Legacy: BlackDog 2x by Lucena Research

Performance 3/31/14 - 12/12/17
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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 (Aqr Risk Parity Fund Class I) 3/31/14 to 12/12/17
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 46.63% 19.30% 21.63% 13.81%
Rel. Return 27.33% N/A 7.82% N/A
Beta 0.94 N/A 0.63 N/A
Std. Dev 0.77% 0.46% 0.53% 0.40%
Sharpe 0.90 0.60 2.52 1.83
Draw Down 16.24% 17.48% 4.13% 3.78%
IR 0.65 N/A 1.22 N/A
0.31 N/A 0.23 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 24.52% 10.56% 7.21% 11.08% N/A
Std. Dev 0.53% 0.75% 0.80% 0.77% N/A
Ann. Volatility 8.43% 11.86% 12.62% 12.25% N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
Strategy 2.95% 5.07% 0.75% 3.44% 1.68% 0.35% 1.05% -2.02% -0.17% 2.23% 4.75% -0.08% 21.63%
Benchmark 0.96% 3.61% -0.10% 1.13% 1.32% -1.30% 2.84% 1.48% 0.10% 2.62% 0.57% -0.09% 13.81%
Rel. Return 1.98% 1.46% 0.85% 2.31% 0.37% 1.65% -1.79% -3.50% -0.27% -0.39% 4.18% 0.02% 7.82%
Perspective on Performance
  
Legacy: BlackDog 2x

Legacy: BlackDog 2x

Strategy Performance Analysis by Lucena Research
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions542
Commissions$2,641.23
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$2,641.23
Benchmark Relative Metrics:
Beta0.94
Information Ratio0.65
R^20.31
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Legacy: BlackDog 2x46.63%0.901.16 0.47 0.77% 16.24%
Aqr Risk Parity Fund Class I19.30%0.600.87 0.00 0.46% 17.48%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Legacy: BlackDog 2x$89,625.74$131,422.46$41,796.72 N/A
Aqr Risk Parity Fund Class I$8.91$10.63$1.72 N/A

Performance Metrics By Year
2014 2015 2016 2017
ReturnStrategy 22.29% -0.37% -1.05% 21.63%
Aqr Risk Parity Fund Class I 3.82% -8.11% 9.88% 13.81%
Winning DaysStrategy 58.95% 46.43% 48.81% 58.41%
Aqr Risk Parity Fund Class I 48.96% 45.63% 47.04% 50.65%
SharpeStrategy 2.60 0.04 -0.00 2.52
Aqr Risk Parity Fund Class I 0.73 -1.04 1.25 1.83
SortinoStrategy 3.40 0.05 -0.01 3.53
Aqr Risk Parity Fund Class I 1.13 -1.46 2.00 2.53
Max DDStrategy 6.69% 14.71% 16.24% 4.13%
Aqr Risk Parity Fund Class I 6.26% 15.88% 6.54% 3.78%
AlphaStrategy 0.22 -0.00 -0.01 0.22
Aqr Risk Parity Fund Class I 0.00 0.00 0.00 0.00
St. Dev.Strategy 0.67% 0.89% 0.89% 0.53%
Aqr Risk Parity Fund Class I 0.43% 0.49% 0.48% 0.40%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2014 Strategy 0.00% 0.00% 0.00% 1.42% 2.96% 3.26% -2.32% 8.45% -5.10% 5.02% 5.18% 2.12% 22.29%
Benchmark 0.00% 0.00% 0.00% 2.13% 3.63% 2.01% -2.08% 3.50% -4.72% 2.15% 1.05% -3.55% 3.82%
Relative Return 0.00% 0.00% 0.00% -0.71% -0.67% 1.25% -0.24% 4.95% -0.38% 2.87% 4.13% 5.67% 18.48%
 
2015 Strategy 6.23% 0.22% -2.45% 0.63% -0.86% -4.74% 3.33% -5.67% -0.38% 5.48% 0.82% -2.26% -0.37%
Benchmark 3.46% 1.36% -0.21% 1.24% -1.22% -3.31% -1.60% -5.10% -0.23% 2.64% -1.34% -3.74% -8.11%
Relative Return 2.77% -1.14% -2.24% -0.61% 0.37% -1.43% 4.93% -0.57% -0.15% 2.85% 2.16% 1.48% 7.74%
 
2016 Strategy -1.98% 4.25% 1.93% -0.16% 2.02% 3.49% 3.81% -4.44% -3.17% -4.08% -3.42% 1.26% -1.05%
Benchmark 0.24% 1.17% 3.60% 1.34% -0.22% 4.32% 0.85% -0.53% 1.48% -1.77% -2.76% 1.97% 9.88%
Relative Return -2.21% 3.08% -1.66% -1.50% 2.24% -0.83% 2.97% -3.91% -4.65% -2.31% -0.66% -0.71% -10.94%
 
2017 Strategy 2.95% 5.07% 0.75% 3.44% 1.68% 0.35% 1.05% -2.02% -0.17% 2.23% 4.75% -0.08% 21.63%
Benchmark 0.96% 3.61% -0.10% 1.13% 1.32% -1.30% 2.84% 1.48% 0.10% 2.62% 0.57% -0.09% 13.81%
Relative Return 1.98% 1.46% 0.85% 2.31% 0.37% 1.65% -1.79% -3.50% -0.27% -0.39% 4.18% 0.02% 7.82%
 
  
Performance Disclaimer
Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.
Disclaimer Pertaining To Content Delivered & Investment Advice
Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.
Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.