Model: Technology Long/Short

Performance 2/10/20 - 2/2/23
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Investment Approach
Model: Technology Long/Short

The strategy identifies large cap Technology winners and hedges them with equal long/short allocation by identifying a set of uncorrelated liquid ETFS. The hedger uses Neuravest's proprietary pattern matching technology geared to identify which constituents exhibit inverse price behavior (relative to the market). When adding the long/short hedge positions to the core holdings we in turn get a nice smooth low vol return that accrues over time.
Hedge positions are selected from a wide array of highly liquid ETFs that span sectors, markets, exchanges and asset types.
The portfolio re-assess its positions every week. It also holds between 20 and 100 positions with max allocation of 15 per ETF position and 5 per single equity.

Performance Versus Benchmark (S&P 500 Total Return) 2/10/20 to 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 33.7% 25.6% 6.2% 8.9%
Rel. Return 8.1% N/A -2.6% N/A
Beta 0.32 N/A 0.22 N/A
Ann. Volatility 17.7% 25.6% 7.6% 16.4%
Sharpe 0.48 0.47 -1.72 5.29
Drawdown -26.4% -33.9% -2.4% -2.5%
IR -0.14 N/A -6.91 N/A
Tracking Error 23.5% N/A 15.4% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return -9.4% -5.5% 10.3% N/A N/A
Ann. Volatility 18.0% 15.0% 17.7% N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Total
Strategy 1.1% -7.2% 1.2% -6.6% 8.2% -3.8% -6.5% 3.1% 4.2% -5.7% 4.1% 2.1% -7.1%
Benchmark 3.6% -8.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% 6.2% 2.5% -4.4%
Rel. Return -2.5% 1.6% 1.2% 1.8% -0.9% 0.4% 2.9% -4.9% -1.1% 0.2% -2.1% -0.4% -2.6%
Perspective on Performance
Order Failure [2022-10-11 15:15:53.826278] (: Sell To Close 0.0/410.00 QCOM ): Not enough shares open for close transaction: Closing Transaction: EquityTransaction: 2022-10-11 15:15:53.826278 Sell To Close 410.00 shares of QCOM to close at 108.69999694824219 Currently Open Transactions: EquityTransaction: 2022-07-29 09:34:27.482807 Buy To Open 410.00 shares of QCOM to open at 144.21499633789062(0 remaining) EquityTransaction: 2022-08-10 09:30:13.729365 Buy To Open 2.00 shares of QCOM to open at 145.7100067138672(0 remaining) EquityTransaction: 2022-08-31 09:30:58.942719 Buy To Open 3.00 shares of QCOM to open at 133.1300048828125(0 remaining) EquityTransaction: 2022-09-14 09:30:49.271831 Buy To Open 3.00 shares of QCOM to open at 126.37000274658203(0 remaining)
  
Model: Technology Long/Short

Model: Technology Long/Short

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: Technology Long/Short$977,180$1,307K$329,621 10.3%
S&P 500$3,327.71$4,179.76$852.05 7.7%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Technology Long/Short33.7%0.480.81 17.7% 26.4%
S&P 50025.6%0.470.58 25.6% 33.9%

Transaction Cost:
Number of Transactions5,779
Total Commissions ($0.0035 per share, $2.95 min per trade)$18,604
Slippage$260
Borrowing CostsN/A
Total Transaction Costs$18,864

