Model: Utilities Live by Lucena Research

Performance 1/1/00 - 8/20/17
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Investment Approach
Optimize Backtest
Performance Versus Benchmark 1/1/00 to 8/20/17
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 705.11% 275.16% 7.71% 12.14%
Rel. Return 429.95% N/A -4.43% N/A
Beta 0.73 N/A 0.97 N/A
Std. Dev 1.03% 1.19% 0.84% 0.85%
Sharpe 0.81 0.49 0.62 0.92
Draw Down -34.64% -52.27% -10.14% -9.77%
IR 0.38 N/A -1.36 N/A
R² 0.71 N/A 0.95 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 7.71% 10.96% 11.58% 12.14% 10.35%
Std. Dev 0.85% 0.93% 0.96% 0.89% 1.00%
Ann. Volatility 13.45% 14.84% 15.21% 14.15% 15.92%
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Total
Strategy -0.20% 0.78% -5.75% 4.66% 2.30% 3.08% 1.16% -0.29% 2.89% -3.22% 1.96% 2.11% 7.71%
Benchmark 0.36% 0.90% -5.42% 4.90% 1.26% 5.27% -0.13% 0.76% 4.14% -2.71% 2.42% 2.41% 12.14%
Rel. Return -0.56% -0.12% -0.33% -0.24% 1.04% -2.18% 1.29% -1.05% -1.24% -0.52% -0.47% -0.30% -4.43%
  
Perspective on Performance

Model: Utilities Live

Strategy Performance Analysis by Lucena Research
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Simulation Settings
Strategy Settings
Module:Optimizer
Date of report: 8/21/17 8:05 AM
Date Range: 1/1/00-8/20/17
Generated by: Erez Katz
Benchmark: XLU
Target Leverage: 1.0
Transaction Cost Modeling:
Commission/trade$2.95
Commission/share$0.0035
Leverage1.0
Short Borrowing3.50%
Slippage2.5 bps
Rebalancing:
FrequencyEvery 10 Days
Preferred Day Tuesday
Exit Criteria Settings:
Stop Loss 12.00%
Max Gain N/A
Portfolio Stop Loss N/A
Portfolio Max Gain N/A
Both Up or Down met Use Balance Exit
Optimize Settings:
Lookback 3 Months
Minimum Cash Percentage 0.0
Minimum Cash Remaining 0.0
Portfolio Type Long Only
Risk Level 0 - Conservative
Forecast Settings:
Forecast Method Historical Average
  
Cross Validation Statistics
Cross Validation Performance
Cross Validation Daily Return Distributions
  
Performance Metrics
Transaction Cost:
Commissions$93,221.54
Slippage$168,906.83
Borrowing Costs$0.00
Total Transaction Costs$262,128.37
Transaction Analysis:
Number of Transactions4,762
Average Trade Hold Days109
% Successful Transactions68.36%
% Hit Stop Loss11.38%
% Hit Stop Gain0.00%
Profit RatioN/A
Monthly Performance Metrics:
Days of Outperformance N/A
Months of Outperformance51.89%
Most Consecutive Months of Outperformance10
Most Consecutive Months of Underperformance5
Benchmark Relative Metrics:
Beta0.73
Information Ratio0.38
R^20.71
Tracking Error0.65%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Fund705.11%0.811.13 5.06 1.03% -34.64%
Benchmark275.16%0.490.66 0.00 1.19% -52.27%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,492K$12,010K$10,518K 12.58%
Benchmark$1,492K$5,596K$4,105K 7.80%
  
