Model: WSH Short Earnings

Performance 2/12/19 - 10/27/21
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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) 2/12/19 to 10/27/21
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return -34.0% -49.8% -36.3% -20.4%
    Rel. Return 15.8% N/A -16.0% N/A
    Beta 0.71 N/A 1.09 N/A
    Ann. Volatility 26.0% 22.6% 20.8% 12.1%
    Sharpe -0.26 -0.83 -1.75 -1.95
    Drawdown 61.5% 56.0% 38.6% 21.4%
    IR 0.55 N/A -0.79 N/A
    Tracking Error 21.5% N/A 16.1% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return -52.7% -27.6% -14.3% N/A N/A
    Ann. Volatility 25.6% 27.7% 26.0% N/A N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Total
    Strategy -20.1% -4.3% -0.5% -11.7% -4.0% -1.8% -2.1% -0.5% 3.6% 1.8% -6.6% -20.0% -51.3%
    Benchmark -10.0% -3.7% 0.7% -2.9% -4.7% -5.1% -0.9% -2.4% -2.5% -3.1% 4.7% -6.0% -31.0%
    Rel. Return -10.1% -0.5% -1.2% -8.8% 0.7% 3.3% -1.2% 2.0% 6.1% 4.9% -11.3% -14.1% -20.3%
    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$659,401($339,828) -14.3%
    ProShares Short S&P500$28.50$14.31($14.19) -22.1%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: WSH Short Earnings-34.0%-0.26-0.34 26.0% 61.5%
    ProShares Short S&P500-49.8%-0.83-1.17 22.6% 56.0%

    Transaction Cost:
    Number of Transactions256
    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:
    Beta0.71
    Information Ratio0.55
    Annualized Tracking Error21.5%

    Performance Metrics By Year
    2019 2020 2021
    ReturnStrategy 26.2% -17.8% -36.3%
    ProShares Short S&P500 -15.8% -25.1% -20.4%
    Winning DaysStrategy 50.2% 49.4% 44.4%
    ProShares Short S&P500 40.6% 41.9% 35.0%
    SharpeStrategy 1.51 -0.40 -1.75
    ProShares Short S&P500 -1.47 -0.48 -1.95
    SortinoStrategy 2.92 -0.49 -2.77
    ProShares Short S&P500 -2.62 -0.71 -3.05
    Max DDStrategy 9.8% 38.8% 38.6%
    ProShares Short S&P500 15.4% 44.7% 21.4%
    Ann. VolatilityStrategy 18.5% 34.2% 20.8%
    ProShares Short S&P500 11.8% 33.7% 12.1%
      

    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% -15.8%
    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% 42.0%
     
    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% -20.0% 0.0% 0.0% -36.3%
    Benchmark 0.7% -2.9% -4.7% -5.1% -0.9% -2.4% -2.5% -3.1% 4.7% -6.0% 0.0% 0.0% -20.3%
    Relative Return -1.2% -8.8% 0.7% 3.3% -1.2% 2.0% 6.1% 4.9% -11.3% -14.1% 0.0% 0.0% -16.0%
     
    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% N/A N/A 331.8%
      

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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 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).

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