Model: Fab 5 by Lucena Research

Performance 10/14/19 - 11/25/20
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Investment Approach
Fabulous Five is a multi-stat fund that combines five of Lucena’s top performing uncorrelated strategies. The fund enables each strategy to operate independently but it allocates its cash based on a systematic mean-variance optimization (MVO) technology.

The five strategies are broken as two long only and two short only and one high dividend large cap as follows:

  • Analyst Consensus: A long only stock selection based on optimistic street consensus combined with strong fundamental and technical attributes.
  • Dynamic Short: A short only stock selection based on negative outlook derived from an ensemble of 7 uncorrelated filters based on Lucena’s fundamental and technical features.
  • Utilities Live: A portfolio of 11 utilities and energy stocks geared to track the performance of XLU. The portfolio tilts its allocation in favor of either group based on risk on/off conditions.
  • Pre-Earnings Long: A long only portfolio based on pre-earnings corporate event combined with fundamental and technical factors.
  • Pre-Earnings Short: A short only portfolio based on pre-earnings corporate event combined with fundamental and technical factors.

  • Allocations are re-assessed every 3 weeks with a minimum risk target and min/max constraints of 5 and 25% respectively.

    Transaction cost and slippage are assessed at 15bps round trip. Stop loss conditions are assessed as the lesser between the strategy’s stop loss and a global stop loss of 6%

    Performance Versus Benchmark (SPDR S&P 500 Trust) 10/14/19 to 11/25/20
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return -3.77% 24.77% -6.87% 14.29%
    Rel. Return -28.55% N/A -21.17% N/A
    Beta 0.05 N/A 0.05 N/A
    Std. Dev 0.54% 1.99% 0.56% 2.20%
    Sharpe -0.36 0.79 -0.84 0.60
    Draw Down 11.55% 33.72% 11.55% 33.72%
    IR -0.87 N/A -0.82 N/A
    0.03 N/A 0.04 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return -3.96% -3.44% N/A N/A N/A
    Std. Dev 0.55% 0.54% N/A N/A N/A
    Ann. Volatility 8.74% 8.52% N/A N/A N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Total
    Strategy 2.86% 1.50% -3.57% -2.05% 0.43% 0.79% -2.21% -0.28% 0.57% -0.31% 0.25% -2.10% -4.21%
    Benchmark 2.91% -0.04% -7.92% -12.49% 12.70% 4.76% 1.77% 5.89% 6.98% -3.74% -2.49% 11.06% 17.61%
    Rel. Return -0.04% 1.54% 4.34% 10.44% -12.27% -3.98% -3.98% -6.17% -6.41% 3.44% 2.75% -13.16% -21.83%
    Perspective on Performance
      
    Model: Fab 5

    Model: Fab 5

    Strategy Performance Analysis by Lucena Research
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    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Transaction Cost:
    Number of Transactions11,643
    Commissions$88,639.29
    Slippage$0.00
    Borrowing CostsN/A
    Total Transaction Costs$88,639.29
    Benchmark Relative Metrics:
    Beta0.05
    Information Ratio-0.87
    R^20.03
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Model: Fab 5-3.77%-0.36-0.46 -0.04 0.54% 11.55%
    SPDR S&P 500 Trust24.77%0.790.85 0.00 1.99% 33.72%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: Fab 5$12,677K$12,198K($478,467.92) -3.44%
    SPDR S&P 500 Trust$290.66$362.66$72.00 21.82%

    Performance Metrics By Year
    2019 2020
    ReturnStrategy 3.33% -6.87%
    SPDR S&P 500 Trust 9.17% 14.29%
    Winning DaysStrategy 54.17% 50.66%
    SPDR S&P 500 Trust 67.27% 58.52%
    SharpeStrategy 2.61 -0.84
    SPDR S&P 500 Trust 6.36 0.60
    SortinoStrategy 4.84 -1.04
    SPDR S&P 500 Trust 11.22 0.68
    Max DDStrategy 2.77% 11.55%
    SPDR S&P 500 Trust 1.88% 33.72%
    AlphaStrategy 0.03 -0.07
    SPDR S&P 500 Trust 0.00 0.00
    St. Dev.Strategy 0.43% 0.56%
    SPDR S&P 500 Trust 0.41% 2.20%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.17% -0.71% 2.86% 3.33%
    Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.15% 3.62% 2.91% 9.17%
    Relative Return 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.02% -4.33% -0.04% -5.84%
     
    2020 Strategy 1.50% -3.57% -2.05% 0.43% 0.79% -2.21% -0.28% 0.57% -0.31% 0.25% -2.10% 0.00% -6.87%
    Benchmark -0.04% -7.92% -12.49% 12.70% 4.76% 1.77% 5.89% 6.98% -3.74% -2.49% 11.06% 0.00% 14.29%
    Relative Return 1.54% 4.34% 10.44% -12.27% -3.98% -3.98% -6.17% -6.41% 3.44% 2.75% -13.16% 0.00% -21.17%
     
      
    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.