Performance Metrics By Year
2000 2001 2002 2003 2004 2005 2006 2007 2008
ReturnStrategy 44.01% 9.15% 10.06% 17.06% 16.38% 11.11% 16.02% 10.50% -16.51%
Benchmark 25.61% -13.01% -28.77% 26.46% 23.59% 16.39% 20.90% 18.42% -28.91%
Winning DaysStrategy 52.59% 55.65% 52.38% 53.97% 55.16% 58.33% 53.78% 55.78% 47.43%
Benchmark 50.42% 51.22% 47.97% 55.28% 56.80% 57.83% 53.44% 59.60% 49.20%
SharpeStrategy 1.73 0.57 0.53 1.17 1.56 0.91 1.25 0.71 -0.57
Benchmark 1.11 -0.64 -0.89 1.50 1.84 1.12 1.75 1.06 -0.74
SortinoStrategy 2.96 0.73 0.78 1.86 2.47 1.31 2.13 0.93 -0.81
Benchmark 1.87 -0.99 -1.27 2.10 2.70 1.52 2.96 1.34 -1.12
Max DDStrategy -16.16% -13.90% -24.27% -13.21% -8.09% -10.34% -9.28% -12.51% -24.93%
Benchmark -15.92% -17.79% -45.10% -17.59% -8.64% -11.86% -7.63% -11.72% -39.67%
AlphaStrategy 0.30 0.17 0.28 -0.03 -0.00 -0.02 -0.04 -0.05 0.00
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
St. Dev.Strategy 1.42% 1.17% 1.44% 0.90% 0.63% 0.78% 0.79% 1.01% 1.63%
Benchmark 1.45% 1.21% 2.03% 1.04% 0.75% 0.91% 0.71% 1.10% 2.33%
Tracking ErrorStrategy N/A N/A N/A N/A N/A N/A N/A N/A N/A
Benchmark N/A N/A N/A N/A N/A N/A N/A N/A N/A
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ReturnStrategy -16.51% 13.71% 14.07% 20.56% 1.56% 12.94% 32.32% -4.85% 15.36% 10.26%
Benchmark -28.91% 11.71% 5.30% 19.64% 1.04% 13.06% 28.75% -4.93% 16.07% 13.98%
Winning DaysStrategy 47.43% 52.38% 52.78% 52.78% 46.80% 54.76% 54.37% 52.38% 57.94% 57.23%
Benchmark 49.20% 52.23% 52.82% 54.66% 50.00% 54.44% 56.22% 53.97% 56.35% 55.41%
SharpeStrategy -0.57 0.80 1.04 1.31 0.21 1.03 2.10 -0.20 0.99 1.63
Benchmark -0.74 0.65 0.42 1.16 0.16 1.06 1.93 -0.21 1.03 2.23
SortinoStrategy -0.81 1.14 1.59 1.97 0.35 1.62 3.39 -0.26 1.24 2.56
Benchmark -1.12 0.98 0.61 1.66 0.25 1.67 3.06 -0.28 1.26 3.67
Max DDStrategy -24.93% -21.53% -7.47% -10.61% -9.18% -12.37% -9.45% -16.78% -13.03% -6.05%
Benchmark -39.67% -24.53% -9.37% -11.25% -9.94% -12.04% -9.24% -15.69% -12.43% -4.97%
AlphaStrategy 0.00 0.04 0.10 0.03 0.01 0.00 0.04 0.00 -0.00 -0.03
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
St. Dev.Strategy 1.63% 1.13% 0.85% 0.96% 0.62% 0.79% 0.87% 1.09% 0.99% 0.61%
Benchmark 2.33% 1.28% 0.94% 1.05% 0.61% 0.77% 0.85% 1.07% 0.99% 0.60%
Tracking ErrorStrategy N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Benchmark N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2000 Strategy 6.65% -10.34% 6.74% 11.62% 2.90% -6.55% 4.51% 11.55% 7.78% -5.06% 7.32% 2.67% 44.01%
Benchmark 0.68% -12.22% 11.12% 6.54% -0.22% -3.45% 1.61% 3.84% 13.22% 5.81% -0.05% -1.36% 25.61%
Relative Return 5.97% 1.88% -4.38% 5.07% 3.12% -3.10% 2.91% 7.71% -5.43% -10.87% 7.37% 4.04% 18.40%
 
2001 Strategy -10.69% 7.52% 3.66% 2.83% 3.99% 0.79% -4.61% 3.05% -1.77% 0.01% 0.37% 4.96% 9.15%
Benchmark -5.63% 2.08% -1.43% 4.83% 0.70% -5.02% -0.90% -3.56% -0.95% -5.26% -1.26% 3.20% -13.01%
Relative Return -5.07% 5.45% 5.10% -1.99% 3.29% 5.80% -3.71% 6.61% -0.81% 5.27% 1.63% 1.76% 22.15%
 
