Model: News Feed Sentiment Long Only Adaptive

Performance 10/16/20 - 6/18/21
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Investment Approach
About Benzinga: Benzinga is a dynamic and innovative financial media outlet that empowers investors with high-quality, unique content that is sought after by Wall Street’s top traders. Benzinga provides timely, actionable ideas that help users navigate even the most uncertain and volatile markets in real-time.

Benzinga Multi-Factor News Sentiment Model: The 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 factors to identify promising long positions from the Russell 1000 universe. The model retrains dynamically on a roll forward basis to consider most relevant features 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) 10/16/20 to 6/18/21
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 39.65% 19.61% 22.84% 10.93%
Rel. Return 20.04% N/A 11.91% N/A
Beta 0.99 N/A 0.98 N/A
Std. Dev 1.08% 0.90% 1.04% 0.84%
Sharpe 3.00 1.79 2.76 1.43
Draw Down 6.14% 6.14% 5.14% 4.23%
IR 2.66 N/A 2.63 N/A
0.68 N/A 0.63 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 64.54% N/A N/A N/A N/A
Std. Dev 1.08% N/A N/A N/A N/A
Ann. Volatility 17.07% N/A 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 0.00% 0.00% 0.00% -6.10% 14.54% 5.70% 0.26% 6.99% 5.19% 5.90% 1.88% 0.90% 39.65%
Benchmark 0.00% 0.00% 0.00% -6.14% 10.75% 3.71% -1.11% 2.61% 4.24% 5.24% 0.55% -0.90% 19.59%
Rel. Return 0.00% 0.00% 0.00% 0.03% 3.79% 1.99% 1.38% 4.38% 0.94% 0.66% 1.33% 1.80% 20.05%
Perspective on Performance
This is a long-only model for investing in stocks from the Russell 1000 index based on features derived from Benzinga’s news dataset, which aggregates from thousands of sources. The model retrains every two months. The backtest considers transaction costs and slippage. See report for additional details.
  
Model: News Feed Sentiment Long Only Adaptive

Model: News Feed Sentiment Long Only Adaptive

Strategy Performance Analysis by Neuravest
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions1,287
Commissions$3,256.35
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$3,256.35

Professional Fee Rates:
Management Fee0.40%
Hurdle Rate8.00%
Performance10.00%

Professional Fee Totals:
Management Fee$2,696.73
Performance Fee$5,364.09
Total Professional Fees$8,060.81
Benchmark Relative Metrics:
Beta0.99
Information Ratio2.66
R^20.68
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: News Feed Sentiment Long Only Adaptive39.65%3.004.56 0.40 1.08% 6.14%
S&P 50019.61%1.792.31 0.00 0.90% 6.14%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: News Feed Sentiment Long Only Adaptive$991,156.77$1,384K$392,989.10 64.54%
S&P 500$3,483.34$4,166.45$683.11 30.58%

Performance Metrics By Year
2020 2021
ReturnStrategy 13.68% 22.84%
S&P 500 7.83% 10.93%
Winning DaysStrategy 49.06% 55.17%
S&P 500 52.83% 43.97%
SharpeStrategy 3.47 2.76
S&P 500 2.46 1.43
SortinoStrategy 5.84 3.96
S&P 500 3.10 1.87
Max DDStrategy 6.14% 5.14%
S&P 500 6.14% 4.23%
AlphaStrategy 0.14 0.23
S&P 500 0.00 0.00
St. Dev.Strategy 1.16% 1.04%
S&P 500 1.01% 0.84%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2020 Strategy 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -6.10% 14.54% 5.70% 13.68%
Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -6.14% 10.75% 3.71% 7.83%
Relative Return 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.03% 3.79% 1.99% 5.85%
 
2021 Strategy 0.26% 6.99% 5.19% 5.90% 1.88% 0.90% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 22.84%
Benchmark -1.11% 2.61% 4.24% 5.24% 0.55% -0.90% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 10.93%
Relative Return 1.38% 4.38% 0.94% 0.66% 1.33% 1.80% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 11.91%
 
  

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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 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).

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  • Actual price was available for execution
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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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