Legacy: BlackDog 2x

Performance 4/2/14 - 11/28/23
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Investment Approach
BlackDog is a conservative, long only strategy that follows a risk parity (RP) approach. The strategy invests in liquid Exchange Traded Funds (ETFs) that each represent 100s of individual assets.
Performance Versus Benchmark (RPAR Risk Parity Total Return) 4/2/14 to 11/28/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 30.1% -1.9% 31.9% -1.1%
Rel. Return 32.1% N/A 33.0% N/A
Beta 0.00 N/A 0.55 N/A
Ann. Volatility 13.7% 13.5% 9.1% 12.4%
Sharpe 0.23 0.09 1.29 0.23
Drawdown -27.5% -30.5% -8.3% -15.4%
IR 0.20 N/A 1.08 N/A
Tracking Error 9.9% N/A 8.3% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 29.7% 1.0% 5.0% 6.9% N/A
Ann. Volatility 9.9% 13.7% 12.5% 13.7% N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Total
Strategy -4.1% 4.9% -2.9% 24.5% 1.1% -0.3% 3.0% 1.1% -1.4% -4.2% -1.6% 6.6% 26.5%
Benchmark -2.4% 6.8% -4.9% 3.9% 0.4% -3.4% 2.4% 1.0% -3.5% -6.5% -3.7% 7.7% -3.5%
Rel. Return -1.7% -1.8% 2.0% 20.6% 0.7% 3.1% 0.6% 0.1% 2.1% 2.3% 2.1% -1.1% 30.0%
Perspective on Performance
  
Legacy: BlackDog 2x

Legacy: BlackDog 2x

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
Legacy: BlackDog 2x$145,830$189,796$43,966 6.9%
RPAR Risk Parity$18.52$18.17($0.35) -0.5%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Legacy: BlackDog 2x30.1%0.230.31 13.7% 27.5%
RPAR Risk Parity-1.9%0.090.12 13.5% 30.5%

Transaction Cost:
Number of Transactions1,125
Total Commissions ($0.0035 per share, $6.95 min per trade)$4,904
Slippage$0
Borrowing CostsN/A
Total Transaction Costs$4,904
Benchmark Relative Metrics:
Beta0.00
Information Ratio0.20
Annualized Tracking Error9.9%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 213 (65.9%) N/A (N/A) 213 (65.9%)
Avg Gain 3.90% 0.00% 3.90%
Avg Hold Time 3 months less than a second 3 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 109 (33.7%) N/A (N/A) 109 (33.7%)
Avg Loss -3.69% 0.00% -3.69%
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
TLT Sep 29, 2014 3:08:00 PM Jan 27, 2015 12:46:00 PM 3 months 15.3% $5,367.96 5.5%

Worst Long Trade:
Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
TLT Jun 29, 2016 11:00:00 AM Jul 1, 2016 11:00:00 AM 2 days -6.9% ($5,435.17) -4.6%

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
2019 2020 2021 2022 2023
ReturnStrategy 1.2% 13.2% 12.1% -23.1% 31.9%
RPAR Risk Parity 0.1% 19.4% 7.6% -22.8% -1.1%
Winning DaysStrategy 66.7% 58.5% 56.0% 44.6% 50.9%
RPAR Risk Parity 50.0% 58.1% 53.6% 45.0% 47.4%
SharpeStrategy 5.61 0.83 1.19 -1.47 1.29
RPAR Risk Parity 0.45 1.25 0.85 -1.50 0.23
SortinoStrategy 7.70 0.94 1.60 -2.39 2.16
RPAR Risk Parity 0.93 1.32 1.22 -2.45 0.37
Max DDStrategy 0.5% 15.8% 7.8% 27.2% 8.3%
RPAR Risk Parity 0.9% 19.8% 6.4% 29.0% 15.4%
Ann. VolatilityStrategy 5.0% 16.6% 10.1% 17.0% 9.1%
RPAR Risk Parity 6.1% 15.0% 9.1% 16.5% 12.4%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2019 Strategy 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.2% 1.2%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 0.1%
Relative Return 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.1% 1.1%
 
2020 Strategy 0.4% -3.1% -3.6% 5.4% 1.4% 1.9% 5.7% 2.4% -2.1% -3.0% 5.9% 1.7% 13.2%
Benchmark 2.6% -0.6% -5.9% 5.6% 2.1% 2.2% 6.3% 0.6% -1.8% -2.3% 6.1% 3.8% 19.4%
Relative Return -2.1% -2.5% 2.3% -0.2% -0.7% -0.3% -0.6% 1.8% -0.3% -0.7% -0.2% -2.0% -6.2%
 
2021 Strategy -1.3% -2.2% 0.1% 4.2% -0.2% 3.2% 2.9% 2.0% -4.1% 5.1% 0.6% 1.6% 12.1%
Benchmark -1.2% -1.8% -1.4% 2.9% 3.0% 1.8% 2.4% 0.2% -3.2% 3.7% 0.1% 1.2% 7.6%
Relative Return -0.1% -0.4% 1.5% 1.4% -3.2% 1.5% 0.5% 1.8% -0.9% 1.4% 0.4% 0.4% 4.5%
 
2022 Strategy -6.1% -2.8% 1.1% -8.9% -1.0% -5.0% 6.0% -3.7% -8.4% 2.9% 5.4% -4.1% -23.1%
Benchmark -3.9% -0.0% -1.3% -8.4% -1.8% -6.9% 6.3% -4.9% -11.0% 1.6% 8.8% -2.4% -22.8%
Relative Return -2.3% -2.7% 2.4% -0.5% 0.8% 1.9% -0.4% 1.2% 2.6% 1.2% -3.4% -1.7% -0.3%
 
2023 Strategy 4.9% -2.9% 24.5% 1.1% -0.3% 3.0% 1.1% -1.4% -4.2% -1.6% 6.6% 0.0% 31.9%
Benchmark 6.8% -4.9% 3.9% 0.4% -3.4% 2.4% 1.0% -3.5% -6.5% -3.7% 7.7% 0.0% -1.1%
Relative Return -1.8% 2.0% 20.6% 0.7% 3.1% 0.6% 0.1% 2.1% 2.3% 2.1% -1.1% 0.0% 33.0%
 
Monthly Turnover By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2019 123.8% 128.4% 68.3% 101.8% 123.2% 147.0% 95.9% 104.6% 143.1% 126.0% 122.7% 112.3% 1,397.2%
2020 73.0% 152.8% 32.2% 47.6% 0.1% 0.1% 0.1% 0.0% 0.1% 0.1% 0.0% 0.1% 306.0%
2021 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.1% 0.0% 0.1% 0.5%
2022 0.0% 0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 1.0%
2023 0.0% 0.1% 0.1% 0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.0% N/A 0.8%
  

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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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