Pynk Long-Short Gold (B1)

Performance 8/13/20 - 10/27/21
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Investment Approach
About Pynk: Pynk (pynk.io) is a crowdsourced investment platform. With thousands of users in over 100 countries, they generate thousands of predictions per day on gold prices, Bitcoin, and NASDAQ. Pynk helps financial institutions and money managers reduce risk and uncertainty when making investment decisions.

Pynk Directional Gold Price Prediction Model: The model identifies optimal conditions for going long or short in gold, or alternatively, holding cash (with neutral sentiment). The model is created by taking filtered sets of aggregated user predictions from Pynk high-performing "super-users". Models are identified and retrained in a roll forward basis to account for change in market regime. The goal of the strategy is to outperform the (long) return for gold in risk-adjusted returns measured via Sharpe ratio.
Performance Versus Benchmark (SPDR Gold Shares Total Return) 8/13/20 to 10/27/21
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 4.8% -6.3% 4.9% -5.9%
Rel. Return 11.1% N/A 10.8% N/A
Beta 0.42 N/A 0.35 N/A
Ann. Volatility 10.7% 14.3% 10.0% 13.2%
Sharpe 0.43 -0.13 0.64 0.13
Drawdown 7.7% 16.3% 7.7% 13.9%
IR 0.53 N/A 0.39 N/A
Tracking Error 12.0% N/A 12.3% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 2.3% 4.0% N/A N/A N/A
Ann. Volatility 10.8% 10.7% N/A N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Total
Strategy 0.4% -0.1% 2.8% -2.3% 1.5% 2.5% 5.7% -3.1% -1.5% -0.2% 0.1% -0.5% 5.2%
Benchmark -5.4% 7.0% -3.2% -6.3% -1.1% 3.6% 7.7% -7.1% 2.5% -0.1% -3.2% 2.2% -4.7%
Rel. Return 5.8% -7.1% 6.0% 4.0% 2.7% -1.1% -2.0% 4.1% -4.1% -0.1% 3.3% -2.7% 9.9%
Perspective on Performance
This is a long-short model for gold investment based on features from Pynk's gold price prediction data, which comes from thousands of users in over 100 countries. The model is retrained daily using all prior data. The model uses a trailing stop loss based on historical volatility to mitigate draw downs. The backtest considers transaction costs and slippage. See report for additional details. This model takes the output of aggregated predictions from "super-users" and converts them into 3 signals (long, short, cash). Allocations are binary (long, short, or in cash). A minimum of 50 historical predictions are required per super-user.
  
Pynk Long-Short Gold (B1)

Pynk Long-Short Gold (B1)

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
Pynk Long-Short Gold (B1)$1,006K$1,055K$48,304 3.9%
SPDR Gold Shares$179.10$167.84($11.26) -7.0%
XAU to USD Exchange Rate$1,915.91$1,795.18($120.73) -6.6%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Pynk Long-Short Gold (B1)4.8%0.430.44 10.7% 7.7%
SPDR Gold Shares-6.3%-0.13-0.15 14.3% 16.3%
XAU to USD Exchange Rate-6.3%-0.43-0.55 13.5% 15.8%

Transaction Cost:
Number of Transactions183
Total Commissions ($0.0 per share, $0.0 min per trade)$0
Slippage$0
Borrowing CostsN/A
Total Transaction Costs$0
Benchmark Relative Metrics:
Beta0.42
Information Ratio0.53
Annualized Tracking Error12.0%

Performance Metrics By Year
2020 2021
ReturnStrategy -0.1% 4.9%
SPDR Gold Shares -0.4% -5.9%
XAU to USD Exchange Rate -0.9% -5.5%
Winning DaysStrategy 38.8% 32.4%
SPDR Gold Shares 48.0% 43.0%
XAU to USD Exchange Rate 50.0% 47.8%
SharpeStrategy 0.05 0.64
SPDR Gold Shares -0.56 0.13
XAU to USD Exchange Rate -0.45 -0.41
SortinoStrategy 0.04 0.77
SPDR Gold Shares -0.66 0.15
XAU to USD Exchange Rate -0.55 -0.56
Max DDStrategy 6.3% 7.7%
SPDR Gold Shares 11.4% 13.9%
XAU to USD Exchange Rate 10.5% 13.5%
Ann. VolatilityStrategy 12.1% 10.0%
SPDR Gold Shares 16.5% 13.2%
XAU to USD Exchange Rate 14.6% 13.1%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.1% 1.7% -4.0% 0.4% -0.1% -0.1%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.8% -4.2% -0.5% -5.4% 7.0% -0.4%
Relative Return 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.3% 5.8% -3.5% 5.8% -7.1% 0.4%
 
2021 Strategy 2.8% -2.3% 1.5% 2.5% 5.7% -3.1% -1.5% -0.2% 0.1% -0.5% 0.0% 0.0% 4.9%
Benchmark -3.2% -6.3% -1.1% 3.6% 7.7% -7.1% 2.5% -0.1% -3.2% 2.2% 0.0% 0.0% -5.9%
Relative Return 6.0% 4.0% 2.7% -1.1% -2.0% 4.1% -4.1% -0.1% 3.3% -2.7% 0.0% 0.0% 10.8%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 N/A N/A N/A N/A N/A N/A N/A 350.6% 399.3% 604.2% 400.4% 599.0% 2,353.4%
2021 646.3% 643.7% 796.6% 500.4% 500.0% 453.4% 350.0% 150.2% 549.2% 599.8% N/A N/A 5,189.5%
  

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Investment advisory services provided by Neuravest Research Inc., a registered investment adviser. Registration as an investment adviser does not imply a certain level of skill or training. Nothing presented herein has been approved or verified by the United States Securities and Exchange Commission or by any self regulatory organization (SRO), or state securities authority.

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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 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 10% 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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