Model: Trifecta_Long_SL

Performance 4/29/22 - 2/2/23
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Investment Approach
Model: Trifecta_Long_SL
Performance Versus Benchmark (S&P 500 Total Return) 4/29/22 to 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return -2.8% -2.5% 5.9% 8.9%
Rel. Return -0.3% N/A -2.9% N/A
Beta 0.73 N/A 0.33 N/A
Ann. Volatility 19.7% 24.1% 9.0% 16.4%
Sharpe -0.30 0.40 3.38 5.29
Drawdown -17.3% -16.9% -3.0% -2.5%
IR -1.62 N/A -4.21 N/A
Tracking Error 9.7% N/A 13.5% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return -3.7% N/A N/A N/A N/A
Ann. Volatility 19.7% 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% 0.0% -4.2% -2.0% 3.7% -5.2% -7.2% 7.7% 5.1% -5.4% 3.3% 2.5% -2.8%
Benchmark 0.0% 0.0% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% 6.2% 2.5% 1.2%
Rel. Return 0.0% 0.0% -4.2% 6.4% -5.5% -1.0% 2.2% -0.2% -0.2% 0.5% -2.8% -0.0% -4.0%
Perspective on Performance
  
Model: Trifecta_Long_SL

Model: Trifecta_Long_SL

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: Trifecta_Long_SL$97,366K$94,641K$94,641K -3.7%
S&P 500$4,287.50$4,179.76($107.74) 1.5%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Trifecta_Long_SL-2.8%-0.30-0.46 19.7% 17.3%
S&P 500-2.5%0.400.61 24.1% 16.9%

Transaction Cost:
Number of Transactions2,008
Total Commissions ($0.0 per share, $0.0 min per trade)$0
Slippage$81,591
Borrowing CostsN/A
Total Transaction Costs$81,591

Professional Fees:
Management Fee (0.4%)N/A
Performance Fee (Hurdle 8.0% / Performance 10.0%)
Total Professional Fees
Benchmark Relative Metrics:
Beta0.73
Information Ratio-1.62
Annualized Tracking Error9.7%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 415 (35.5%) 1 (50.0%) 416 (35.6%)
Avg Gain 8.48% 17.79% 8.50%
Avg Hold Time 2 months 3 months 2 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 753 (64.5%) 1 (50.0%) 754 (64.4%)
Avg Loss -9.03% -6.81% -9.03%
Avg Hold Time 1 months 1 months 1 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AAPL Jun 14, 2022 9:30:03 AM Dec 19, 2022 11:06:38 AM 6 months 21.0% $296,761.62 0.3%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
AAPL Apr 29, 2022 9:30:14 AM May 12, 2022 9:30:01 AM 1 weeks -11.8% ($582,664.54) -0.6%

Best Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
ALLY Jun 14, 2022 9:30:01 AM Oct 3, 2022 9:30:35 AM 3 months 17.8% $39,357.21 0.0%

Worst Short Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
OC Jun 14, 2022 9:30:02 AM Aug 4, 2022 9:30:43 AM 1 months -6.8% ($15,362.63) -0.0%

Performance Metrics By Year
2022 2023
ReturnStrategy -8.2% 5.9%
S&P 500 -10.4% 8.9%
Winning DaysStrategy 45.3% 22.7%
S&P 500 42.4% 54.5%
SharpeStrategy -0.52 3.38
S&P 500 -0.01 5.29
SortinoStrategy -0.82 3.28
S&P 500 -0.02 9.19
Max DDStrategy 17.3% 3.0%
S&P 500 16.9% 2.5%
Ann. VolatilityStrategy 20.7% 9.0%
S&P 500 24.9% 16.4%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2022 Strategy 0.0% 0.0% 0.0% 0.0% -4.2% -2.0% 3.7% -5.2% -7.2% 7.7% 5.1% -5.4% -8.2%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% -10.4%
Relative Return 0.0% 0.0% 0.0% 0.0% -4.2% 6.4% -5.5% -1.0% 2.2% -0.2% -0.2% 0.5% 2.2%
 
2023 Strategy 3.3% 2.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.9%
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 -2.8% -0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -2.9%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2022 N/A N/A N/A 50.7% 27.8% 44.0% 2.8% 58.3% 10.6% 29.2% 20.2% 16.3% 260.0%
2023 13.1% 18.9% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 32.0%
  

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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.

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