Model: Dow Industrials Adaptive

Performance 12/24/19 - 6/27/22
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Investment Approach
Model: Dow Industrials Adaptive powered by Neuravest

The Dow Industrial Adaptive portfolio consists of members of the Dow Industrials.

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 of 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 Total Return) 12/24/19 to 6/27/22
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 23.6% 10.1% -9.5% -13.5%
    Rel. Return 13.5% N/A 4.0% N/A
    Beta 0.83 N/A 0.64 N/A
    Ann. Volatility 23.4% 26.0% 15.3% 19.2%
    Sharpe 0.60 0.29 -0.31 -1.41
    Drawdown -31.5% -37.1% -14.5% -18.8%
    IR 0.65 N/A 1.96 N/A
    Tracking Error 10.0% N/A 11.4% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return -5.0% 12.1% 8.8% N/A N/A
    Ann. Volatility 13.1% 13.7% 23.4% 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 0.6% 0.1% -3.3% 3.6% -3.3% 7.1% -0.7% -2.4% 3.3% -3.1% 0.2% -6.8% -5.4%
    Benchmark 1.3% 1.2% -4.3% 5.8% -3.7% 5.4% -3.3% -3.5% 2.3% -4.9% 0.0% -4.7% -8.9%
    Rel. Return -0.6% -1.1% 1.0% -2.2% 0.4% 1.7% 2.6% 1.2% 1.0% 1.8% 0.2% -2.1% 3.5%
    Perspective on Performance
    Order Failure [2022-06-27 09:30:16.080556] (: Sell To Close 0/40.00 CSCO ): Not enough shares open for close transaction: Closing Transaction: LrlTrans: 2022-06-27 09:30:16.080556 Sell To Close 40.00 shares of CSCO to close at 44.2400016784668 Currently Open Transactions: LrlTrans: 2022-05-19 09:30:37.715274 Buy To Open 2.00 shares of CSCO to open at 42.7599983215332(0 remaining) LrlTrans: 2022-05-20 09:30:08.162866 Buy To Open 6.00 shares of CSCO to open at 41.81999969482422(0 remaining) LrlTrans: 2022-05-23 09:30:09.904891 Buy To Open 2.00 shares of CSCO to open at 43.15999984741211(0 remaining) LrlTrans: 2022-05-24 09:30:07.804255 Buy To Open 4.00 shares of CSCO to open at 43.13999938964844(0 remaining) LrlTrans: 2022-05-25 09:30:22.360045 Buy To Open 5.00 shares of CSCO to open at 43.630001068115234(0 remaining) LrlTrans: 2022-05-26 09:30:08.157081 Buy To Open 3.00 shares of CSCO to open at 44.119998931884766(0 remaining) LrlTrans: 2022-05-27 09:30:27.684552 Buy To Open 1.00 shares of CSCO to open at 45.220001220703125(0 remaining) LrlTrans: 2022-05-31 12:38:53.089073 Buy To Open 2.00 shares of CSCO to open at 45.16999816894531(0 remaining) LrlTrans: 2022-06-01 09:30:07.529422 Buy To Open 4.00 shares of CSCO to open at 45.529998779296875(0 remaining) LrlTrans: 2022-06-02 09:30:12.568987 Buy To Open 7.00 shares of CSCO to open at 45.310001373291016(0 remaining) LrlTrans: 2022-06-03 09:31:34.897037 Buy To Open 2.00 shares of CSCO to open at 45.43000030517578(0 remaining) LrlTrans: 2022-06-06 09:30:01.316226 Buy To Open 2.00 shares of CSCO to open at 45.54499816894531(0 remaining) LrlTrans: 2022-06-07 09:31:03.627991 Buy To Open 1.00 shares of CSCO to open at 44.939998626708984(0 remaining)
      
    Model: Dow Industrials Adaptive

    Model: Dow Industrials Adaptive

    Strategy Performance Analysis by Neuravest
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    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: Dow Industrials Adaptive$990,362$1,224K$233,364 8.8%
    Dow Jones Industrial$28,551.53$31,438.26$2,886.73 4.0%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: Dow Industrials Adaptive23.6%0.600.74 23.4% 31.5%
    Dow Jones Industrial10.1%0.290.33 26.0% 37.1%

    Transaction Cost:
    Number of Transactions4,740
    Total Commissions ($0.0035 per share, $2.95 min per trade)$9,427
    Slippage($124)
    Borrowing CostsN/A
    Total Transaction Costs$9,302
    Benchmark Relative Metrics:
    Beta0.83
    Information Ratio0.65
    Annualized Tracking Error10.0%

