Model: Technology Long/Short

Performance 2/13/20 - 6/18/21
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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 (AGFiQ US Market Neutral Anti-Beta) 2/13/20 to 6/18/21
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 49.46% -24.65% -3.27% -10.27%
Rel. Return 74.11% N/A 7.01% N/A
Beta 0.20 N/A -0.26 N/A
Std. Dev 1.24% 1.34% 0.79% 0.97%
Sharpe 1.64 -0.88 -0.41 -1.85
Draw Down 12.24% 37.44% 8.77% 16.04%
IR 1.98 N/A 1.02 N/A
0.03 N/A 0.10 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 20.05% 34.70% N/A N/A N/A
Std. Dev 1.05% 1.24% N/A N/A N/A
Ann. Volatility 16.72% 19.70% 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 4.09% 11.12% -2.09% -5.14% 2.82% 8.39% -3.81% 2.27% -2.06% 0.34% 0.11% -0.05% 15.82%
Benchmark 2.47% -5.29% -0.13% -3.09% -14.96% -1.85% 1.42% -11.01% -0.53% -1.30% -1.87% 3.19% -29.66%
Rel. Return 1.63% 16.41% -1.97% -2.04% 17.78% 10.24% -5.23% 13.28% -1.53% 1.64% 1.98% -3.24% 45.48%
Perspective on Performance
Over its five years backtest, the portfolio exhibits returns every year. Max drawdown of -13.2% and a Sharpe Ratio of 1.20. Over 5 years its average annual return stands at over 20% The portfolio is uncorrelated to the S&P with an R^2 of 0.01 and IR of 0.22.
  
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
Transaction Cost:
Number of Transactions2,401
Commissions$12,539.08
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$12,539.08

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

Professional Fee Totals:
Management Fee$6,897.50
Performance Fee$47,973.90
Total Professional Fees$54,871.40
Benchmark Relative Metrics:
Beta0.20
Information Ratio1.98
R^20.03
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: Technology Long/Short49.46%1.643.06 0.49 1.24% 12.24%
AGFiQ US Market Neutral Anti-Beta-24.65%-0.88-1.34 0.00 1.34% 37.44%
SPDR S&P 500 Trust26.18%0.690.78 0.26 1.87% 33.72%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: Technology Long/Short$977,167.34$1,460K$483,296.41 34.70%
AGFiQ US Market Neutral Anti-Beta$22.72$17.12($5.60) -19.37%
SPDR S&P 500 Trust$330.15$416.58$86.43 18.90%

Performance Metrics By Year
2020 2021
ReturnStrategy 54.50% -3.27%
AGFiQ US Market Neutral Anti-Beta -16.02% -10.27%
SPDR S&P 500 Trust 12.87% 11.79%
Winning DaysStrategy 55.80% 48.28%
AGFiQ US Market Neutral Anti-Beta 46.88% 40.52%
SPDR S&P 500 Trust 56.70% 51.72%
SharpeStrategy 2.30 -0.41
AGFiQ US Market Neutral Anti-Beta -0.58 -1.85
SPDR S&P 500 Trust 0.57 1.62
SortinoStrategy 4.53 -0.62
AGFiQ US Market Neutral Anti-Beta -0.89 -2.87
SPDR S&P 500 Trust 0.65 2.19
Max DDStrategy 12.24% 8.77%
AGFiQ US Market Neutral Anti-Beta 29.53% 16.04%
SPDR S&P 500 Trust 33.72% 4.06%
AlphaStrategy 0.55 -0.03
AGFiQ US Market Neutral Anti-Beta 0.00 0.00
SPDR S&P 500 Trust 0.13 0.12
St. Dev.Strategy 1.41% 0.79%
AGFiQ US Market Neutral Anti-Beta 1.50% 0.97%
SPDR S&P 500 Trust 2.22% 0.84%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.00% 0.93% 23.40% 4.24% -6.97% 6.82% 4.09% 11.12% -2.09% -5.14% 2.82% 8.39% 54.50%
Benchmark 0.00% 2.71% 9.27% -3.39% 1.25% -3.14% 2.47% -5.29% -0.13% -3.09% -14.96% -1.85% -16.02%
Relative Return 0.00% -1.77% 14.13% 7.63% -8.21% 9.97% 1.63% 16.41% -1.97% -2.04% 17.78% 10.24% 70.53%
 
2021 Strategy -3.81% 2.27% -2.06% 0.34% 0.11% -0.05% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -3.27%
Benchmark 1.42% -11.01% -0.53% -1.30% -1.87% 3.19% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -10.27%
Relative Return -5.23% 13.28% -1.53% 1.64% 1.98% -3.24% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 7.01%
 
  

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.

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