Sector Spdr ETFs Hedged

Performance 1/1/10 - 3/13/19
Investment Approach
Hedge Backtest
Performance Versus Benchmark 1/1/10 to 3/13/19
Strategy Overall Bench Overall Strategy TTM Bench TTM
Abs. Return 169.7% 148.1% -6.3% 2.2%
Rel. Return 21.6% N/A -8.5% N/A
Beta -0.16 N/A -0.14 N/A
Ann. Volatility 12.7% 15.0% 11.0% 16.2%
Sharpe 0.92 0.74 -0.53 0.22
Drawdown -14.5% -19.8% -14.4% -19.8%
IR 0.03 N/A -0.44 N/A
Tracking Error 21.3% N/A 21.3% N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return -6.3% 1.7% 3.5% 9.0% N/A
Ann. Volatility 11.0% 11.5% 14.0% 13.0% N/A
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Total
Strategy 3.2% -0.6% -0.1% -2.1% -0.1% 0.3% -1.9% -4.0% 1.4% -4.7% 1.7% 3.5% -6.3%
Benchmark 0.3% 2.2% 0.5% 3.6% 3.0% 0.4% -6.9% 1.8% -9.2% 7.9% 3.0% 0.9% 2.2%
Rel. Return 2.9% -2.8% -0.6% -5.7% -3.1% -0.2% 5.1% -5.8% 10.6% -12.5% -1.3% 2.6% -8.5%
  
Perspective on Performance

Sector Spdr ETFs Hedged

Strategy Performance Analysis by Neuravest
Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Value At Risk
Rolling Stats
Return Attributions
Participation and Contribution
Top Participation Long
XME32.8%
XAR32.4%
XLU31.6%
RWR30.0%
XRT29.7%
Top Participation Short
DO21.6%
SDOCQ-20161014.9%
UPLMQ-20170413.8%
CTSH12.1%
BMRN9.2%
Top Participation Long/Short
XME32.8%
XAR32.4%
XLU31.6%
RWR30.0%
XRT29.7%
Top Long Winners
XME13.8%
RWR8.1%
XAR8.0%
XLF7.5%
XLU6.3%
Top Short Winners
ESV11.2%
EXEL11.0%
ACIIQ-2016109.5%
SDOCQ-2016108.0%
ALXN5.1%
Top Long/Short Winners
XME13.8%
ESV11.2%
EXEL11.0%
ACIIQ-2016109.5%
RWR8.1%
Top Short Losers
NE-15.2%
BBY-8.7%
FSLR-5.3%
PRGO-5.3%
MET-5.2%
Top Long/Short Losers
NE-15.2%
BBY-8.7%
FSLR-5.3%
PRGO-5.3%
MET-5.2%
  
Simulation Settings
Strategy Settings
Module:Hedger
Date of report: 7/30/19 2:04 PM
Date Range: 1/1/10-3/13/19
Generated by: Erez Katz
Benchmark: S&P; 500
Target Leverage: 1.0
Transaction Cost Modeling:
Leverage1.0
Short Borrowing3.5%
Slippage ModeSpecify a bps value
Slippage0 bps
Rebalancing:
FrequencyEvery 10 Days
Preferred Day N/A
Exit Criteria Settings:
Stop Loss N/A
Max Gain N/A
Portfolio Stop Loss N/A
Portfolio Max Gain N/A
Optimize Settings:
Lookback 3 Months
Minimum Cash Percentage 0.0
Minimum Cash Remaining 0
Portfolio Type Long Only
Risk Level 10 - Aggressive
Hedge Settings:
Whitelist DYN Short 1,DYN Short 2,DYN Short 4,DYN Short 5,DYN Short 6,DYN Short 7,DYN Short 8
Blacklist
Lookback 126 Trading days
Min Hedge Allocation 1.00%
Max Hedge Allocation 100.00%
Hedge Type short
Hedge Weight 50%
Maximum # Assets 10
Risk Level Preserve Return
Target Beta 1.0
Forecast Settings:
Forecast Method Historical Average
  
