Model: ESG Index Adaptive

Performance 2/17/21 - 6/27/22
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Investment Approach
About ESG Index Adaptive:
ESG Adaptive is portfolio predicated on a pre-qualified set of ESG friendly constituents from the Russell 1000 and S&P 500. The list was carefully crafted to identify companies who put forth emphasis on exercising environmentally friendly policies and practices.

ESG Adaptive Model: The long-only models are constructed dynamically once a month adjusting to the most recent market condition and data.
We use ranked technical and fundamental features normalized to market cap size and are geared to identify abnormal inflection points when compared against their peers. 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 SPXTR (SP 500 Total Return, which accounts for dividends, splits and reverse splits), in both total return and risk adjusted return (lower volatility).

Performance Versus Benchmark (S&P 500 Total Return) 2/17/21 to 6/27/22
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 15.0% -0.8% -6.6% -18.2%
Rel. Return 15.8% N/A 11.6% N/A
Beta 0.83 N/A 0.80 N/A
Ann. Volatility 18.7% 17.5% 26.1% 23.5%
Sharpe 0.64 0.06 -0.42 -1.63
Drawdown -20.6% -23.6% -20.6% -23.6%
IR 0.89 N/A 1.47 N/A
Tracking Error 12.1% N/A 18.6% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 5.6% 10.8% N/A N/A N/A
Ann. Volatility 20.2% 18.7% 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 2.2% 1.4% -4.0% 6.3% 0.9% 5.5% -4.9% 3.7% 10.0% -5.1% 2.0% -11.0% 5.2%
Benchmark 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% -5.3% -3.1% 3.6% -8.8% 0.0% -5.6% -9.2%
Rel. Return -0.1% -1.5% 0.8% -0.6% 1.7% 1.2% 0.3% 6.9% 6.4% 3.7% 2.0% -5.4% 14.4%
Perspective on Performance
  
Model: ESG Index Adaptive

Model: ESG Index 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: ESG Index Adaptive$999,285$1,149K$149,624 10.8%
S&P 500$3,932.59$3,900.11($32.48) -0.6%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: ESG Index Adaptive15.0%0.640.81 18.7% 20.6%
S&P 500-0.8%0.060.08 17.5% 23.6%

Transaction Cost:
Number of Transactions871
Total Commissions ($0.0035 per share, $6.95 min per trade)$2,933
Slippage($67)
Borrowing CostsN/A
Total Transaction Costs$2,865
Benchmark Relative Metrics:
Beta0.83
Information Ratio0.89
Annualized Tracking Error12.1%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 221 (72.2%) 0 (N/A) 221 (72.2%)
Avg Gain 12.25% 0.00% 12.25%
Avg Hold Time 2 months less than a second 2 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 85 (27.8%) 0 (N/A) 85 (27.8%)
Avg Loss -7.88% 0.00% -7.88%
Avg Hold Time 1 months less than a second 1 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AMD May 4, 2021 9:30:44 AM Nov 9, 2021 10:44:37 AM 6 months 90.9% $11,590.69 1.1%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
APA Jun 28, 2021 9:30:13 AM Jul 21, 2021 3:07:59 PM 3 weeks -16.4% ($6,579.32) -0.6%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

Performance Metrics By Year
2021 2022
ReturnStrategy 23.0% -6.6%
S&P 500 21.2% -18.2%
Winning DaysStrategy 55.9% 50.4%
S&P 500 55.9% 38.0%
SharpeStrategy 1.89 -0.42
S&P 500 1.77 -1.63
SortinoStrategy 2.99 -0.56
S&P 500 2.63 -2.30
Max DDStrategy 5.1% 20.6%
S&P 500 5.2% 23.6%
Ann. VolatilityStrategy 13.0% 26.1%
S&P 500 12.8% 23.5%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2021 Strategy 0.0% -1.8% 2.9% 4.2% 4.0% -0.2% 2.2% 1.4% -4.0% 6.3% 0.9% 5.5% 23.0%
Benchmark 0.0% -3.1% 4.2% 5.2% 0.5% 2.2% 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% 21.2%
Relative Return 0.0% 1.3% -1.4% -1.0% 3.5% -2.4% -0.1% -1.5% 0.8% -0.6% 1.7% 1.2% 1.9%
 
2022 Strategy -4.9% 3.7% 10.0% -5.1% 2.0% -11.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -6.6%
Benchmark -5.3% -3.1% 3.6% -8.8% 0.0% -5.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -18.2%
Relative Return 0.3% 6.9% 6.4% 3.7% 2.0% -5.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 11.6%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2021 N/A 51.8% 39.4% 2.0% 104.6% 10.4% 3.6% 0.0% 0.1% 0.1% 75.2% 5.6% 292.8%
2022 34.5% 3.0% 0.1% 0.0% 0.0% 10.5% N/A N/A N/A N/A N/A N/A 48.1%
  

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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.

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 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.

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).

Neuravest Research and its affiliates do not provide tax, legal or accounting advice. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for, tax, legal or accounting advice. You should consult your personal tax, legal and accounting advisors before engaging in any transaction.

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 an 8% hurdle. 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.

Performance fees may vary depending upon executed leverage.

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