Industrials -- 0 - Conservative -- 5 - Moderate -- 5 - Moderate -- 5 - Moderate by Lucena Research

Performance 1/1/04 - 1/26/17
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Investment Approach
Optimize Backtest
Performance Versus Benchmark 1/1/04 to 1/26/17
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 555.27% 209.79% 1.99% 3.65%
Rel. Return 345.48% N/A -1.66% N/A
Beta 0.63 N/A 1.00 N/A
Std. Dev 1.13% 1.30% 0.64% 0.55%
Sharpe 0.89 0.52 2.70 5.59
Draw Down -35.26% -62.26% -1.46% -0.81%
IR 0.36 N/A -4.38 N/A
R² 0.53 N/A 0.76 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 19.18% 7.95% 9.07% 14.35% 18.42%
Std. Dev 0.81% 0.87% 0.86% 0.88% 1.20%
Ann. Volatility 12.93% 13.74% 13.59% 13.99% 19.05%
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Total
Strategy 7.85% 6.11% -1.01% -0.69% -0.91% -0.18% -0.17% 1.24% -1.12% 6.48% -1.32% 1.99% N/A
Benchmark 4.26% 6.97% 1.24% -0.43% 0.71% 3.62% 0.95% 0.19% -2.00% 9.09% 0.31% 3.65% N/A
Rel. Return 3.59% -0.87% -2.25% -0.26% -1.62% -3.80% -1.11% 1.05% 0.88% -2.61% -1.62% -1.66% 0.00%
  
Perspective on Performance

Industrials -- 0 - Conservative -- 5 - Moderate -- 5 - Moderate -- 5 - Moderate

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: 1/28/17 2:56 AM
Date Range: 1/1/04-1/26/17
Generated by: Erez Katz
Benchmark: XLI
Target Leverage: 1.0
Transaction Cost Modeling:
Commission/trade$2.95
Commission/share$0.0035
Leverage1.0
Short Borrowing3.50%
Slippage5.0 bps
Rebalancing:
FrequencyEvery 10 Days
Preferred Day Tuesday
Exit Criteria Settings:
Stop Loss 4.00%
Max Gain 20.00%
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 5 - Moderate
Forecast Settings:
Forecast Method Price Forecaster
  
Performance Metrics
Transaction Cost:
Commissions$106,874.47
Slippage$680,569.29
Borrowing Costs$0.00
Total Transaction Costs$787,443.75
Transaction Analysis:
Number of Transactions4,141
Average Trade Hold Days29
% Successful Transactions50.15%
% Hit Stop Loss51.61%
% Hit Stop Gain2.57%
Profit RatioN/A
Monthly Performance Metrics:
Days of Outperformance N/A
Months of Outperformance52.87%
Most Consecutive Months of Outperformance9
Most Consecutive Months of Underperformance8
Benchmark Relative Metrics:
Beta0.63
Information Ratio0.36
R^20.53
Tracking Error0.91%
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Fund555.27%0.891.28 4.22 1.13% -35.26%
Benchmark209.79%0.520.68 0.00 1.30% -62.26%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Fund$1,000K$6,553K$5,553K 15.49%
Benchmark$1,000K$3,098K$2,098K 9.05%
  
