Model: Adaptive Trifecta Fund

Performance 4/4/22 - 2/2/23
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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 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 10.1% -8.1% 13.3% 8.9%
Rel. Return 18.1% N/A 4.5% N/A
Beta 0.72 N/A 0.89 N/A
Ann. Volatility 20.0% 24.2% 15.6% 15.9%
Sharpe 0.30 -0.21 4.68 4.39
Drawdown -13.9% -21.9% -2.7% -2.5%
IR 0.96 N/A 0.46 N/A
Tracking Error 11.7% N/A 6.6% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 12.2% N/A N/A N/A N/A
Ann. Volatility 20.0% N/A N/A N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Total
Strategy 0.0% -6.0% 2.3% -6.2% 8.8% -3.4% -7.2% 8.6% 6.8% -4.8% 10.8% 2.3% 10.1%
Benchmark 0.0% -9.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% 6.2% 2.5% -8.8%
Rel. Return 0.0% 3.8% 2.3% 2.2% -0.3% 0.8% 2.1% 0.7% 1.5% 1.1% 4.7% -0.3% 18.9%
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$109,863K$109,863K 12.2%
S&P 500$4,545.86$4,179.76($366.10) -10.5%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Adaptive Trifecta Fund10.1%0.300.52 20.0% 13.9%
S&P 500-8.1%-0.21-0.32 24.2% 21.9%

Transaction Cost:
Number of Transactions1,924
Total Commissions ($0.0 per share, $0.0 min per trade)$0
Slippage$92,614
Borrowing CostsN/A
Total Transaction Costs$92,614

Professional Fees:
Management Fee (0.4%)N/A
Performance Fee (Hurdle 8.0% / Performance 10.0%)
Total Professional Fees
Benchmark Relative Metrics:
Beta0.72
Information Ratio0.96
Annualized Tracking Error11.7%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 417 (48.0%) 69 (71.1%) 486 (50.3%)
Avg Gain 6.09% 5.71% 6.04%
Avg Hold Time 1 months 1 weeks 1 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 452 (52.0%) 28 (28.9%) 480 (49.7%)
Avg Loss -8.18% -6.39% -8.08%
Avg Hold Time 1 months 2 weeks 1 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AAPL Jun 1, 2022 9:37:17 AM Aug 4, 2022 9:30:50 AM 2 months 9.9% $133,078.34 0.1%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
NVDA Apr 4, 2022 12:32:30 PM Aug 4, 2022 9:30:50 AM 4 months -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
XLY Jul 21, 2022 9:30:13 AM Aug 18, 2022 9:30:25 AM 4 weeks -11.7% ($434,627.94) -0.5%

Performance Metrics By Year
2022 2023
ReturnStrategy -2.9% 13.3%
S&P 500 -15.5% 8.9%
Winning DaysStrategy 47.9% 59.1%
S&P 500 41.5% 50.0%
SharpeStrategy -0.09 4.68
S&P 500 -0.56 4.39
SortinoStrategy -0.16 8.19
S&P 500 -0.85 7.40
Max DDStrategy 13.9% 2.7%
S&P 500 21.9% 2.5%
Ann. VolatilityStrategy 20.4% 15.6%
S&P 500 25.0% 15.9%
  

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 10.8% 2.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 13.3%
Benchmark 6.2% 2.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 8.9%
Relative Return 4.7% -0.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.5%
 
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 0.0% 0.0% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.0%
  

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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).

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 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.

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