Model: Earnings Date Restatement Long Only

Performance 2/15/20 - 6/18/21
Investment Approach
Model: Earnings Date Restatement

About Wall Street Horizon:
Wall Street Horizon provides institutional investors and traders with the most accurate and comprehensive forward-looking corporate data. Wall Street Horizon offers over 40 event types covering more than 9,000 equities worldwide.

Backtest: WSH Long Earnings
The portfolio is based on a roll-forward retraining models set to identify Buy signals based on Wall Street Horizon earnings announcement shift data. The models are not hard set with the specific factors and their importance but rather re-examine the data periodically to restructure new models based on the most recent historical data.
The models objectives are to identify optimal conditions for entry when a company restates its earnings date to an earlier date than it was originally set.
The model portfolio scans securities from the Russell 1000universe.

Here's how the backtest is conducted:
The portfolio selects its assets using Lucena’s event scan technology which identifies the equities most likely to outperform the S&P 500 in the near future. The model scans for new constituents daily and when new constituents are identified for entry, the available cash is allocated equally between all the newly identified constituents.
The entered positions are then held conditionally as long as they satisfy the entry criteria or until they hit the stop loss condition.
There are a stop losses on the positions, which execute when the ATR (average true range) crosses above 3x of the normal volatility (averaged across the past 126 day).
The portfolio can stay in cash if no constituents are identified.
Market relative performance, low volatility and high Sharpe are the goals of the strategy.

Performance Versus Benchmark (SPDR S&P 500 Trust) 2/15/20 to 6/18/21
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 49.04% 26.11% 14.47% 11.79%
Rel. Return 22.93% N/A 2.68% N/A
Beta 0.49 N/A 0.49 N/A
Std. Dev 1.22% 1.87% 0.71% 0.84%
Sharpe 1.76 0.70 3.26 1.62
Draw Down 10.49% 33.72% 5.20% 4.06%
IR 0.68 N/A 1.33 N/A
0.58 N/A 0.33 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 28.13% 34.68% N/A N/A N/A
Std. Dev 0.85% 1.22% N/A N/A N/A
Ann. Volatility 13.54% 19.36% 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 2.70% 1.59% -3.35% -2.58% 12.12% 3.42% 1.55% 0.74% 3.69% 5.21% 6.26% -3.47% 30.39%
Benchmark 5.89% 6.98% -3.74% -2.49% 10.88% 3.70% -1.02% 2.78% 4.54% 5.29% 0.66% -0.82% 36.66%
Rel. Return -3.19% -5.39% 0.39% -0.08% 1.24% -0.29% 2.57% -2.04% -0.85% -0.08% 5.60% -2.65% -6.27%
Perspective on Performance
Model: Earnings Date Restatement Long Only

Model: Earnings Date Restatement Long Only

Strategy Performance Analysis by Wall Street Horizon
Performance Report
Performance Chart
Performance Metrics
Transaction Cost:
Number of Transactions5,915
Borrowing CostsN/A
Total Transaction Costs$17,726.46

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

Professional Fee Totals:
Management Fee$5,957.91
Performance Fee$21,691.86
Total Professional Fees$27,649.77
Benchmark Relative Metrics:
Information Ratio0.68
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: Earnings Date Restatement Long Only49.04%1.762.65 0.49 1.22% 10.49%
SPDR S&P 500 Trust26.11%0.700.78 0.00 1.87% 33.72%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: Earnings Date Restatement Long Only$978,105.46$1,458K$479,639.70 34.68%
SPDR S&P 500 Trust$330.33$416.58$86.26 19.11%

Performance Metrics By Year
2020 2021
ReturnStrategy 30.20% 14.47%
SPDR S&P 500 Trust 12.81% 11.79%
Winning DaysStrategy 50.90% 59.48%
SPDR S&P 500 Trust 56.76% 51.72%
SharpeStrategy 1.45 3.26
SPDR S&P 500 Trust 0.57 1.62
SortinoStrategy 2.28 5.10
SPDR S&P 500 Trust 0.66 2.19
Max DDStrategy 10.49% 5.20%
SPDR S&P 500 Trust 33.72% 4.06%
AlphaStrategy 0.30 0.14
SPDR S&P 500 Trust 0.00 0.00
St. Dev.Strategy 1.42% 0.71%
SPDR S&P 500 Trust 2.23% 0.84%

Monthly Return to Benchmark By Year
2020 Strategy 0.00% -1.97% -0.82% 14.73% 2.76% -0.25% 2.70% 1.59% -3.35% -2.58% 12.12% 3.42% 30.20%
Benchmark 0.00% -12.02% -12.49% 12.70% 4.76% 1.77% 5.89% 6.98% -3.74% -2.49% 10.88% 3.70% 12.81%
Relative Return 0.00% 10.05% 11.67% 2.03% -2.00% -2.03% -3.19% -5.39% 0.39% -0.08% 1.24% -0.29% 17.39%
2021 Strategy 1.55% 0.74% 3.69% 5.21% 6.26% -3.47% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 14.47%
Benchmark -1.02% 2.78% 4.54% 5.29% 0.66% -0.82% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 11.79%
Relative Return 2.57% -2.04% -0.85% -0.08% 5.60% -2.65% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.68%


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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).

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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 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.

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