Professional Fees:
Management Fee (0.4%)$6,897
Performance Fee (Hurdle 8.0% / Performance 10.0%) $47,974
Total Professional Fees$54,871
Benchmark Relative Metrics:
Beta0.32
Information Ratio-0.14
Annualized Tracking Error23.5%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 1,825 (51.8%) 247 (41.7%) 2,072 (50.4%)
Avg Gain 19.84% 8.95% 18.54%
Avg Hold Time 4 months 1 months 4 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 1,697 (48.2%) 345 (58.3%) 2,042 (49.6%)
Avg Loss -12.93% -8.65% -12.21%
Avg Hold Time 5 months 3 weeks 4 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
TSLA May 21, 2020 2:41:10 PM Aug 27, 2020 9:30:10 AM 3 months 98.8% $123,943.86 9.7%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
TSLA Feb 13, 2020 9:32:00 AM Feb 21, 2020 9:32:01 AM 1 weeks -20.7% ($36,646.89) -3.6%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
CHKAQ Feb 21, 2020 9:32:01 AM Mar 3, 2020 9:50:00 AM 1 weeks 45.7% $58,868.46 5.7%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
HP Nov 12, 2020 9:30:30 AM Nov 27, 2020 9:32:14 AM 2 weeks -39.6% ($76,934.13) -5.2%

Performance Metrics By Year
2020 2021 2022 2023
ReturnStrategy 54.6% 3.7% -21.5% 6.2%
S&P 500 12.9% 26.9% -19.4% 8.9%
Winning DaysStrategy 55.8% 50.8% 44.6% 9.1%
S&P 500 56.4% 56.7% 42.6% 54.5%
SharpeStrategy 2.31 0.37 -1.29 -1.72
S&P 500 0.53 1.88 -0.57 5.29
SortinoStrategy 4.51 0.58 -2.10 -1.61
S&P 500 0.61 2.67 -0.89 9.19
Max DDStrategy 12.2% 8.8% 25.0% 2.4%
S&P 500 33.9% 5.2% 25.4% 2.5%
Ann. VolatilityStrategy 22.4% 11.5% 18.3% 7.6%
S&P 500 36.2% 13.1% 24.1% 16.4%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.0% 0.9% 23.4% 4.2% -7.0% 6.8% 4.1% 11.1% -2.1% -5.1% 2.8% 8.4% 54.6%
Benchmark 0.0% -12.4% -12.5% 12.7% 4.5% 1.8% 5.5% 7.0% -3.9% -2.8% 10.8% 3.7% 12.9%
Relative Return 0.0% 13.4% 35.9% -8.4% -11.5% 5.0% -1.4% 4.1% 1.8% -2.4% -7.9% 4.7% 41.7%
 
2021 Strategy -3.9% 2.3% -2.1% 0.3% 0.1% 2.7% 0.7% -1.0% -2.8% 4.6% 3.3% -0.3% 3.7%
Benchmark -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% 26.9%
Relative Return -2.7% -0.3% -6.3% -4.9% -0.4% 0.5% -1.6% -3.9% 1.9% -2.3% 4.1% -4.7% -23.2%
 
2022 Strategy -7.3% -3.2% 1.1% -7.2% 1.2% -6.6% 8.2% -3.8% -6.5% 3.1% 4.2% -5.7% -21.5%
Benchmark -5.3% -3.1% 3.6% -8.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% -19.4%
Relative Return -2.0% -0.0% -2.5% 1.6% 1.2% 1.8% -0.9% 0.4% 2.9% -4.9% -1.1% 0.2% -2.0%
 
2023 Strategy 4.1% 2.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 6.2%
Benchmark 6.2% 2.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 8.9%
Relative Return -2.1% -0.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -2.6%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 N/A 92.6% 268.7% 158.6% 223.1% 108.0% 159.7% 116.5% 80.3% 105.8% 114.2% 141.3% 1,568.7%
2021 95.9% 93.2% 118.1% 206.5% 33.2% 41.8% 84.5% 72.8% 66.1% 64.7% 73.1% 20.5% 970.4%
2022 53.4% 93.1% 75.4% 69.3% 83.2% 69.0% 66.8% 92.2% 60.3% 53.5% 56.3% 51.2% 823.6%
2023 64.6% 35.1% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 99.7%
  

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 10% performance fee on excess return above an 8% hurdle. 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 10% on any return in excess of an 8% hurdle. 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.

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