Model: Sector/Asset Rotation LS 2X

Performance 4/9/20 - 2/2/23
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Investment Approach
Model: Sector/Asset Rotation LS 2X:

Sector/Asset Rotation is a Long/Short Cash Neutral ETF based portfolio consisting of highly liquid ETFs which represent all major sectors in the US, Fixed Income, and Commodities. The portfolio is leveraged at 2X due to its inherit low volatility.
The portfolio's goal is to generate positive returns in any market regime while maintaining low exposure against large drawdowns and market volatility.

The Sector/Asset Rotation portfolio is predicated on the notion that markets naturally flows between sectors and asset classes. The idea is to move cash between long and short holdings in order to exploit the differential while maintaining minimum exposure to sudden market surprise.
The portfolio consists of 18 ETFs each representing 100's of stocks.
The portfolio is re-optimized monthly between its long and short positions for maximum return while forced to keep the net exposure at 0 (50% Long and 50% Short).

Here is how the Model Portfolio is traded:

The portfolio relies on Markowitz's Nobel price winning MVO, mean variance optimization and a regression based price forecaster using K nearest neighbor or Knn.
Every four weeks, the system seeks to identify which ETFs are set to outperform or underperform. The optimizer then attempts to allocate 100% of its buying power between its long/short constituents for Max Return (targeting the top right edge of the efficient frontier).
In addition, to minimize the impact of changes in market regime in between optimization schedules, the portfolio employs strict trailing stop loss conditions.
It is not uncharacteristic to witness over 50% of the transactions closing due to stop loss conditions. While the remaining positions in the portfolio continue to generate returns perpetually.
Transaction cost and slippage are considered.

Performance Versus Benchmark (AGF US Market Neutral Anti-Beta Total Return) 4/9/20 to 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return -33.4% -24.4% -8.4% -10.3%
Rel. Return -9.0% N/A 1.9% N/A
Beta 0.18 N/A 0.39 N/A
Ann. Volatility 16.5% 20.5% 11.3% 16.5%
Sharpe -0.39 -0.37 -8.85 -7.09
Drawdown -46.6% -37.9% -8.4% -11.5%
IR 0.10 N/A 1.27 N/A
Tracking Error 23.3% N/A 13.4% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return -35.8% -17.3% -13.5% N/A N/A
Ann. Volatility 11.2% 10.1% 16.5% N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Total
Strategy 3.5% -4.3% -1.6% -6.5% -3.8% -2.9% 2.8% -1.4% -20.6% 4.1% -5.9% -2.6% -34.7%
Benchmark 2.6% 8.5% 1.8% 7.6% -8.4% -0.9% 2.8% 1.9% -0.3% 3.7% -6.4% -4.2% 7.5%
Rel. Return 0.9% -12.8% -3.3% -14.1% 4.6% -2.1% -0.0% -3.3% -20.3% 0.4% 0.4% 1.6% -42.2%
Perspective on Performance
  
Model: Sector/Asset Rotation LS 2X

Model: Sector/Asset Rotation LS 2X

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: Sector/Asset Rotation LS 2X$1,019K$678,911($340,035) -13.5%
AGF US Market Neutral Anti-Beta$25.16$19.02($6.14) -9.4%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Sector/Asset Rotation LS 2X-33.4%-0.39-0.50 16.5% 46.6%
AGF US Market Neutral Anti-Beta-24.4%-0.37-0.50 20.5% 37.9%

