Model: Analysts Consensus Retrained by Neuravest

Performance 2/10/20 - 4/9/21
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Investment Approach
Model Portfolio Analyst Consensus Retrained:

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) 2/10/20 to 4/9/21
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
0.46 N/A 0.47 N/A
Historical Summary
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
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
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%
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: Analysts Consensus Retrained

Model: Analysts Consensus Retrained

Strategy Performance Analysis by Neuravest
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions2,387
Commissions$7,406.59
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$7,406.59
Benchmark Relative Metrics:
Beta0.36
Information Ratio0.52
R^20.46
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: Analysts Consensus Retrained49.60%2.023.12 0.50 1.10% 11.91%
SPDR S&P 500 Trust26.53%0.740.83 0.00 1.99% 33.72%
Russell 100026.42%1.001.09 0.25 1.84% 34.70%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: Analysts Consensus Retrained$999,920.44$1,496K$495,942.80 41.57%
SPDR S&P 500 Trust$325.05$411.27$86.22 21.57%
Russell 1000$1,839.68$2,325.64$485.96 21.49%

Performance Metrics By Year
2020 2021
ReturnStrategy 51.50% -1.25%
SPDR S&P 500 Trust 14.65% 10.36%
Russell 1000 15.28% 9.66%
Winning DaysStrategy 56.00% 50.75%
SPDR S&P 500 Trust 56.83% 55.22%
Russell 1000 52.42% 52.24%
SharpeStrategy 2.54 -0.98
SPDR S&P 500 Trust 0.59 2.14
Russell 1000 0.91 1.84
SortinoStrategy 4.20 -0.95
SPDR S&P 500 Trust 0.67 2.88
Russell 1000 1.00 2.44
Max DDStrategy 11.91% 4.33%
SPDR S&P 500 Trust 33.72% 4.06%
Russell 1000 34.70% 4.91%
AlphaStrategy 0.51 -0.01
SPDR S&P 500 Trust 0.00 0.00
Russell 1000 0.14 0.10
St. Dev.Strategy 1.21% 0.60%
SPDR S&P 500 Trust 2.21% 0.95%
Russell 1000 2.03% 1.01%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.00% -4.84% 5.32% 22.35% 14.87% -0.55% 5.38% 3.66% -3.66% -4.21% 5.25% 1.94% 51.50%
Benchmark 0.00% -12.20% -12.49% 12.70% 4.76% 1.77% 5.89% 6.98% -3.74% -2.49% 10.88% 3.70% 14.65%
Relative Return 0.00% 7.35% 17.81% 9.65% 10.10% -2.32% -0.50% -3.32% 0.08% -1.72% -5.62% -1.77% 36.85%
 
2021 Strategy -3.95% -0.09% 2.00% 0.89% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -1.25%
Benchmark -1.02% 2.78% 4.54% 3.77% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 10.36%
Relative Return -2.93% -2.88% -2.54% -2.88% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -11.61%
 
  
Performance Disclaimer
Disclaimer: This information has been prepared by Neuravest Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Please note: Neuravest is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance is no guarantee of future results. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.
Disclaimer Pertaining To Content Delivered & Investment Advice
Disclaimer: This information has been prepared by Neuravest Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.
Please note: Neuravest is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance is no guarantee of future results. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.