Performance Metrics By Year
2004 2005 2006 2007 2008 2009 2010
ReturnStrategy 15.01% 1.01% 7.93% 33.19% -23.39% 45.36% 20.64%
Benchmark 16.70% 2.75% 13.52% 13.50% -38.73% 22.03% 27.82%
Winning DaysStrategy 51.20% 51.19% 55.78% 56.18% 49.30% 54.73% 57.32%
Benchmark 52.89% 53.23% 54.62% 57.26% 50.20% 54.58% 53.44%
SharpeStrategy 1.11 0.14 0.61 1.53 -1.07 1.53 1.03
Benchmark 1.28 0.29 1.12 0.87 -1.08 0.77 1.22
SortinoStrategy 2.07 0.21 0.74 2.43 -1.37 2.36 1.37
Benchmark 2.06 0.49 1.72 1.19 -1.55 1.16 1.70
Max DDStrategy -8.44% -10.19% -13.95% -11.40% -29.76% -19.37% -26.71%
Benchmark -8.24% -7.71% -12.44% -10.33% -49.13% -37.61% -18.64%
AlphaStrategy 0.01 -0.01 -0.04 0.21 -0.10 0.32 0.01
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00
St. Dev.Strategy 0.85% 0.80% 0.90% 1.27% 1.41% 1.68% 1.27%
Benchmark 0.81% 0.74% 0.75% 1.01% 2.41% 2.06% 1.39%
Tracking ErrorStrategy 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
2010 2011 2012 2013 2014 2015 2016 2017
ReturnStrategy 20.64% 34.69% 21.39% 42.23% 6.11% 10.24% 5.29% 1.99%
Benchmark 27.82% -1.10% 14.92% 40.55% 10.36% -4.32% 20.00% 3.65%
Winning DaysStrategy 57.32% 54.73% 50.00% 57.94% 54.98% 48.99% 50.40% 61.11%
Benchmark 53.44% 54.62% 51.22% 61.45% 55.60% 48.40% 54.98% 66.67%
SharpeStrategy 1.03 1.33 1.30 2.76 0.52 0.74 0.45 2.70
Benchmark 1.22 0.10 0.99 2.70 0.79 -0.19 1.32 5.59
SortinoStrategy 1.37 2.01 2.06 4.42 0.80 1.19 0.63 5.15
Benchmark 1.70 0.13 1.62 4.02 1.05 -0.31 1.78 11.93
Max DDStrategy -26.71% -15.09% -12.41% -5.81% -13.07% -7.35% -10.63% -1.46%
Benchmark -18.64% -25.84% -12.16% -5.77% -10.05% -14.98% -9.43% -0.81%
AlphaStrategy 0.01 0.35 0.08 0.07 -0.02 0.13 -0.09 -0.02
Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
St. Dev.Strategy 1.27% 1.55% 1.01% 0.82% 0.82% 0.91% 0.84% 0.64%
Benchmark 1.39% 1.72% 0.96% 0.81% 0.86% 1.01% 0.92% 0.55%
Tracking ErrorStrategy 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
  
Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2004 Strategy -2.57% -0.31% 3.54% 2.65% 2.64% 6.42% -5.37% 0.36% 2.78% 0.89% 3.97% -0.39% 15.01%
Benchmark 0.11% -0.74% -1.22% -0.04% 2.46% 6.17% -2.79% 0.07% 2.15% 1.02% 6.28% 2.48% 16.70%
Relative Return -2.68% 0.43% 4.76% 2.69% 0.18% 0.25% -2.58% 0.29% 0.63% -0.14% -2.31% -2.87% -1.70%
 
2005 Strategy -4.36% 1.05% 1.61% -5.35% 3.58% -4.13% 2.99% -0.07% 4.05% -3.71% 4.72% 1.34% 1.01%
Benchmark -2.80% 1.16% -0.04% -3.65% 3.17% -2.64% 3.81% -2.36% 1.68% -1.43% 5.82% 0.47% 2.75%
Relative Return -1.56% -0.11% 1.65% -1.70% 0.41% -1.49% -0.83% 2.29% 2.37% -2.28% -1.09% 0.87% -1.74%
 
2006 Strategy 5.19% 2.36% 4.49% 0.54% -2.76% -2.69% -3.43% -0.59% 3.52% -1.08% 2.29% 0.26% 7.93%
Benchmark 0.29% 3.11% 4.42% 2.16% -1.71% -0.13% -5.68% 1.13% 3.82% 2.82% 2.45% 0.49% 13.52%
Relative Return 4.91% -0.75% 0.07% -1.62% -1.05% -2.56% 2.25% -1.72% -0.30% -3.90% -0.16% -0.24% -5.59%
 
