 63 days or until they hit the stop loss condition defined for the position
  • There is a stop loss condition on every entered position, which executes when the ATR (average true range) crosses above 3x of the normal                   volatility (averaged across the past 21 days).
  • The portfolio can stay in cash if no constituents are identified. Market relative performance is the goal of the strategy.
    • Performance Versus Benchmark (ProShares Short S&P500 Total Return) 2/13/19 to 4/26/24
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return -80.4% -53.5% -36.6% -4.5%
    Rel. Return -26.9% N/A -32.1% N/A
    Beta 0.91 N/A 4.69 N/A
    Ann. Volatility 36.6% 20.9% 105.1% 11.7%
    Sharpe -0.40 -0.60 -0.96 -1.18
    Drawdown -92.0% -61.1% -61.7% -9.3%
    IR -0.07 N/A -0.88 N/A
    Tracking Error 31.3% N/A 99.0% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return -74.0% -49.1% -38.7% -29.4% -27.0%
    Ann. Volatility 63.7% 49.2% 41.9% 36.9% 36.6%
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr Total
    Strategy 9.4% -10.6% -9.8% 3.3% 5.0% 4.4% -12.4% -52.4% 6.3% -24.4% -45.5% 44.7% -73.6%
    Benchmark 0.2% -5.4% -2.5% 2.4% 5.6% 2.8% -7.8% -3.6% -1.0% -4.3% -2.5% 3.4% -12.7%
    Rel. Return 9.2% -5.2% -7.3% 0.9% -0.6% 1.6% -4.6% -48.8% 7.3% -20.1% -43.0% 41.4% -60.8%
    Perspective on Performance
      
    Model: WSH Short Earnings

    Model: WSH Short Earnings

    Strategy Performance Analysis by Wall Street Horizon
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    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: WSH Short Earnings$999,229$195,489($803,740) -26.9%
    ProShares Short S&P500$26.36$12.26($14.10) -13.7%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: WSH Short Earnings-80.4%-0.40-0.54 36.6% 92.0%
    ProShares Short S&P500-53.5%-0.60-0.85 20.9% 61.1%

    Transaction Cost:
    Number of Transactions341
    Total Commissions ($0.0035 per share, $2.95 min per trade)$2,003
    Slippage$0
    Borrowing CostsN/A
    Total Transaction Costs$2,003
    Benchmark Relative Metrics:
    Beta0.91
    Information Ratio-0.07
    Annualized Tracking Error31.3%

    Trade Analysis
    Trade Metrics (Successful):
    Metric Long Short All
    # Trades N/A (N/A) 23 (42.6%) 23 (42.6%)
    Avg Gain 0.00% 18.91% 18.91%
    Avg Hold Time less than a second 2 months 2 months
    Trade Metrics (Unsuccessful):
    Metric Long Short All
    # Trades N/A (N/A) 31 (57.4%) 31 (57.4%)
    Avg Loss 0.00% -7.64% -7.64%
    Avg Hold Time less than a second 1 months 1 months

    Best Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

    Worst Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

    Best Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    KHC Feb 13, 2019 9:52:00 AM May 15, 2019 9:32:01 AM 2 months 33.8% $114,925.44 11.5%

    Worst Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    SLG Apr 3, 2020 9:31:11 AM Jun 8, 2020 12:09:19 PM 2 months -49.9% ($132,048.51) -8.2%

