Legacy: BlackDog 2x

Performance 4/2/14 - 2/2/23
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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 2/2/23
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 162.5% 7.0% 2.5% 7.8%
Rel. Return 155.5% N/A -5.3% N/A
Beta 0.00 N/A 0.22 N/A
Ann. Volatility 14.2% 13.8% 4.3% 11.5%
Sharpe 0.04 0.13 6.59 3.45
Drawdown -27.5% -30.2% -0.5% -1.3%
IR -0.12 N/A -1.17 N/A
Tracking Error 10.6% N/A 9.5% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 120.9% 51.4% 36.9% 36.1% N/A
Ann. Volatility 15.3% 13.1% 14.4% 14.2% 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 1.1% -8.9% -1.0% -5.0% 6.0% -3.7% -8.4% 2.9% 167.3% -1.8% 1.9% 0.6% 124.0%
Benchmark -1.3% -8.4% -1.8% -6.9% 6.3% -4.9% -11.0% 1.6% 8.8% -2.4% 6.8% 1.0% -13.4%
Rel. Return 2.4% -0.5% 0.8% 1.9% -0.4% 1.2% 2.6% 1.2% 158.5% 0.6% -4.9% -0.4% 137.4%
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$382,813$236,983 36.1%
RPAR Risk Parity$18.78$20.09$1.31 2.2%
Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
Legacy: BlackDog 2x162.5%0.040.05 14.2% 27.5%
RPAR Risk Parity7.0%0.130.17 13.8% 30.2%

Transaction Cost:
Number of Transactions1,083
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 Ratio-0.12
Annualized Tracking Error10.6%

Trade Analysis
Trade Metrics (Successful):
Metric Long Short All
# Trades 319 (69.7%) 0 (N/A) 319 (69.7%)
Avg Gain 3.85% 0.00% 3.85%
Avg Hold Time 3 months less than a second 3 months
Trade Metrics (Unsuccessful):
Metric Long Short All
# Trades 139 (30.3%) 0 (N/A) 139 (30.3%)
Avg Loss -3.71% 0.00% -3.71%
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 Sep 1, 2016 11:00:00 AM 2 months -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% 99.5% 2.5%
RPAR Risk Parity 0.1% 19.4% 7.6% -22.8% 7.8%
Winning DaysStrategy 66.7% 58.5% 56.0% 43.8% 63.6%
RPAR Risk Parity 50.0% 58.1% 53.6% 45.0% 31.8%
SharpeStrategy 5.61 0.83 1.19 -1.75 6.59
RPAR Risk Parity 0.45 1.25 0.85 -1.49 3.45
SortinoStrategy 7.70 0.94 1.60 -2.58 14.28
RPAR Risk Parity 0.93 1.32 1.22 -2.44 7.43
Max DDStrategy 0.5% 15.8% 7.8% 27.2% 0.5%
RPAR Risk Parity 0.9% 19.8% 6.4% 29.0% 1.3%
Ann. VolatilityStrategy 5.0% 16.6% 10.1% 15.8% 4.3%
RPAR Risk Parity 6.1% 15.0% 9.1% 16.5% 11.5%
  

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% 167.3% -1.8% 99.5%
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% 158.5% 0.6% 122.3%
 
2023 Strategy 1.9% 0.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.5%
Benchmark 6.8% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 7.8%
Relative Return -4.9% -0.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -5.3%
 
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% 0.0% 0.0% 0.7%
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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