2007 Strategy -1.04% -1.57% -0.88% 19.10% 6.29% -2.13% 3.37% -2.79% 8.12% 2.80% -3.87% 3.71% 33.19%
Benchmark 2.09% -1.12% 0.81% 4.64% 5.19% 0.03% 0.95% 0.03% 4.74% -1.29% -2.84% -0.13% 13.50%
Relative Return -3.12% -0.45% -1.69% 14.46% 1.10% -2.16% 2.42% -2.82% 3.38% 4.09% -1.04% 3.84% 19.69%
 
2008 Strategy -7.38% -1.44% 1.86% 1.05% 2.45% -7.46% -0.49% 4.56% -10.10% -8.21% -8.16% 9.06% -23.39%
Benchmark -5.52% -2.03% 3.63% 2.94% 0.88% -12.02% 0.79% 2.74% -12.07% -18.25% -8.22% 2.33% -38.73%
Relative Return -1.86% 0.58% -1.77% -1.89% 1.56% 4.56% -1.29% 1.82% 1.97% 10.04% 0.06% 6.74% 15.34%
 
2009 Strategy -4.13% -6.94% 14.28% 21.10% -2.38% -4.87% 12.92% 1.81% 4.63% 2.44% 7.34% -4.16% 45.36%
Benchmark -12.00% -17.03% 8.82% 18.07% 3.35% -1.70% 8.74% 4.77% 5.83% -3.99% 8.78% 1.67% 22.03%
Relative Return 7.87% 10.09% 5.46% 3.04% -5.73% -3.17% 4.18% -2.96% -1.20% 6.43% -1.44% -5.84% 23.33%
 
2010 Strategy 2.43% 4.45% 8.83% 5.32% -8.25% -7.03% -7.79% -4.17% 14.00% 0.53% 4.28% 9.21% 20.64%
Benchmark -1.48% 5.33% 8.69% 4.26% -9.12% -6.88% 10.43% -6.93% 11.53% 2.88% 1.34% 7.48% 27.82%
Relative Return 3.91% -0.88% 0.14% 1.07% 0.87% -0.16% -18.22% 2.76% 2.47% -2.35% 2.94% 1.73% -7.19%
 
2011 Strategy 4.50% 1.53% -1.38% 6.16% -4.32% 0.01% -6.65% 6.33% -8.09% 28.46% 3.03% 4.94% 34.69%
Benchmark 3.93% 2.12% 2.23% 2.73% -2.76% -0.55% -6.87% -6.57% -9.31% 14.37% 1.41% 0.25% -1.10%
Relative Return 0.58% -0.60% -3.61% 3.43% -1.55% 0.55% 0.23% 12.90% 1.22% 14.09% 1.63% 4.69% 35.79%
 
2012 Strategy 8.44% 7.99% -0.64% -3.26% -6.97% 4.06% 2.14% 0.56% -0.05% 1.05% 4.25% 3.00% 21.39%
Benchmark 7.32% 2.79% 0.98% -1.10% -6.32% 3.37% 0.39% 1.54% 1.12% -0.11% 1.75% 2.82% 14.92%
Relative Return 1.12% 5.20% -1.62% -2.16% -0.65% 0.69% 1.75% -0.98% -1.17% 1.16% 2.50% 0.17% 6.46%
 
2013 Strategy 6.25% 0.94% 5.44% -0.21% 7.78% -2.96% 5.87% -1.83% 5.14% 5.29% 3.39% 1.30% 42.23%
Benchmark 5.75% 2.22% 2.25% -0.62% 5.02% -1.54% 5.91% -2.48% 5.87% 4.76% 3.66% 4.22% 40.55%
Relative Return 0.50% -1.28% 3.19% 0.41% 2.76% -1.42% -0.04% 0.65% -0.72% 0.53% -0.27% -2.92% 1.68%
 