    Performance Metrics By Year
    2019 2020 2021 2022 2023 2024
    ReturnStrategy 26.2% -17.8% -31.7% 9.2% -60.1% -36.6%
    ProShares Short S&P500 -14.7% -25.1% -24.2% 18.1% -14.8% -4.5%
    Winning DaysStrategy 50.2% 49.4% 44.8% 50.2% 47.6% 40.7%
    ProShares Short S&P500 40.8% 42.3% 40.9% 55.0% 44.0% 49.4%
    SharpeStrategy 1.51 -0.40 -1.71 0.45 -1.23 -0.96
    ProShares Short S&P500 -1.45 -0.67 -2.07 0.81 -1.18 -1.18
    SortinoStrategy 2.92 -0.49 -2.74 0.83 -1.70 -1.78
    ProShares Short S&P500 -2.59 -0.95 -3.40 1.33 -1.90 -1.82
    Max DDStrategy 9.8% 38.8% 33.4% 15.6% 62.4% 61.7%
    ProShares Short S&P500 15.4% 44.7% 25.6% 15.2% 15.9% 9.3%
    Ann. VolatilityStrategy 18.5% 34.2% 21.0% 29.1% 26.0% 105.1%
    ProShares Short S&P500 11.8% 34.3% 13.0% 24.2% 13.0% 11.7%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.0% 10.3% -0.8% 1.6% 10.7% -6.1% 2.8% 13.8% -3.4% -4.0% -0.2% 0.7% 26.2%
    Benchmark 0.0% -1.2% -1.7% -3.5% 7.0% -6.3% -1.2% 1.6% -1.7% -2.0% -3.4% -2.6% -14.7%
    Relative Return 0.0% 11.5% 0.9% 5.1% 3.7% 0.3% 4.0% 12.2% -1.6% -2.1% 3.2% 3.4% 40.9%
     
    2020 Strategy 0.3% 9.1% 11.6% -12.2% 5.4% -6.6% -2.1% -2.4% 3.6% 2.7% -20.1% -4.3% -17.8%
    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 0.2% 0.6% 5.5% 0.3% 10.5% -3.9% 3.5% 4.4% 0.3% 0.6% -10.1% -0.5% 7.2%
     
    2021 Strategy -0.5% -11.7% -4.0% -1.8% -2.1% -0.5% 3.6% 1.8% -6.6% -7.4% 1.0% -8.2% -31.7%
    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 -1.2% -8.8% 0.7% 3.3% -1.2% 2.0% 6.1% 4.9% -11.3% -0.6% 0.4% -3.6% -7.4%
     
    2022 Strategy 4.9% -3.2% -2.1% 8.5% -6.6% 19.3% -8.2% 1.6% 10.4% -8.3% -8.0% 4.6% 9.2%
    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 -0.2% -5.8% 2.0% -0.6% -5.6% 10.8% 0.4% -2.7% 0.5% -0.6% -2.6% -1.9% -8.9%
     
    2023 Strategy -8.7% 9.4% -0.7% -3.6% 9.4% -10.6% -9.8% 3.3% 5.0% 4.4% -12.4% -52.4% -60.1%
    Benchmark -5.6% 3.0% -3.0% -1.1% 0.2% -5.4% -2.5% 2.4% 5.6% 2.8% -7.8% -3.6% -14.8%
    Relative Return -3.1% 6.4% 2.3% -2.5% 9.2% -5.2% -7.3% 0.9% -0.6% 1.6% -4.6% -48.8% -45.3%
     
    2024 Strategy 6.3% -24.4% -45.5% 44.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -36.6%
    Benchmark -1.0% -4.3% -2.5% 3.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -4.5%
    Relative Return 7.3% -20.1% -43.0% 41.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -32.1%
     
    Monthly Turnover By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 N/A 51.6% 17.7% 12.5% 44.1% 21.8% 24.5% 12.0% 49.6% 93.4% 35.4% 34.5% 397.1%
    2020 68.4% 56.1% 11.7% 36.6% 24.5% 46.7% 33.9% 35.1% 77.7% 37.1% 79.5% 56.8% 563.9%
    2021 47.2% 82.2% 15.5% 17.4% 17.1% 36.5% 17.4% 35.6% 49.1% 13.9% 19.7% 72.0% 423.5%
    2022 17.0% 0.1% 0.3% 0.1% 0.3% 0.3% 0.1% 0.3% 0.3% 0.1% 0.2% 0.3% 19.2%
    2023 0.1% 0.1% 0.4% 0.1% 0.1% 0.3% 0.1% 0.2% 0.3% 0.1% 0.3% 0.4% 2.4%
    2024 0.1% 0.0% 0.0% 0.0% N/A N/A N/A N/A N/A N/A N/A N/A 0.1%
      

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