Model: Trifecta_Long_SL

Performance 4/29/22 - 7/19/24
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Investment Approach
Model: Trifecta_Long_SL
Performance Versus Benchmark (S&P 500 Total Return) 4/29/22 to 7/19/24
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 25.7% 28.4% 15.9% 15.4%
Rel. Return -2.7% N/A 0.5% N/A
Beta 0.83 N/A 1.00 N/A
Ann. Volatility 15.4% 17.2% 11.3% 10.7%
Sharpe 0.73 0.84 2.34 2.48
Drawdown -17.3% -16.9% -6.3% -5.5%
IR -0.57 N/A -0.11 N/A
Tracking Error 5.6% N/A 3.4% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 21.2% 14.8% 10.9% N/A N/A
Ann. Volatility 12.0% 15.1% 15.4% N/A N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Total
Strategy -2.7% -5.6% -3.3% 9.7% 6.5% 2.1% 4.8% 3.5% -4.4% 4.8% 3.1% 1.3% 20.2%
Benchmark -1.8% -4.9% -2.2% 8.9% 4.4% 1.6% 5.2% 3.1% -4.2% 4.8% 3.5% 0.8% 20.0%
Rel. Return -0.9% -0.7% -1.1% 0.8% 2.1% 0.6% -0.4% 0.4% -0.3% -0.0% -0.4% 0.4% 0.3%
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$122,411K$122,411K 10.9%
S&P 500$4,287.50$5,505.00$1,217.50 13.8%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Model: Trifecta_Long_SL25.7%0.731.10 15.4% 17.3%
S&P 50028.4%0.841.21 17.2% 16.9%

Transaction Cost:
Number of Transactions3,067
Total Commissions ($0.0 per share, $0.0 min per trade)$0
Slippage$89,487
Borrowing CostsN/A
Total Transaction Costs$89,487
Benchmark Relative Metrics:
Beta0.83
Information Ratio-0.57
Annualized Tracking Error5.6%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 5 (12.5%) N/A (N/A) 5 (12.5%)
Avg Gain 6.53% 0.00% 6.53%
Avg Hold Time 5 months less than a second 5 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 35 (87.5%) N/A (N/A) 35 (87.5%)
Avg Loss -8.34% 0.00% -8.34%
Avg Hold Time 2 months less than a second 2 months

Best Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
GILD Apr 29, 2022 9:30:13 AM Aug 11, 2022 9:30:43 AM 3 months 9.1% $65,710.55 0.1%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
MA Apr 29, 2022 9:30:03 AM May 9, 2022 11:16:45 AM 1 weeks -12.3% ($426,268.86) -0.4%

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
2022 2023 2024
ReturnStrategy -8.2% 18.2% 15.9%
S&P 500 -10.4% 24.2% 15.4%
Winning DaysStrategy 45.3% 52.8% 56.5%
S&P 500 42.9% 54.8% 56.8%
SharpeStrategy -0.52 1.36 2.34
S&P 500 -0.31 1.74 2.48
SortinoStrategy -0.82 2.22 3.69
S&P 500 -0.50 2.85 3.89
Max DDStrategy 17.3% 12.9% 6.3%
S&P 500 16.9% 10.3% 5.5%
Ann. VolatilityStrategy 20.7% 13.0% 11.3%
S&P 500 25.1% 13.1% 10.7%
  

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 3.4% -3.5% 2.1% 1.1% 0.0% 6.2% 4.1% -2.7% -5.6% -3.3% 9.7% 6.5% 18.2%
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 -2.7% -0.9% -1.4% -0.3% -0.2% -0.3% 1.0% -0.9% -0.7% -1.1% 0.8% 2.1% -6.0%
 
2024 Strategy 2.1% 4.8% 3.5% -4.4% 4.8% 3.1% 1.3% 0.0% 0.0% 0.0% 0.0% 0.0% 15.9%
Benchmark 1.6% 5.2% 3.1% -4.2% 4.8% 3.5% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% 15.4%
Relative Return 0.6% -0.4% 0.4% -0.3% -0.0% -0.4% 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.5%
 
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% 23.8% 28.2% 7.9% 4.4% 28.0% 0.9% 0.1% 0.1% 0.1% 0.1% 0.1% 106.8%
2024 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.0% N/A N/A N/A N/A N/A 0.5%
  

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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.

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