Model: WSH Short Earnings by Wall Street Horizon

Performance 2/12/19 - 8/7/20
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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 7,000 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) 2/12/19 to 8/7/20
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 28.18% -27.79% 1.68% -14.20%
    Rel. Return 55.97% N/A 15.88% N/A
    Beta 0.64 N/A 0.64 N/A
    Std. Dev 1.63% 1.74% 2.14% 2.59%
    Sharpe 0.77 -0.45 0.25 -0.13
    Draw Down 27.56% 36.71% 27.56% 36.71%
    IR 1.54 N/A 0.53 N/A
    0.48 N/A 0.60 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return -3.37% 18.16% N/A N/A N/A
    Std. Dev 1.75% 1.63% N/A N/A N/A
    Ann. Volatility 27.78% 25.90% N/A N/A 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 -3.37% -4.03% -0.21% 0.72% 0.35% 9.14% 11.56% -12.16% 5.42% -6.64% -2.06% -1.72% -5.24%
    Benchmark -1.74% -1.95% -3.40% -2.64% 0.17% 8.57% 6.04% -12.51% -5.04% -2.70% -5.59% -2.51% -22.25%
    Rel. Return -1.63% -2.08% 3.19% 3.36% 0.18% 0.58% 5.52% 0.35% 10.46% -3.94% 3.53% 0.79% 17.02%
    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
    Transaction Cost:
    Number of Transactions129
    Commissions$1,383.51
    Slippage$0.00
    Borrowing CostsN/A
    Total Transaction Costs$1,383.51
    Benchmark Relative Metrics:
    Beta0.64
    Information Ratio1.54
    R^20.48
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Model: WSH Short Earnings28.18%0.771.16 0.28 1.63% 27.56%
    ProShares Short S&P500-27.79%-0.45-0.62 0.00 1.74% 36.71%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: WSH Short Earnings$1,000K$1,282K$281,811.78 N/A
    ProShares Short S&P500$28.50$20.58($7.92) N/A

    Performance Metrics By Year
    2019 2020
    ReturnStrategy 26.07% 1.68%
    ProShares Short S&P500 -15.83% -14.20%
    Winning DaysStrategy 50.00% 50.66%
    ProShares Short S&P500 40.62% 42.11%
    SharpeStrategy 1.51 0.25
    ProShares Short S&P500 -1.47 -0.13
    SortinoStrategy 2.90 0.38
    ProShares Short S&P500 -2.62 -0.19
    Max DDStrategy 9.83% 27.56%
    ProShares Short S&P500 15.38% 36.71%
    AlphaStrategy 0.26 0.02
    ProShares Short S&P500 0.00 0.00
    St. Dev.Strategy 1.17% 2.14%
    ProShares Short S&P500 0.74% 2.59%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.00% 10.22% -0.76% 1.63% 10.71% -6.05% 2.84% 13.77% -3.37% -4.03% -0.21% 0.72% 26.07%
    Benchmark 0.00% -1.40% -1.66% -3.51% 6.97% -6.32% -1.20% 1.56% -1.74% -1.95% -3.40% -2.64% -15.83%
    Relative Return 0.00% 11.61% 0.89% 5.14% 3.73% 0.26% 4.04% 12.21% -1.63% -2.08% 3.19% 3.36% 41.90%
     
    2020 Strategy 0.35% 9.14% 11.56% -12.16% 5.42% -6.64% -2.06% -1.72% 0.00% 0.00% 0.00% 0.00% 1.68%
    Benchmark 0.17% 8.57% 6.04% -12.51% -5.04% -2.70% -5.59% -2.51% 0.00% 0.00% 0.00% 0.00% -14.20%
    Relative Return 0.18% 0.58% 5.52% 0.35% 10.46% -3.94% 3.53% 0.79% 0.00% 0.00% 0.00% 0.00% 15.88%
     
      
    Performance Disclaimer
    Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.
    Disclaimer Pertaining To Content Delivered & Investment Advice
    Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.
    Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.