    Trade Analysis
    Trade Metrics (Successful):
    Metric Long Short All
    # Trades 1,467 (53.3%) 2 (12.5%) 1,469 (53.1%)
    Avg Gain 8.39% 0.71% 8.38%
    Avg Hold Time 3 months 1 days 3 months
    Trade Metrics (Unsuccessful):
    Metric Long Short All
    # Trades 1,285 (46.7%) 14 (87.5%) 1,299 (46.9%)
    Avg Loss -11.10% -1.90% -11.00%
    Avg Hold Time 4 months 2 days 4 months

    Best Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    CVX Mar 18, 2021 10:06:06 AM Jun 22, 2022 9:30:26 AM 1 years 34.9% $15,670.83 1.3%

    Worst Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    BA Mar 18, 2021 10:06:06 AM Jun 22, 2022 9:30:26 AM 1 years -46.8% ($21,614.29) -1.7%

    Best Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    BA Jun 24, 2022 4:00:00 PM Jun 27, 2022 9:30:13 AM 2 days 1.1% $1.55 0.0%

    Worst Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    CRM Jun 24, 2022 9:30:01 AM Jun 27, 2022 9:30:13 AM 3 days -4.9% ($8.72) -0.0%

    Performance Metrics By Year
    2019 2020 2021 2022
    ReturnStrategy 0.3% 11.7% 21.8% -9.5%
    Dow Jones Industrial -0.0% 7.2% 18.7% -13.5%
    Winning DaysStrategy 60.0% 53.8% 54.0% 43.8%
    Dow Jones Industrial 60.0% 55.3% 55.6% 38.0%
    SharpeStrategy 2.33 0.50 1.79 -0.31
    Dow Jones Industrial 0.73 0.37 1.44 -1.41
    SortinoStrategy 0.00 0.64 2.71 -0.42
    Dow Jones Industrial 0.00 0.43 2.01 -1.91
    Max DDStrategy 0.7% 31.5% 5.2% 14.5%
    Dow Jones Industrial 0.6% 37.1% 6.6% 18.8%
    Ann. VolatilityStrategy 8.3% 33.5% 11.4% 15.3%
    Dow Jones Industrial 7.2% 36.8% 12.4% 19.2%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.3%
    Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% -0.0%
    Relative Return 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.3%
     
    2020 Strategy -1.2% -7.9% -9.8% 15.5% 3.5% 1.0% 0.0% 4.0% 0.4% -5.6% 9.1% 4.8% 11.7%
    Benchmark -1.0% -10.1% -13.7% 11.1% 4.3% 1.7% 2.4% 7.6% -2.3% -4.6% 11.8% 3.3% 7.2%
    Relative Return -0.2% 2.2% 3.9% 4.5% -0.8% -0.7% -2.4% -3.6% 2.7% -1.0% -2.7% 1.5% 4.5%
     
    2021 Strategy 2.0% 2.9% 8.9% -0.1% 1.4% 0.7% 0.6% 0.1% -3.3% 3.6% -3.3% 7.1% 21.8%
    Benchmark -2.0% 3.2% 6.6% 2.7% 1.9% -0.1% 1.3% 1.2% -4.3% 5.8% -3.7% 5.4% 18.7%
    Relative Return 4.1% -0.2% 2.2% -2.8% -0.5% 0.7% -0.6% -1.1% 1.0% -2.2% 0.4% 1.7% 3.1%
     
    2022 Strategy -0.7% -2.4% 3.3% -3.1% 0.2% -6.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -9.5%
    Benchmark -3.3% -3.5% 2.3% -4.9% 0.0% -4.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -13.5%
    Relative Return 2.6% 1.2% 1.0% 1.8% 0.2% -2.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.0%
     
    Monthly Turnover By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 49.9% 49.9%
    2020 100.0% 49.7% 76.3% 78.4% 99.5% 100.2% 77.7% 100.0% 100.7% 100.2% 100.9% 100.6% 1,084.1%
    2021 100.9% 93.6% 107.8% 0.4% 0.2% 0.5% 0.4% 0.4% 0.4% 0.6% 1.1% 1.0% 307.4%
    2022 1.1% 1.4% 1.8% 2.1% 1.9% 40.5% N/A N/A N/A N/A N/A N/A 48.7%
      

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