2014 Strategy -3.17% 6.04% -1.43% 1.42% -0.19% -0.70% -3.93% 2.47% -4.24% 5.06% 4.17% 1.10% 6.11%
Benchmark -4.27% 4.06% 0.95% 1.34% 1.92% 0.47% -4.13% 4.23% -1.15% 3.88% 3.08% -0.02% 10.36%
Relative Return 1.09% 1.99% -2.39% 0.08% -2.12% -1.18% 0.19% -1.75% -3.10% 1.18% 1.09% 1.13% -4.26%
 
2015 Strategy -0.80% 6.69% 0.85% 1.37% -0.52% -1.84% -1.03% -1.69% 2.49% 6.94% -0.27% -1.91% 10.24%
Benchmark -3.55% 5.35% -2.55% -0.25% 0.32% -2.66% 0.30% -5.40% -2.20% 8.78% 0.87% -2.57% -4.32%
Relative Return 2.75% 1.34% 3.39% 1.63% -0.85% 0.82% -1.33% 3.72% 4.70% -1.84% -1.13% 0.67% 14.56%
 
2016 Strategy -9.90% 7.85% 6.11% -1.01% -0.69% -0.91% -0.18% -0.17% 1.24% -1.12% 6.48% -1.32% 5.29%
Benchmark -5.70% 4.26% 6.97% 1.24% -0.43% 0.71% 3.62% 0.95% 0.19% -2.00% 9.09% 0.31% 20.00%
Relative Return -4.20% 3.59% -0.87% -2.25% -0.26% -1.62% -3.80% -1.11% 1.05% 0.88% -2.61% -1.62% -14.72%
 
2017 Strategy 1.99% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1.99%
Benchmark 3.65% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.65%
Relative Return -1.66% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -1.66%
 
Monthly Turnover For Strategy By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2004 158.08% 117.33% 196.25% 139.19% 109.05% 35.56% 139.88% 192.64% 124.80% 133.00% 101.83% 129.74% 1,577.36%
2005 198.01% 137.28% 172.29% 168.45% 72.94% 180.08% 104.08% 225.67% 72.98% 118.71% 128.45% 91.55% 1,670.50%
2006 254.71% 200.67% 122.93% 114.50% 118.65% 151.55% 147.00% 152.15% 94.11% 112.69% 143.44% 134.22% 1,746.63%
2007 239.60% 156.76% 152.15% 124.02% 108.33% 134.04% 167.47% 218.47% 120.01% 148.10% 184.87% 116.79% 1,870.60%
2008 255.70% 117.91% 176.17% 190.49% 99.34% 125.16% 174.40% 140.30% 183.30% 204.75% 200.49% 193.01% 2,061.02%
2009 183.98% 197.70% 173.99% 152.17% 145.95% 230.39% 212.64% 173.78% 158.48% 183.44% 80.83% 213.33% 2,106.68%
2010 135.52% 125.86% 87.52% 132.74% 182.99% 207.52% 227.19% 194.60% 80.24% 82.89% 134.49% 194.51% 1,786.07%
2011 128.46% 193.45% 162.62% 106.64% 214.66% 232.38% 142.56% 168.17% 211.81% 118.08% 234.31% 164.20% 2,077.34%
2012 91.60% 93.36% 97.64% 116.45% 251.15% 115.94% 88.55% 160.04% 153.19% 179.95% 196.72% 67.24% 1,611.82%
2013 90.02% 121.99% 105.76% 216.71% 181.38% 174.69% 152.72% 44.23% 126.92% 199.75% 120.11% 114.01% 1,648.28%
2014 200.30% 118.33% 155.45% 165.58% 152.71% 177.09% 192.75% 142.38% 243.65% 240.99% 148.36% 143.09% 2,080.68%
2015 185.28% 114.36% 241.17% 229.17% 144.81% 110.44% 179.70% 172.85% 212.94% 98.63% 121.84% 85.83% 1,897.02%
2016 223.16% 142.25% 158.84% 164.97% 128.79% 159.54% 68.05% 229.41% 130.17% 130.88% 137.29% 184.58% 1,857.94%
2017 124.00% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 124.00%
  

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.

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