Model: Street Consensus Long Only Adaptive

Performance 2/10/20 - 6/27/22
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Investment Approach
Model Street Consensus Long Only Adaptive:

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.

Performance Versus Benchmark (SPDR S&P 500 Trust Total Return) 2/10/20 to 6/27/22
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 20.3% 21.6% -25.2% -17.6%
Rel. Return -1.4% N/A -7.6% N/A
Beta 0.43 N/A 0.52 N/A
Ann. Volatility 17.1% 25.8% 20.1% 25.4%
Sharpe 1.22 0.44 -0.06 -1.43
Drawdown -26.8% -33.7% -26.8% -23.0%
IR 0.50 N/A 1.82 N/A
Tracking Error 19.5% N/A 19.3% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return -21.5% -6.9% 8.1% N/A N/A
Ann. Volatility 17.3% 14.8% 17.1% 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 -0.8% 2.2% -3.5% 4.6% -2.2% 6.3% -9.3% -0.1% 0.8% -6.4% -1.4% -11.2% -20.4%
Benchmark 2.4% 3.0% -4.7% 7.0% -0.8% 4.6% -5.3% -3.0% 3.8% -8.8% 0.2% -5.5% -7.9%
Rel. Return -3.2% -0.8% 1.2% -2.4% -1.4% 1.6% -4.1% 2.9% -3.0% 2.4% -1.7% -5.7% -12.4%
Perspective on Performance
As can be seen, the portfolio's return are on par or slightly better than the market (S&P 500) but with much lower volatility. It exhibits higher Sharpe Ratio and a much lower drawdown.
Moreover, the portfolio can adjust dynamically to high volatility market scenarios.
  
Model: Street Consensus Long Only Adaptive

Model: Street Consensus Long Only 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: Street Consensus Long Only Adaptive$966,611$1,162K$195,755 8.1%
SPDR S&P 500 Trust$319.44$388.59$69.15 8.2%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Street Consensus Long Only Adaptive20.3%1.221.87 17.1% 26.8%
SPDR S&P 500 Trust21.6%0.440.52 25.8% 33.7%

Transaction Cost:
Number of Transactions3,112
Total Commissions ($0.0035 per share, $2.95 min per trade)$8,643
Slippage($891)
Borrowing CostsN/A
Total Transaction Costs$7,753

Professional Fees:
Management Fee (0.4%)$6,837
Performance Fee (Hurdle 8.0% / Performance 10.0%) $43,000
Total Professional Fees$49,837
Benchmark Relative Metrics:
Beta0.43
Information Ratio0.50
Annualized Tracking Error19.5%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 1,253 (53.1%) 1 (33.3%) 1,254 (53.1%)
Avg Gain 8.46% 0.95% 8.45%
Avg Hold Time 4 weeks 23 hours 4 weeks
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 1,107 (46.9%) 2 (66.7%) 1,109 (46.9%)
Avg Loss -5.41% -6.92% -5.42%
Avg Hold Time 4 weeks 21 hours 4 weeks

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
BLDR Jul 7, 2021 9:30:45 AM Mar 24, 2022 1:29:26 PM 8 months 65.4% $35,114.39 2.4%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
RRX Mar 2, 2022 9:30:15 AM Jun 22, 2022 9:56:14 AM 3 months -29.8% ($14,067.16) -1.0%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
SLVM Jun 23, 2022 9:49:18 AM Jun 24, 2022 9:36:42 AM 23 hours 0.9% $170.93 0.0%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AZPN Jun 23, 2022 12:24:16 PM Jun 24, 2022 9:36:42 AM 21 hours -6.9% ($1,568.25) -0.1%

Performance Metrics By Year
2020 2021 2022
ReturnStrategy 51.6% 6.0% -25.2%
SPDR S&P 500 Trust 14.6% 28.7% -17.6%
Winning DaysStrategy 56.0% 52.0% 33.1%
SPDR S&P 500 Trust 56.8% 57.9% 45.5%
SharpeStrategy 2.54 0.52 -0.06
SPDR S&P 500 Trust 0.59 2.01 -1.43
SortinoStrategy 4.20 0.72 -0.09
SPDR S&P 500 Trust 0.67 2.87 -2.14
Max DDStrategy 11.9% 7.7% 26.8%
SPDR S&P 500 Trust 33.7% 5.1% 23.0%
Ann. VolatilityStrategy 19.2% 13.0% 20.1%
SPDR S&P 500 Trust 35.1% 13.0% 25.4%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.0% -4.8% 5.3% 22.4% 14.9% -0.6% 5.4% 3.7% -3.7% -4.2% 5.3% 2.0% 51.6%
Benchmark 0.0% -12.2% -12.5% 12.7% 4.8% 1.8% 5.9% 7.0% -3.7% -2.5% 10.9% 3.7% 14.6%
Relative Return 0.0% 7.4% 17.8% 9.7% 10.1% -2.3% -0.5% -3.3% 0.1% -1.7% -5.6% -1.7% 36.9%
 
2021 Strategy -4.1% -0.1% 2.1% 0.7% 1.2% -0.1% -0.8% 2.2% -3.5% 4.6% -2.2% 6.3% 6.0%
Benchmark -1.0% 2.8% 4.5% 5.3% 0.7% 2.2% 2.4% 3.0% -4.7% 7.0% -0.8% 4.6% 28.7%
Relative Return -3.1% -2.9% -2.5% -4.6% 0.6% -2.3% -3.2% -0.8% 1.2% -2.4% -1.4% 1.6% -22.7%
 
2022 Strategy -9.3% -0.1% 0.8% -6.4% -1.4% -11.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -25.2%
Benchmark -5.3% -3.0% 3.8% -8.8% 0.2% -5.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -17.6%
Relative Return -4.1% 2.9% -3.0% 2.4% -1.7% -5.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -7.6%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 N/A 97.5% 150.9% 122.4% 71.6% 173.9% 20.0% 39.2% 157.8% 106.3% 1.2% 62.9% 1,003.7%
2021 103.2% 92.9% 177.5% 127.0% 116.0% 12.9% 18.5% 5.2% 15.5% 3.9% 25.3% 53.7% 751.8%
2022 86.0% 37.8% 24.3% 40.7% 65.8% 84.3% N/A N/A N/A N/A N/A N/A 338.7%
  

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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.

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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.

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