Model: Analysts Consensus Retrained by Neuravest
The portfolio's goal is to outperform the S&P 500 ($SPX) in Total Return, while maintaining lower volatility.
The Analyst Consensus portfolio is based on street consensus which averages analysts' ratings, and fundamental as well as technical factors.
The portfolio scans for securities in the S&P 500 & Russell 1K seeking to identify securities which are optimal for entry.
The multi-factor scan looks to identify securities that historically have consistently outperformed the S&P 500 for a period of up to 21 trading days (one calendar month).
The factors in the scan and their threshold are selected algorithmically using advanced machine learning classification engine. In addition, the factors selected are completely dynamic as the algorithm re-assesses which factors and their thresholds are most suitable every month.
This is done to ensures that the model is responsive to changes in the market risk conditions.
Here is how the Model Portfolio is traded:
Every day we scan the S&P 500 and Russell 1K for constituents that match the multi-factor model selection criteria.
The identified constituents are ordered by their recent volatility rank in ascending order. (lower volatility are selected first).
As long as there is cash available, we allocate the available cash among the newly selected constituents equally. Constituents that appear in the scan multiple days sequentially are added up to 10% max allocation per security.
We hold conditionally until the scan no longer select the securities held at which point these position will be closed.
Max number of new securities per day is set to 10 with a 10% max buying power per day (which will max allocation per security per day at 1% of total buying power).
Transaction cost and slippage are considered.
| Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
| Abs. Return | 49.60% | 26.53% | -1.25% | 10.36% |
| Rel. Return | 23.07% | N/A | -11.61% | N/A |
| Beta | 0.36 | N/A | 0.43 | N/A |
| Std. Dev | 1.10% | 1.99% | 0.60% | 0.95% |
| Sharpe | 2.02 | 0.74 | -0.98 | 2.14 |
| Draw Down | 11.91% | 33.72% | 4.33% | 4.06% |
| IR | 0.52 | N/A | -3.78 | N/A |
| R² | 0.46 | N/A | 0.47 | N/A |
| 1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
| Ann. Return | 38.53% | 41.57% | N/A | N/A | N/A |
| Std. Dev | 0.94% | 1.10% | N/A | N/A | N/A |
| Ann. Volatility | 14.95% | 17.46% | N/A | N/A | N/A |
| May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Strategy | 14.87% | -0.55% | 5.38% | 3.66% | -3.66% | -4.21% | 5.25% | 1.94% | -3.95% | -0.09% | 2.00% | 0.89% | 22.01% |
| Benchmark | 4.76% | 1.77% | 5.89% | 6.98% | -3.74% | -2.49% | 10.88% | 3.70% | -1.02% | 2.78% | 4.54% | 3.77% | 43.85% |
| Rel. Return | 10.10% | -2.32% | -0.50% | -3.32% | 0.08% | -1.72% | -5.62% | -1.77% | -2.93% | -2.88% | -2.54% | -2.88% | -21.85% |
Moreover, the portfolio can adjust dynamically to high volatility market scenarios.