Performance Metrics
Transaction Cost:
Commissions ($0.004 per share, $2.95 min per trade)$57,694
Slippage$109,151
Borrowing Costs$299,844
Total Transaction Costs$466,689

Transaction Analysis:
Number of Transactions 4,271
Average Trade Hold Days (Weighted) N/A (19.00)
% Successful Transactions (Weighted) N/A (58.1%)
% Hit Stop Loss 0.0%
% Hit Stop Gain 0.0%
Profit Ratio 0.72
Monthly Performance Metrics:
Days of Outperformance 48.0%
Months of Outperformance51.4%
Most Consecutive Months of Outperformance5
Most Consecutive Months of Underperformance6
Benchmark Relative Metrics:
Beta-0.16
Information Ratio0.03
Annualized Tracking Error21.3%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Ann. Volatilty Max DrawDown
Fund169.7%0.921.25 1.93 12.7% -14.5%
Hedge179.7%0.540.81 3.37 27.9% -33.4%
Core171.9%0.831.10 0.49 14.4% -18.8%
Benchmark148.1%0.740.93 0.00 15.0% -19.8%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,000K$2,697K$1,697K 11.4%
Hedge$1,000K$2,797K$1,797K 11.9%
Core$1,000K$2,719K$1,719K 11.5%
Benchmark$1,000K$2,481K$1,481K 10.4%
  
Performance Metrics By Year
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
ReturnStrategy 16.2% 13.1% 21.5% 16.9% 2.4% 17.2% 15.3% 2.7% 1.4% 0.4%
Core 23.2% 1.4% 12.6% 32.6% 10.2% -6.3% 20.2% 18.6% -9.1% 8.9%
Benchmark 11.0% -0.0% 13.4% 29.6% 11.4% -0.7% 9.5% 19.4% -6.2% 12.1%
Hedge 9.9% 26.9% 30.1% 4.9% -4.9% 44.5% 12.0% -9.6% 13.3% -6.8%
Winning DaysStrategy 56.6% 53.6% 55.2% 55.6% 50.0% 55.2% 54.4% 51.0% 48.8% 57.1%
Core 56.6% 54.8% 50.4% 57.1% 54.8% 47.6% 54.4% 55.4% 52.0% 63.3%
Benchmark 57.0% 54.8% 52.8% 58.3% 57.1% 47.2% 52.0% 57.2% 52.6% 63.3%
Hedge 53.8% 49.4% 50.4% 50.2% 48.4% 54.8% 52.2% 45.8% 48.0% 42.9%
SharpeStrategy 1.42 1.12 1.41 1.44 0.27 1.41 0.84 0.34 0.17 0.23
Core 1.16 0.17 0.96 2.61 1.04 -0.42 1.05 2.10 -0.57 5.02
Benchmark 0.67 0.12 1.05 2.39 1.00 0.03 0.76 2.69 -0.29 4.24
Hedge 0.48 0.86 1.04 0.32 -0.09 1.61 0.50 -0.47 0.56 -1.54
SortinoStrategy 1.93 1.58 2.01 2.26 0.38 2.01 0.99 0.52 0.28 0.33
Core 1.62 0.23 1.47 3.78 1.39 -0.56 1.46 3.09 -0.71 7.49
Benchmark 0.89 0.15 1.62 3.41 1.31 0.04 0.99 3.60 -0.36 6.08
Hedge 0.66 1.46 1.61 0.51 -0.13 2.45 0.64 -0.72 0.96 -2.43
Max DDStrategy -6.6% -7.0% -6.2% -7.8% -9.1% -7.3% -14.5% -8.4% -11.1% -5.8%
Core -14.7% -12.8% -10.8% -4.3% -7.4% -11.3% -10.6% -2.9% -17.9% -2.7%
Benchmark -16.0% -19.4% -9.9% -5.8% -7.4% -12.4% -10.5% -2.8% -19.8% -2.5%
Hedge -17.8% -19.7% -18.1% -25.0% -19.1% -13.2% -30.7% -20.2% -19.8% -15.1%
AlphaStrategy 0.17 0.13 0.24 0.14 0.04 0.17 0.18 0.07 0.00 0.04
Core 0.12 0.01 -0.00 0.05 0.01 -0.06 0.09 -0.01 -0.05 0.04
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Hedge 0.21 0.27 0.45 0.26 0.08 0.44 0.23 0.15 0.07 0.04
Ann. VolatiltyStrategy 11.0% 11.5% 14.6% 11.2% 10.6% 11.6% 19.0% 9.0% 13.2% 9.9%
Core 19.7% 16.6% 13.4% 11.0% 9.8% 13.2% 19.3% 8.3% 14.8% 8.7%
Benchmark 18.0% 23.2% 12.7% 11.0% 11.3% 15.5% 13.1% 6.7% 17.0% 13.8%
Hedge 27.7% 34.4% 29.7% 22.7% 24.1% 24.7% 36.1% 18.1% 30.3% 21.6%
Tracking ErrorStrategy 1.4% 1.9% 1.3% 0.9% 1.0% 1.3% 1.6% 0.8% 1.5% 1.3%
Core 0.4% 0.6% 0.4% 0.3% 0.3% 0.4% 0.8% 0.3% 0.6% 0.7%
Benchmark 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Hedge 2.6% 3.4% 2.4% 1.8% 2.0% 2.3% 2.7% 1.4% 2.7% 2.0%
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2010 Strategy 0.3% 6.5% 3.3% 0.5% 1.2% 1.7% -2.6% 2.1% -2.4% 2.4% 0.0% 2.5% 16.2%
Benchmark -5.2% 2.9% 5.9% 1.5% -8.2% -5.4% 6.9% -4.7% 8.8% 3.7% -0.2% 6.5% 11.0%
Relative Return 5.5% 3.6% -2.6% -1.0% 9.4% 7.1% -9.5% 6.8% -11.1% -1.3% 0.2% -4.0% 5.2%
 
