Model: Adaptive Trifecta Fund

Performance 4/4/22 - 6/21/24
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Investment Approach
The Adaptive Trifecta fund is a multi-leg strategy that combines three best of breed thematic portfolios - each is based on uncorrelated alternative data sources.
It is designed to win in any market by which its short hedge can be tilted with a wide range of net exposure. Including being net short.

Long Leg

  • Long leg is constructed using the intersection of OWL, ISS and Dow Jones Newswires.
  • The constituents are weighted by the market cap.
  • All the holdings are subject to 5% max allocation constraint.

Hedge selection using Machine Learning

  • Universe is highly liquid ETFs representing sectors / or asset classes
  • Supervised Machine Learning is trained by ranking the sectors based on their projected one-month performance.
  • Features include Technical, Volatility and Global Macro
  • Bottom sectors that projected to perform the worst are labelled as short.

Hedge Allocation

ETFs selected by ML model are equally allocated but dynamically tilted based on the performance of the long leg.
Performance Versus Benchmark (S&P 500 Total Return) 4/4/22 to 6/21/24
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 17.8% 20.2% 1.4% 14.6%
Rel. Return -2.4% N/A -13.2% N/A
Beta 0.80 N/A 0.99 N/A
Ann. Volatility 18.1% 17.8% 22.7% 10.8%
Sharpe 0.48 0.54 0.16 2.69
Drawdown -13.9% -21.9% -13.4% -5.5%
IR -0.07 N/A -1.29 N/A
Tracking Error 11.6% N/A 19.9% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 10.7% 14.3% 7.7% N/A N/A
Ann. Volatility 17.8% 18.2% 18.1% 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 3.7% -2.1% -5.5% -2.8% 8.9% 5.5% 2.3% 5.2% 3.7% -4.3% 5.2% -9.8% 8.5%
Benchmark 3.1% -1.8% -4.9% -2.2% 8.9% 4.4% 1.6% 5.2% 3.1% -4.2% 4.8% 3.5% 22.8%
Rel. Return 0.6% -0.4% -0.6% -0.6% -0.0% 1.0% 0.7% 0.0% 0.6% -0.2% 0.4% -13.3% -14.3%
Perspective on Performance

Note: On 5/31/2022 we've deployed a new version that improved the hedge allocation, the hedge will always have a minimum of three ETFs and improved the hedge timing and allocation of the short tilt logic based on market conditions vs. based on predetermined time interval (previously)

Trifecta Startegy version 1 (Old version) https://quantdesk.lucenaresearch.com/lr/backTest/performanceReport/183314?authHash=b484ea1579014635b37a7ced82e6293c&summaryOnly=true

  
Model: Adaptive Trifecta Fund

Model: Adaptive Trifecta Fund

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: Adaptive Trifecta Fund$99,788K$117,588K$117,588K 7.7%
S&P 500$4,545.86$5,464.62$918.76 8.3%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Adaptive Trifecta Fund17.8%0.480.55 18.1% 13.9%
S&P 50020.2%0.540.76 17.8% 21.9%

Transaction Cost:
Number of Transactions2,389
Total Commissions ($0.0 per share, $0.0 min per trade)$0
Slippage$92,614
Borrowing CostsN/A
Total Transaction Costs$92,614
Benchmark Relative Metrics:
Beta0.80
Information Ratio-0.07
Annualized Tracking Error11.6%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 72 (29.9%) 4 (100.0%) 76 (31.0%)
Avg Gain 3.97% 5.56% 4.10%
Avg Hold Time 2 months 1 months 2 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 169 (70.1%) N/A (N/A) 169 (69.0%)
Avg Loss -8.00% 0.00% -8.00%
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
UNH Apr 4, 2022 12:32:27 PM Apr 27, 2022 12:00:47 PM 3 weeks 4.2% $122,997.60 0.1%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
NVDA Apr 4, 2022 12:32:30 PM Apr 27, 2022 12:00:50 PM 3 weeks -31.2% ($1,284,972.91) -1.3%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
XLP Apr 27, 2022 12:00:50 PM Jun 3, 2022 9:53:34 AM 1 months 6.2% $2,739,663.22 2.9%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
XLU Apr 7, 2022 10:45:51 AM Apr 27, 2022 12:00:49 PM 2 weeks 3.7% $242,723.98 0.2%

Performance Metrics By Year
2022 2023 2024
ReturnStrategy -2.9% 19.6% 1.4%
S&P 500 -15.5% 24.2% 14.6%
Winning DaysStrategy 47.9% 54.4% 56.3%
S&P 500 42.0% 54.8% 55.0%
SharpeStrategy -0.09 1.42 0.16
S&P 500 -0.82 1.74 2.69
SortinoStrategy -0.16 2.43 0.13
S&P 500 -1.29 2.85 4.28
Max DDStrategy 13.9% 11.8% 13.4%
S&P 500 21.9% 10.3% 5.5%
Ann. VolatilityStrategy 20.4% 13.3% 22.7%
S&P 500 25.2% 13.1% 10.8%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2022 Strategy 0.0% 0.0% 0.0% -6.0% 2.3% -6.2% 8.8% -3.4% -7.2% 8.6% 6.8% -4.8% -2.9%
Benchmark 0.0% 0.0% 0.0% -9.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% -15.5%
Relative Return 0.0% 0.0% 0.0% 3.8% 2.3% 2.2% -0.3% 0.8% 2.1% 0.7% 1.5% 1.1% 12.7%
 
2023 Strategy 5.2% -2.7% 2.7% 1.0% -0.5% 5.9% 3.7% -2.1% -5.5% -2.8% 8.9% 5.5% 19.6%
Benchmark 6.2% -2.6% 3.5% 1.5% 0.2% 6.5% 3.1% -1.8% -4.9% -2.2% 8.9% 4.4% 24.2%
Relative Return -1.0% -0.1% -0.9% -0.5% -0.8% -0.6% 0.6% -0.4% -0.6% -0.6% -0.0% 1.0% -4.6%
 
2024 Strategy 2.3% 5.2% 3.7% -4.3% 5.2% -9.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.4%
Benchmark 1.6% 5.2% 3.1% -4.2% 4.8% 3.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 14.6%
Relative Return 0.7% 0.0% 0.6% -0.2% 0.4% -13.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -13.2%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2022 N/A N/A N/A 135.1% 0.0% 113.3% 55.9% 80.0% 10.9% 22.6% 14.2% 0.1% 432.1%
2023 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.9%
2024 0.0% 0.1% 0.1% 0.1% 0.0% 0.0% N/A N/A N/A N/A N/A N/A 0.3%
  

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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).

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  • Capacity and daily float was supportive of volume traded.
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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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Asset allocation/diversification or hedging does not guarantee a profit or protect against a loss.

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