2002 Strategy -1.36% 3.42% 8.04% 3.84% -0.67% -2.81% -6.35% 0.51% -4.05% 5.24% -1.51% 6.41% 10.06%
Benchmark -3.60% -0.19% 5.33% -6.07% -0.83% -6.73% -14.72% 3.97% -12.10% -2.30% 2.91% 3.24% -28.77%
Relative Return 2.25% 3.61% 2.71% 9.91% 0.16% 3.91% 8.38% -3.46% 8.05% 7.54% -4.42% 3.17% 38.84%
 
2003 Strategy -3.28% -2.59% 4.03% 3.83% 7.39% 0.72% -4.69% 2.00% 4.43% 1.86% 0.06% 2.79% 17.06%
Benchmark -2.35% -5.35% 5.06% 8.64% 10.11% 1.36% -6.69% 1.99% 4.97% 0.68% 0.23% 6.55% 26.46%
Relative Return -0.93% 2.76% -1.03% -4.81% -2.72% -0.64% 2.00% 0.01% -0.54% 1.18% -0.17% -3.76% -9.40%
 
2004 Strategy -0.62% 0.09% 1.49% -3.28% 0.14% 3.07% 1.53% 3.25% -0.41% 1.92% 4.79% 3.57% 16.38%
Benchmark 2.06% 1.89% 1.07% -4.28% 1.20% 1.73% 1.52% 4.06% 0.64% 4.87% 4.45% 2.46% 23.59%
Relative Return -2.68% -1.80% 0.42% 1.00% -1.07% 1.34% 0.02% -0.81% -1.04% -2.95% 0.33% 1.10% -7.21%
 
2005 Strategy 0.25% 1.04% 1.88% 0.19% 4.43% 4.74% 0.79% -0.53% 2.21% -5.45% 0.92% 0.47% 11.11%
Benchmark 2.12% 2.14% 1.10% 3.09% -0.07% 5.95% 2.25% 0.65% 4.23% -6.40% -0.16% 0.86% 16.39%
Relative Return -1.86% -1.11% 0.78% -2.89% 4.50% -1.21% -1.46% -1.18% -2.02% 0.94% 1.08% -0.39% -5.28%
 
2006 Strategy 1.86% -1.69% -2.98% 0.66% 2.31% 0.24% 3.50% 2.36% -2.27% 5.29% 4.24% 1.79% 16.02%
Benchmark 2.42% 1.31% -4.63% 1.59% 1.63% 2.30% 4.80% 2.75% -1.45% 5.30% 2.65% 0.85% 20.90%
Relative Return -0.57% -3.00% 1.65% -0.93% 0.68% -2.05% -1.30% -0.39% -0.81% -0.00% 1.58% 0.94% -4.88%
 
2007 Strategy -0.13% 2.89% 3.30% 3.10% -0.13% -6.57% -3.28% 1.19% 1.48% 5.09% 2.18% 1.46% 10.50%
Benchmark -0.35% 5.30% 3.59% 4.91% 0.46% -4.75% -3.99% 1.58% 3.84% 6.66% 0.66% -0.18% 18.42%
Relative Return 0.23% -2.41% -0.30% -1.81% -0.59% -1.83% 0.72% -0.39% -2.36% -1.57% 1.52% 1.64% -7.93%
 
2008 Strategy -7.47% -0.99% -0.80% 7.72% 0.41% -3.42% -1.27% 4.96% -3.26% -15.67% 5.13% -1.06% -16.51%
Benchmark -7.35% -4.11% 1.61% 5.11% 3.59% -0.75% -6.44% -1.10% -10.98% -13.00% 4.19% -2.40% -28.91%
Relative Return -0.12% 3.12% -2.41% 2.61% -3.18% -2.67% 5.17% 6.07% 7.73% -2.67% 0.95% 1.34% 12.40%
 
2009 Strategy -0.70% -10.67% 4.35% -2.06% -1.13% 7.52% 5.67% 1.57% 0.90% -1.85% 5.33% 5.39% 13.71%
Benchmark -0.17% -12.53% 1.90% 1.17% 3.56% 5.37% 3.76% 1.00% 1.38% -3.20% 4.83% 5.47% 11.71%
Relative Return -0.53% 1.86% 2.45% -3.24% -4.69% 2.15% 1.91% 0.57% -0.47% 1.35% 0.50% -0.08% 2.00%
 