2011 Strategy -5.0% 0.5% 2.5% -2.9% -1.2% 2.4% 1.9% 3.6% 6.9% -0.5% 2.4% 2.3% 13.1%
Benchmark 2.3% 3.2% -0.1% 2.8% -1.4% -1.8% -2.1% -5.7% -7.2% 10.8% -0.5% 0.9% -0.0%
Relative Return -7.3% -2.7% 2.6% -5.8% 0.2% 4.3% 4.0% 9.3% 14.1% -11.3% 2.9% 1.5% 13.1%
 
2012 Strategy -3.6% 5.5% 11.1% 2.6% 5.6% -0.3% 0.2% -2.4% -1.0% 5.5% 3.3% -5.6% 21.5%
Benchmark 4.4% 4.1% 3.1% -0.7% -6.3% 4.0% 1.3% 2.0% 2.4% -2.0% 0.3% 0.7% 13.4%
Relative Return -8.0% 1.5% 7.9% 3.3% 11.8% -4.2% -1.0% -4.4% -3.4% 7.5% 3.0% -6.3% 8.1%
 
2013 Strategy 1.0% 2.6% -0.8% 2.4% -4.3% 2.8% -4.3% -0.4% 0.5% 8.1% 6.0% 2.8% 16.9%
Benchmark 5.0% 1.1% 3.6% 1.8% 2.1% -1.5% 4.9% -3.1% 3.0% 4.5% 2.8% 2.4% 29.6%
Relative Return -4.0% 1.5% -4.4% 0.6% -6.4% 4.3% -9.3% 2.8% -2.5% 3.7% 3.2% 0.5% -12.7%
 
