Model: Benzinga News Feed Sentiment Adaptive

Performance 10/16/20 - 12/2/22
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Investment Approach
News Feed Sentiment Adaptive Background:

News Feed Sentiment Adaptive is a portfolio powered by Benzinga, a dynamic and innovative financial media outlet that empowers investors with high-quality, unique content that is sought after by Wall Street’s traders.
Benzinga provides timely, actionable ideas that help investors navigate even the most uncertain and volatile markets in real-time.

News Feed Sentiment Adaptive Technology and Model:

This long-only model uses derived features related to news sentiment, news volume, change in news sentiment, and change in news volume in conjunction with additional fundamental and technical factors to identify long positions from the Russell 1000 universe.
The model is dynamic by which it retrains its features and feature values on a roll forward basis to consider the most relevant data and account for changes in market regime. The goal of the strategy is to outperform the Russell 1000 index in risk-adjusted returns measured via Sharpe ratio.

Performance Versus Benchmark (S&P 500 Total Return) 10/16/20 to 12/2/22
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 10.4% 16.9% -20.1% -14.6%
Rel. Return -6.5% N/A -5.6% N/A
Beta 0.65 N/A 0.52 N/A
Ann. Volatility 16.4% 19.1% 16.3% 24.5%
Sharpe 0.44 0.58 -1.24 -0.39
Drawdown -27.7% -25.4% -21.0% -25.4%
IR -0.31 N/A -0.70 N/A
Tracking Error 12.6% N/A 15.5% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return -18.3% -0.9% 4.7% N/A N/A
Ann. Volatility 16.4% 15.9% 16.4% N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
Strategy -5.4% 0.3% 4.6% -6.6% -1.6% -8.7% 1.6% -0.8% -2.9% 0.8% -2.8% 0.0% -20.1%
Benchmark -5.3% -3.1% 3.6% -8.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -0.2% -14.6%
Rel. Return -0.1% 3.4% 1.0% 2.2% -1.6% -0.4% -7.5% 3.5% 6.5% -7.2% -8.1% 0.2% -5.6%
Perspective on Performance
Order Failure [2022-11-16 09:30:13.668653] (<6578040F>: Sell To Close 0/53.00 LDOS ): Not enough shares open for close transaction: Closing Transaction: EquityTransaction: 2022-11-16 09:30:13.668653 Sell To Close 53.00 shares of LDOS to close at 105.00879669189453 Currently Open Transactions: EquityTransaction: 2022-11-09 09:30:09.858802 Buy To Open 50.00 shares of LDOS to open at 108.62000274658203(0 remaining) EquityTransaction: 2022-11-11 09:31:12.748020 Buy To Open 1.00 shares of LDOS to open at 106.93499755859375(0 remaining)
  
Model: Benzinga News Feed Sentiment Adaptive

Model: Benzinga News Feed Sentiment 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: Benzinga News Feed Sentiment Adaptive$991,157$1,094K$102,879 4.7%
S&P 500$3,483.34$4,071.70$588.36 7.6%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Benzinga News Feed Sentiment Adaptive10.4%0.440.59 16.4% 27.7%
S&P 50016.9%0.580.82 19.1% 25.4%

Transaction Cost:
Number of Transactions6,592
Total Commissions ($0.0035 per share, $2.95 min per trade)$17,014
Slippage($311)
Borrowing CostsN/A
Total Transaction Costs$16,703

Professional Fees:
Management Fee (0.4%)$2,697
Performance Fee (Hurdle 8.0% / Performance 10.0%) $5,364
Total Professional Fees$8,061
Benchmark Relative Metrics:
Beta0.65
Information Ratio-0.31
Annualized Tracking Error12.6%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 1,858 (50.5%) 211 (49.5%) 2,069 (50.4%)
Avg Gain 10.06% 2.40% 9.28%
Avg Hold Time 1 months 4 days 1 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 1,823 (49.5%) 215 (50.5%) 2,038 (49.6%)
Avg Loss -6.76% -1.57% -6.21%
Avg Hold Time 1 months 1 days 4 weeks

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
LYFT Oct 21, 2020 9:30:30 AM Apr 23, 2021 2:54:40 PM 6 months 154.7% $7,764.88 0.8%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AAPL Jan 21, 2022 9:30:13 AM May 11, 2022 1:04:58 PM 3 months -9.4% ($23,359.44) -1.8%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
TXG Jan 18, 2022 2:36:06 PM Jun 22, 2022 9:57:39 AM 5 months 56.2% $2,448.75 0.2%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
GWW Aug 3, 2022 3:17:55 PM Aug 4, 2022 9:30:45 AM 18 hours -13.1% ($692.23) -0.1%

Performance Metrics By Year
2020 2021 2022
ReturnStrategy 13.7% 21.6% -20.1%
S&P 500 7.8% 26.9% -14.6%
Winning DaysStrategy 49.1% 51.6% 47.0%
S&P 500 52.8% 56.7% 43.1%
SharpeStrategy 3.47 1.31 -1.24
S&P 500 2.34 1.88 -0.39
SortinoStrategy 5.84 2.00 -1.41
S&P 500 3.01 2.67 -0.60
Max DDStrategy 6.1% 12.8% 21.0%
S&P 500 6.1% 5.2% 25.4%
Ann. VolatilityStrategy 18.4% 15.8% 16.3%
S&P 500 16.1% 13.1% 24.5%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -6.1% 14.5% 5.7% 13.7%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -6.1% 10.8% 3.7% 7.8%
Relative Return 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 3.8% 2.0% 5.9%
 
2021 Strategy 0.3% 7.0% 5.2% 5.9% 1.9% 3.3% -0.4% 1.7% -3.1% 6.2% -6.6% -0.7% 21.6%
Benchmark -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% 26.9%
Relative Return 1.4% 4.4% 0.9% 0.7% 1.3% 1.1% -2.7% -1.2% 1.7% -0.8% -5.7% -5.1% -5.3%
 
2022 Strategy -5.4% 0.3% 4.6% -6.6% -1.6% -8.7% 1.6% -0.8% -2.9% 0.8% -2.8% 0.0% -20.1%
Benchmark -5.3% -3.1% 3.6% -8.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -0.2% -14.6%
Relative Return -0.1% 3.4% 1.0% 2.2% -1.6% -0.4% -7.5% 3.5% 6.5% -7.2% -8.1% 0.2% -5.6%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 N/A N/A N/A N/A N/A N/A N/A N/A N/A 62.2% 21.5% 8.8% 92.5%
2021 12.8% 13.0% 18.5% 59.7% 102.5% 5.4% 4.2% 3.1% 2.9% 1.1% 21.9% 11.7% 256.8%
2022 21.8% 26.8% 15.3% 6.6% 65.8% 71.5% 64.2% 110.1% 204.9% 115.6% 83.2% 0.0% 785.7%
  

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