2010 Strategy -2.84% -0.19% 2.66% 4.32% -4.84% 1.49% 7.07% 2.03% 3.14% 1.27% -1.71% 1.40% 14.07%
Benchmark -4.80% -1.32% 2.69% 2.63% -5.52% -0.70% 7.47% 1.45% 2.89% 1.08% -3.03% 3.10% 5.30%
Relative Return 1.96% 1.13% -0.03% 1.69% 0.68% 2.20% -0.40% 0.58% 0.24% 0.18% 1.32% -1.70% 8.76%
 
2011 Strategy 1.07% 1.12% 0.02% 3.71% 2.16% -0.39% -1.09% 0.90% 2.78% 2.34% 2.15% 4.22% 20.56%
Benchmark 1.21% 1.23% 0.23% 4.05% 2.14% -0.14% -0.93% 2.17% 0.22% 3.66% 1.03% 3.33% 19.64%
Relative Return -0.15% -0.11% -0.21% -0.34% 0.02% -0.24% -0.17% -1.27% 2.56% -1.31% 1.12% 0.88% 0.92%
 
2012 Strategy -3.62% -0.37% 2.09% 2.41% 0.81% 3.15% 1.34% -4.19% 1.14% 1.77% -2.99% 0.34% 1.56%
Benchmark -3.61% 0.61% 1.36% 1.77% 0.56% 4.11% 2.51% -4.14% 1.17% 1.40% -4.28% -0.02% 1.04%
Relative Return -0.00% -0.98% 0.73% 0.65% 0.25% -0.97% -1.17% -0.05% -0.03% 0.37% 1.29% 0.36% 0.53%
 
2013 Strategy 6.01% 2.49% 4.83% 4.57% -9.90% 1.82% 3.33% -5.38% 2.08% 4.47% -1.70% 0.84% 12.94%
Benchmark 4.75% 2.32% 5.37% 5.96% -9.05% 0.89% 4.33% -4.99% 1.15% 3.77% -1.93% 0.91% 13.06%
Relative Return 1.25% 0.17% -0.54% -1.39% -0.85% 0.92% -1.00% -0.38% 0.94% 0.70% 0.24% -0.07% -0.12%
 
2014 Strategy 4.13% 3.84% 4.63% 4.48% -1.06% 4.35% -6.49% 3.08% -1.21% 7.30% 1.56% 4.50% 32.32%
Benchmark 2.98% 3.45% 3.35% 4.22% -1.09% 4.44% -6.80% 4.92% -1.87% 8.03% 1.17% 3.57% 28.75%
Relative Return 1.16% 0.39% 1.28% 0.26% 0.03% -0.10% 0.31% -1.84% 0.66% -0.73% 0.39% 0.93% 3.58%
 
2015 Strategy 3.08% -7.78% -1.80% 0.11% -0.46% -5.24% 7.10% -3.51% 4.10% 0.18% -2.37% 2.59% -4.85%
Benchmark 2.33% -6.39% -1.00% -0.47% 0.63% -5.98% 6.10% -3.48% 2.92% 1.06% -2.13% 2.12% -4.93%
Relative Return 0.75% -1.39% -0.80% 0.59% -1.09% 0.75% 1.00% -0.04% 1.18% -0.88% -0.25% 0.47% 0.08%
 
2016 Strategy 4.98% 3.02% 8.09% -3.56% 0.92% 8.48% -0.34% -5.46% -0.20% 0.78% -5.75% 4.66% 15.36%
Benchmark 4.94% 1.94% 7.98% -2.42% 1.51% 7.63% -0.67% -5.54% 0.36% 0.90% -5.42% 4.90% 16.07%
Relative Return 0.04% 1.08% 0.11% -1.14% -0.59% 0.86% 0.33% 0.09% -0.56% -0.12% -0.33% -0.24% -0.72%
 