2014 Strategy -5.3% -1.0% -0.5% 1.7% -0.5% 1.0% 1.8% -1.0% 1.8% 5.5% -1.5% 0.9% 2.4%
Benchmark -3.6% 4.3% 0.7% 0.6% 2.1% 1.9% -1.5% 3.8% -1.6% 2.3% 2.5% -0.4% 11.4%
Relative Return -1.7% -5.3% -1.2% 1.0% -2.6% -0.9% 3.3% -4.8% 3.3% 3.2% -3.9% 1.3% -9.0%
 
2015 Strategy 6.9% 1.2% 4.0% -5.5% 4.5% 1.4% 2.2% -0.4% 2.4% -1.2% -4.3% 5.6% 17.2%
Benchmark -3.1% 5.5% -1.7% 0.9% 1.0% -2.1% 2.0% -6.3% -2.6% 8.3% 0.1% -1.8% -0.7%
Relative Return 10.0% -4.3% 5.7% -6.4% 3.4% 3.5% 0.3% 5.8% 5.0% -9.5% -4.3% 7.3% 17.9%
 
2016 Strategy 2.1% 3.7% 2.9% 1.1% -0.8% 1.2% 0.3% 3.5% 3.3% 5.9% -4.6% -3.7% 15.3%
Benchmark -5.1% -0.4% 6.6% 0.3% 1.5% 0.1% 3.6% -0.1% -0.1% -1.9% 3.4% 1.8% 9.5%
Relative Return 7.2% 4.1% -3.7% 0.8% -2.4% 1.1% -3.2% 3.6% 3.4% 7.8% -8.0% -5.6% 5.8%
 
2017 Strategy 0.9% -2.0% 0.7% 1.8% 5.6% -0.5% 2.3% -1.5% -3.7% 1.3% -2.2% 0.3% 2.7%
Benchmark 1.8% 3.7% -0.0% 0.9% 1.2% 0.5% 1.9% 0.1% 1.9% 2.2% 2.8% 1.0% 19.4%
Relative Return -0.9% -5.7% 0.7% 0.9% 4.5% -1.0% 0.4% -1.6% -5.7% -0.9% -5.0% -0.7% -16.7%
 
2018 Strategy 1.1% 4.4% 0.2% 3.2% -0.6% -0.1% -2.1% -0.1% 0.3% -1.9% -4.0% 1.4% 1.4%
Benchmark 5.6% -3.9% -2.7% 0.3% 2.2% 0.5% 3.6% 3.0% 0.4% -6.9% 1.8% -9.2% -6.2%
Relative Return -4.5% 8.3% 2.9% 2.9% -2.8% -0.6% -5.7% -3.1% -0.2% 5.1% -5.8% 10.6% 7.7%
 
2019 Strategy -4.7% 1.7% 3.5% N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.4%
Benchmark 7.9% 3.0% 0.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 12.1%
Relative Return -12.5% -1.3% 2.6% N/A N/A N/A N/A N/A N/A N/A N/A N/A -11.8%
 