Transaction Cost:
Number of Transactions2,644
Total Commissions ($0.0035 per share, $2.95 min per trade)$6,624
Slippage($234)
Borrowing CostsN/A
Total Transaction Costs$6,390
Benchmark Relative Metrics:
Beta0.18
Information Ratio0.10
Annualized Tracking Error23.3%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 894 (57.5%) 87 (25.4%) 981 (51.7%)
Avg Gain 7.02% 2.25% 6.60%
Avg Hold Time 3 months 1 weeks 3 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 662 (42.5%) 256 (74.6%) 918 (48.3%)
Avg Loss -3.82% -4.56% -4.03%
Avg Hold Time 1 months 2 weeks 1 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
XLK May 14, 2020 9:30:59 AM Dec 24, 2020 9:30:32 AM 7 months 34.4% $168,196.76 15.6%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
XLY Nov 11, 2021 9:30:06 AM Nov 11, 2021 2:46:16 PM 5 hours -11.6% ($8,819.03) -0.8%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
USO Apr 16, 2020 9:31:04 AM May 18, 2020 9:33:37 AM 1 months 31.8% $116,976.63 11.5%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
USO May 14, 2020 9:31:45 AM May 18, 2020 9:33:37 AM 4 days -38.4% ($106,792.52) -9.9%

Performance Metrics By Year
2020 2021 2022 2023
ReturnStrategy 5.8% -0.6% -30.8% -8.4%
AGF US Market Neutral Anti-Beta -24.9% -6.8% 20.5% -10.3%
Winning DaysStrategy 51.9% 56.7% 48.6% 27.3%
AGF US Market Neutral Anti-Beta 48.6% 48.0% 52.6% 31.8%
SharpeStrategy 0.43 0.00 -1.59 -8.85
AGF US Market Neutral Anti-Beta -1.30 -0.45 1.00 -7.09
SortinoStrategy 0.62 0.00 -2.22 -14.28
AGF US Market Neutral Anti-Beta -1.71 -0.66 1.54 -11.93
Max DDStrategy 17.6% 10.9% 35.0% 8.4%
AGF US Market Neutral Anti-Beta 29.0% 17.3% 15.4% 11.5%
Ann. VolatilityStrategy 26.7% 10.8% 10.9% 11.3%
AGF US Market Neutral Anti-Beta 27.0% 13.7% 20.9% 16.5%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.0% 0.0% 0.0% 10.7% -9.0% 1.3% 3.7% 6.3% 3.1% 2.5% -7.2% -4.3% 5.8%
Benchmark 0.0% 0.0% 0.0% -4.9% 1.2% -3.1% 2.5% -5.3% -0.1% -3.1% -15.0% -1.9% -24.9%
Relative Return 0.0% 0.0% 0.0% 15.6% -10.2% 4.5% 1.3% 11.6% 3.2% 5.6% 7.7% -2.4% 30.7%
 
2021 Strategy -6.7% -1.8% 0.9% 3.9% 1.9% 0.9% 0.5% 1.1% -2.4% 4.7% -4.5% 1.6% -0.6%
Benchmark 1.4% -11.0% -0.5% -1.3% -1.9% 2.0% 1.8% -0.8% -0.4% -1.4% 1.9% 3.9% -6.8%
Relative Return -8.1% 9.2% 1.4% 5.2% 3.8% -1.1% -1.4% 2.0% -2.0% 6.1% -6.4% -2.4% 6.2%
 
2022 Strategy -1.7% -1.2% 3.5% -4.3% -1.6% -6.5% -3.8% -2.9% 2.8% -1.4% -20.6% 4.1% -30.8%
Benchmark 5.2% -4.5% 2.6% 8.5% 1.8% 7.6% -8.4% -0.9% 2.8% 1.9% -0.3% 3.7% 20.5%
Relative Return -6.9% 3.2% 0.9% -12.8% -3.3% -14.1% 4.6% -2.1% -0.0% -3.3% -20.3% 0.4% -51.3%
 
2023 Strategy -5.9% -2.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -8.4%
Benchmark -6.4% -4.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -10.3%
Relative Return 0.4% 1.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.9%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 N/A N/A N/A 154.3% 200.0% 106.6% 77.5% 45.8% 21.8% 4.6% 212.8% 92.9% 916.3%
2021 48.6% 518.7% 234.6% 84.4% 118.2% 77.9% 168.5% 164.5% 183.6% 194.5% 165.5% 225.9% 2,184.7%
2022 231.3% 194.4% 242.4% 149.9% 221.9% 240.5% 149.9% 103.1% 68.8% 0.0% 0.0% 0.0% 1,602.3%
2023 0.0% 0.0% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.0%
  

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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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