Model: Dow Adaptive Long Only

Performance 12/24/19 - 6/18/21
logo
Investment Approach
Model: Dow Adaptive Long Only powered by Neuravest

Dow Winners Adaptive Long Only portfolio consists of members of the Dow Industrials.

The Dow Jones Industrial Average, Dow Jones, or simply the Dow, is a stock market index that measures the stock performance of 30 large blue-chip companies listed on stock exchanges in the United States.
The portfolio's goal is to pick the most bullish stocks from within the Dow 30 members with the expectation that they will outperform the average (the Dow Index) in the coming month (or 21 trading days).

The intuition for the strategy is to rely on the strength of the US economy while exploiting opportunities for entry based on technical and fundamental factors which measure the point-in-time strength of individual constituents relative to their peers (or their average).

The portfolio is re-optimized monthly to achieve a maximum Sharpe Ratio in two ways:

  • Dynamic Model Construction: Feature selection and training is conducted dynamically to identify up to four features that can be used to identify bullish sentiment among the members of the Dow. Hence identify positions most primed for entry.
  • An event study scan is conducted to identify the portfolio composition.
  • Here is how the Model Portfolio is traded:

    The portfolio scans daily for new constituents based on the latest AI model. As long as there is cash available and new positions are identified, the positions are equally allocated upon entry.
    Positions are held conditionally as long they continue to satisfy the criteria which set them for entry.
    The performance presented is net of transaction cost and slippage.

    Performance Versus Benchmark (Dow Jones Industrial) 12/24/19 to 6/18/21
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 27.82% 16.60% 14.05% 8.77%
    Rel. Return 11.22% N/A 5.28% N/A
    Beta 0.87 N/A 0.87 N/A
    Std. Dev 1.79% 1.70% 0.75% 0.72%
    Sharpe 0.76 0.81 2.70 1.46
    Draw Down 31.45% 37.09% 3.45% 4.28%
    IR -0.04 N/A 2.33 N/A
    0.69 N/A 0.71 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 28.37% 17.99% N/A N/A N/A
    Std. Dev 0.92% 1.79% N/A N/A N/A
    Ann. Volatility 14.53% 28.34% N/A 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 0.01% 3.95% 0.42% -5.58% 9.11% 4.79% 2.02% 2.92% 8.85% -0.11% 1.40% -1.49% 28.54%
    Benchmark 2.38% 7.57% -2.28% -4.61% 11.84% 3.27% -2.04% 3.17% 6.62% 2.71% 1.93% -3.59% 28.97%
    Rel. Return -2.37% -3.62% 2.70% -0.97% -2.73% 1.52% 4.06% -0.25% 2.23% -2.82% -0.53% 2.10% -0.43%
    Perspective on Performance
      
    Model: Dow Adaptive Long Only

    Model: Dow Adaptive Long Only

    Strategy Performance Analysis by Neuravest
    logo
    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Transaction Cost:
    Number of Transactions2,531
    Commissions$7,079.87
    Slippage$0.00
    Borrowing CostsN/A
    Total Transaction Costs$7,079.87

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

    Professional Fee Totals:
    Management Fee$5,887.43
    Performance Fee$3,297.24
    Total Professional Fees$9,184.66
    Benchmark Relative Metrics:
    Beta0.87
    Information Ratio-0.04
    R^20.69
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Model: Dow Adaptive Long Only27.82%0.760.93 0.28 1.79% 31.45%
    Dow Jones Industrial16.60%0.810.88 0.00 1.70% 37.09%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: Dow Adaptive Long Only$990,361.71$1,266K$275,532.06 17.99%
    Dow Jones Industrial$28,551.53$33,290.08$4,738.55 10.99%

    Performance Metrics By Year
    2019 2020 2021
    ReturnStrategy 0.30% 11.74% 14.05%
    Dow Jones Industrial -0.05% 7.25% 8.77%
    Winning DaysStrategy 60.00% 53.75% 55.17%
    Dow Jones Industrial 60.00% 49.80% 48.28%
    SharpeStrategy 2.33 0.50 2.70
    Dow Jones Industrial 16.93 0.75 1.46
    SortinoStrategy 0.00 0.64 4.22
    Dow Jones Industrial N/A 0.85 1.87
    Max DDStrategy 0.66% 31.45% 3.45%
    Dow Jones Industrial 0.64% 37.09% 4.28%
    AlphaStrategy 0.00 0.12 0.14
    Dow Jones Industrial 0.00 0.00 0.00
    St. Dev.Strategy 0.52% 2.11% 0.75%
    Dow Jones Industrial 0.17% 2.01% 0.72%
      

    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% 0.00% 0.00% 0.30% 0.30%
    Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.08% -0.05%
    Relative Return 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.22% 0.35%
     
    2020 Strategy -1.20% -7.90% -9.81% 15.55% 3.48% 1.04% 0.01% 3.95% 0.42% -5.58% 9.11% 4.79% 11.74%
    Benchmark -0.99% -10.07% -13.74% 11.08% 4.26% 1.69% 2.38% 7.57% -2.28% -4.61% 11.84% 3.27% 7.25%
    Relative Return -0.21% 2.17% 3.93% 4.47% -0.79% -0.65% -2.37% -3.62% 2.70% -0.97% -2.73% 1.52% 4.49%
     
    2021 Strategy 2.02% 2.92% 8.85% -0.11% 1.40% -1.49% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 14.05%
    Benchmark -2.04% 3.17% 6.62% 2.71% 1.93% -3.59% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 8.77%
    Relative Return 4.06% -0.25% 2.23% -2.82% -0.53% 2.10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.28%
     
      

    FOR QUALIFIED INSTITUTIONAL INVESTOR USE ONLY. NOT INTENDED FOR INDIVIDUAL RETAIL INVESTORS.

    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.

    Performance fees may vary depending upon executed leverage.

    NEURAVEST RESEARCH INC (CRD# 312803/SEC#: 801-120607)