Monthly Return for Core By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2010 -6.7% 4.7% 9.0% 3.2% -5.4% -6.1% 5.8% -3.1% 6.0% 4.3% 4.4% 6.5% 23.2%
2011 0.9% 2.8% 1.0% 1.3% -1.3% -1.1% -0.9% -4.3% -4.3% 8.8% -0.5% -0.4% 1.4%
2012 5.7% 2.3% 3.8% -0.4% -6.2% 4.3% 1.9% -0.1% 1.8% -1.3% -0.3% 1.1% 12.6%
2013 3.9% 0.5% 3.6% 2.9% 2.0% -0.6% 5.8% -2.8% 3.4% 5.0% 2.8% 2.2% 32.6%
2014 -2.4% 3.6% 0.9% 1.4% 1.0% 1.7% -1.7% 3.0% -2.5% 1.7% 2.8% 0.6% 10.2%
2015 0.9% 1.0% -0.4% -0.9% 0.9% -1.9% 2.8% -7.9% -0.2% 4.0% -2.4% -1.6% -6.3%
2016 -6.9% 2.0% 12.3% 6.1% -4.1% 3.0% 6.3% -5.8% -0.0% -2.1% 9.3% 0.3% 20.2%
2017 2.9% 2.6% -0.4% 1.6% 2.0% -0.8% 1.0% 2.0% 2.1% 2.9% 0.6% 0.8% 18.6%
2018 4.4% -2.9% -3.8% 0.6% 2.0% 1.4% 0.5% 1.8% -0.0% -8.1% 3.1% -7.6% -9.1%
2019 6.7% 2.8% -0.7% N/A N/A N/A N/A N/A N/A N/A N/A N/A 8.9%
Monthly Return for Hedge By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2010 7.5% 8.1% -1.6% -2.1% 7.8% 8.6% -8.9% 6.7% -9.1% 0.7% -4.2% -1.6% 9.9%
2011 -11.7% -2.5% 4.5% -8.5% -0.9% 7.7% 5.6% 13.6% 18.9% -8.5% 5.4% 5.0% 26.9%
2012 -12.1% 9.1% 18.4% 5.3% 15.6% -3.4% -0.9% -4.0% -3.2% 11.2% 6.0% -10.2% 30.1%
2013 -1.3% 4.3% -4.4% 2.0% -9.7% 6.2% -13.6% 2.6% -2.6% 11.6% 9.2% 3.5% 4.9%
2014 -8.0% -5.8% -2.2% 2.0% -2.3% 0.2% 6.1% -5.5% 7.2% 9.8% -5.9% 1.3% -4.9%
2015 13.8% 1.4% 8.5% -9.7% 8.2% 4.5% 1.8% 6.5% 4.4% -5.1% -5.6% 11.6% 44.5%
2016 8.8% 4.7% -2.9% -2.5% 1.8% -0.2% -4.2% 11.4% 5.7% 11.2% -12.7% -6.6% 12.0%
2017 -0.8% -5.7% 1.7% 2.0% 8.7% -0.2% 3.4% -4.2% -8.6% -0.3% -4.8% -0.3% -9.6%
2018 -2.3% 12.4% 4.1% 5.4% -2.8% -1.4% -4.5% -1.8% 0.6% 4.5% -10.2% 10.5% 13.3%
2019 -14.1% 0.5% 7.9% N/A N/A N/A N/A N/A N/A N/A N/A N/A -6.8%
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2010 105.5% 65.6% 113.8% 95.7% 73.9% 97.3% 67.9% 82.5% 32.0% 57.9% 82.9% 109.7% 984.7%
2011 71.4% 65.1% 61.1% 28.5% 115.0% 77.6% 39.7% 108.1% 158.9% 111.6% 29.5% 110.7% 977.4%
2012 76.8% 60.3% 49.6% 86.3% 118.6% 96.3% 90.3% 136.5% 71.7% 93.8% 83.3% 106.4% 1,069.8%
2013 117.4% 115.1% 111.0% 68.1% 136.0% 78.6% 94.0% 160.8% 123.6% 47.9% 100.7% 70.0% 1,223.3%
2014 112.7% 118.9% 83.3% 85.7% 53.8% 67.2% 126.8% 105.6% 113.6% 99.4% 75.3% 96.1% 1,138.3%
2015 97.4% 87.0% 96.7% 94.2% 130.5% 141.0% 74.9% 108.1% 74.6% 120.6% 113.4% 76.4% 1,214.7%
2016 160.1% 110.7% 105.9% 100.9% 89.3% 110.9% 132.9% 105.4% 108.0% 100.0% 133.4% 99.8% 1,357.2%
2017 44.0% 108.0% 67.4% 130.7% 107.4% 114.5% 88.1% 125.3% 124.1% 124.4% 55.7% 113.0% 1,202.5%
2018 52.3% 111.7% 128.9% 77.9% 134.1% 121.7% 104.4% 249.4% 147.2% 129.8% 98.5% 82.7% 1,438.5%
2019 107.8% 114.4% 53.9% N/A N/A N/A N/A N/A N/A N/A N/A N/A 276.1%
  

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  • Capacity and daily float was supportive of volume traded.
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