2017 Strategy 2.30% 3.08% 1.16% -0.29% 2.89% -3.22% 1.96% 2.11% N/A N/A N/A N/A 10.26%
Benchmark 1.26% 5.27% -0.13% 0.76% 4.14% -2.71% 2.42% 2.41% 0.00% 0.00% 0.00% 0.00% 13.98%
Relative Return 1.04% -2.18% 1.29% -1.05% -1.24% -0.52% -0.47% -0.30% N/A N/A N/A N/A -3.72%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2000 66.35% 16.22% 21.54% 42.18% 34.70% 33.70% 34.80% 65.86% 26.86% 23.64% 13.22% 20.40% 399.48%
2001 53.21% 12.51% 11.88% 40.58% 12.43% 11.01% 15.99% 8.63% 19.24% 11.80% 24.58% 5.03% 226.89%
2002 22.22% 8.66% 17.56% 14.74% 27.40% 10.26% 66.73% 17.85% 8.87% 13.52% 39.89% 26.52% 274.20%
2003 26.33% 19.75% 7.20% 25.34% 34.05% 42.18% 35.27% 59.19% 34.62% 39.99% 38.52% 71.37% 433.81%
2004 24.17% 38.07% 18.57% 22.33% 27.27% 16.30% 11.93% 22.93% 8.64% 40.25% 50.27% 46.34% 327.05%
2005 22.66% 18.16% 32.03% 11.19% 33.83% 16.30% 38.83% 49.47% 29.35% 35.10% 37.93% 13.07% 337.91%
2006 22.13% 21.53% 14.51% 16.65% 84.29% 55.73% 26.70% 25.53% 43.70% 52.08% 50.88% 34.86% 448.59%
2007 21.13% 22.98% 40.61% 24.70% 15.23% 34.98% 38.12% 53.99% 3.78% 19.56% 11.18% 24.81% 311.06%
2008 12.07% 11.74% 12.20% 9.38% 16.93% 31.19% 17.62% 25.35% 53.68% 176.65% 32.37% 4.51% 403.69%
2009 26.51% 14.41% 59.55% 6.55% 9.71% 36.71% 20.96% 3.55% 37.42% 15.97% 20.91% 15.61% 267.86%
2010 11.65% 18.62% 43.34% 20.14% 24.12% 20.39% 7.44% 19.86% 14.99% 29.66% 25.92% 38.34% 274.45%
2011 27.17% 39.01% 58.66% 10.78% 15.44% 48.69% 25.23% 51.68% 11.99% 19.94% 15.50% 12.72% 336.82%
2012 45.32% 26.66% 24.37% 31.29% 48.89% 15.53% 34.84% 16.94% 43.79% 31.45% 47.20% 39.04% 405.33%
2013 41.84% 61.01% 32.69% 43.81% 18.27% 40.31% 40.07% 27.15% 27.88% 31.85% 42.55% 28.68% 436.11%
2014 40.51% 27.81% 35.26% 29.05% 42.78% 30.82% 57.61% 25.85% 23.12% 23.97% 54.81% 21.85% 413.44%
2015 33.33% 25.57% 10.43% 12.21% 12.85% 38.83% 29.34% 39.24% 27.29% 7.72% 17.71% 46.36% 300.87%
2016 7.96% 7.44% 27.04% 16.06% 57.81% 44.26% 33.24% 41.14% 48.86% 24.98% 28.01% 28.51% 365.32%
2017 15.25% 42.69% 27.17% 12.73% 65.19% 24.98% 18.75% 29.45% N/A N/A N/A N/A 236.21%
  

DISCLAIMER PERTAINING TO CONTENT DELIVERED & INVESTMENT ADVICE

Simulation/Data Guidelines: Backtest simulations use adjusted pricing data to reflect split, reverse split and dividends. Dividends are automatically reinvested. Trade executions are evaluated daily using open, high, low, close and total volume points. Stop losses and total return limits do not consider intraday price changes. Trade executions may assume unattainable prices in live trading. Backtests that have run through the current date may contain trades based on intraday data for the last date. All data used by backtest simulation is subject to change or correction, and backtest results may vary at different run times. Trade decisions made by Lucena's proprietary technologies are also subject to change due to alterations of underlying algorithms. Backtest results should not be considered reproducible at a later point in time. Backtest results may contain in-sample and out-of-sample periods and do not reflect a real actively-managed portfolio.​

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.

The information contained above is provided for informational and educational purposes only, and nothing contained herein should be construed as investment advice, either on behalf of a particular security or an overall investment strategy. Neither Lucena Research Inc. nor any of its affiliates makes any recommendation to buy or sell any security or any representation about the financial condition of any company. Actual results may differ materially from those expressed or implied. Past performance is not indicative of future results. Investors should undertake their own due diligence and carefully evaluate companies before investing. ADVICE FROM A SECURITIES PROFESSIONAL IS STRONGLY ADVISED. © 2018. Lucena Research, Inc. All Rights Reserved.