Model: TB-Tuesday by Lucena Research

Performance 4/25/14 - 7/18/19
Investment Approach
TieBreaker is a market neutral long/short strategy which employs Machine Learning algorithms to identify long positions and hedge them with anti-correlated long and/or short positions. TieBreaker model has been running since April 28, 2014. However, the allocation methods have been substantially updated on September 1, 2014 and again on 10/1/2016. TieBreaker has demonstrated low volatility and strong resilience against unexpected market moves. A market neutral strategy (Long/Short) lags the major indexes in a strong bull market but provide great protection and added Alpha when the market is flat or when it turns more volatile. Tiebreaker utilizes a multi-layered approach to scan for momentum stocks and then it applies Lucena's machine learning forecaster to further hone in on the most probable long positions. Hence, the positions with the highest projected market-relative returns coupled with the highest confidence scores. An equal number of long and/or short positions are then selected as hedge using Lucena’s proprietary Hedge-Finder technology. The combined core and hedge portfolio is configured to achieve maximum Sharpe ratio.
Performance Versus Benchmark (Vanguard Market Neutral Fund Insti Shs) 4/25/14 to 7/18/19
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 53.26% -8.72% 2.79% -10.46%
Rel. Return 61.99% N/A 13.25% N/A
Beta 0.18 N/A 0.02 N/A
Std. Dev 0.41% 0.29% 0.35% 0.23%
Sharpe 1.29 -0.33 0.94 -3.86
Draw Down 8.77% 17.09% 3.27% 10.72%
IR 1.33 N/A 3.61 N/A
R² 0.02 N/A 0.00 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 2.61% 2.95% 7.39% 9.28% 8.51%
Std. Dev 0.40% 0.37% 0.38% 0.41% 0.41%
Ann. Volatility 6.36% 5.88% 6.03% 6.58% 6.48%
Performance Attribution
Risk/Return versus benchmark
Monthly Return Comparison Trailing 12 Months
Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Total
Strategy 1.77% 0.18% -2.92% 0.12% -0.08% 1.25% 1.51% 1.34% 0.71% -2.51% 0.35% 0.17% 1.78%
Benchmark 1.87% -0.25% 0.67% -3.65% -0.43% -2.33% -0.80% -2.32% -2.19% -1.96% -1.62% 0.29% -12.13%
Rel. Return -0.09% 0.43% -3.59% 3.77% 0.35% 3.58% 2.31% 3.66% 2.90% -0.55% 1.97% -0.12% 13.91%
Perspective on Performance
  
Model: TB-Tuesday

Model: TB-Tuesday

Strategy Performance Analysis by Lucena Research
Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions6,246
Commissions$42,658.29
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$42,658.29
Benchmark Relative Metrics:
Beta0.18
Information Ratio1.33
R^20.02
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: TB-Tuesday53.26%1.292.02 0.53 0.41% 8.77%
Vanguard Market Neutral Fund Insti Shs-8.72%-0.33-0.48 0.00 0.29% 17.09%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: TB-Tuesday$1,000K$1,533K$532,642.97 N/A
Vanguard Market Neutral Fund Insti Shs$11.35$10.36($0.99) N/A

Performance Metrics By Year
2014 2015 2016 2017 2018 2019
ReturnStrategy 9.11% 13.87% 6.04% 13.82% -0.57% 2.79%
Vanguard Market Neutral Fund Insti Shs 0.88% 5.41% 2.24% -5.92% -0.34% -10.46%
Winning DaysStrategy 51.15% 53.97% 47.62% 56.18% 53.17% 54.01%
Vanguard Market Neutral Fund Insti Shs 44.25% 49.60% 43.65% 40.64% 37.74% 20.81%
SharpeStrategy 2.40 1.72 0.82 2.79 -0.05 0.94
Vanguard Market Neutral Fund Insti Shs 0.39 1.01 0.49 -1.47 -0.06 -3.86
SortinoStrategy 5.00 2.54 1.44 4.45 -0.08 1.42
Vanguard Market Neutral Fund Insti Shs 0.62 1.60 0.81 -1.93 -0.09 -4.90
Max DDStrategy 2.98% 4.00% 6.16% 2.65% 8.77% 3.27%
Vanguard Market Neutral Fund Insti Shs 2.94% 3.37% 7.15% 5.99% 4.81% 10.72%
AlphaStrategy 0.09 0.14 0.06 0.14 -0.01 0.03
Vanguard Market Neutral Fund Insti Shs 0.00 0.00 0.00 0.00 0.00 0.00
St. Dev.Strategy 0.34% 0.49% 0.47% 0.30% 0.42% 0.35%
Vanguard Market Neutral Fund Insti Shs 0.24% 0.34% 0.30% 0.26% 0.34% 0.23%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2014 Strategy 0.00% 0.00% 0.00% -0.08% 0.33% -0.72% -0.95% 0.49% -0.23% 3.84% 4.44% 1.81% 9.11%
Benchmark 0.00% 0.00% 0.00% 0.18% 0.97% -1.57% 0.80% 0.09% 0.00% -0.09% 0.88% -0.26% 0.88%
Relative Return 0.00% 0.00% 0.00% -0.25% -0.64% 0.84% -1.75% 0.40% -0.23% 3.92% 3.56% 2.07% 8.23%
 
2015 Strategy -0.18% 2.15% 2.34% -0.01% 0.90% 1.88% 1.64% 3.09% 2.70% 0.70% -1.25% -0.79% 13.87%
Benchmark 1.14% -2.07% 1.15% -1.13% 0.71% -0.88% 2.65% -0.69% 5.11% -0.58% -0.66% 0.75% 5.41%
Relative Return -1.31% 4.22% 1.19% 1.13% 0.19% 2.75% -1.01% 3.78% -2.42% 1.28% -0.59% -1.54% 8.46%
 
2016 Strategy 2.65% 2.53% -1.08% -1.85% 0.20% -2.15% -0.02% 0.66% -0.86% 0.66% 4.10% 1.22% 6.04%
Benchmark 1.33% 1.55% -0.40% -1.78% -1.81% -1.26% 0.68% -2.02% 0.52% 0.68% 4.08% 0.82% 2.24%
Relative Return 1.33% 0.98% -0.68% -0.07% 2.01% -0.89% -0.70% 2.69% -1.37% -0.03% 0.02% 0.41% 3.80%
 
2017 Strategy 0.24% 5.12% 0.85% 0.33% 0.96% -0.42% 3.35% 0.04% 1.17% 1.87% 1.75% -2.08% 13.82%
Benchmark -1.78% -0.25% -0.41% -0.08% -2.08% 0.08% 0.93% -1.34% 0.17% 0.68% -1.01% -0.94% -5.92%
Relative Return 2.02% 5.37% 1.27% 0.42% 3.04% -0.50% 2.42% 1.39% 1.00% 1.19% 2.76% -1.14% 19.73%
 
2018 Strategy 3.67% -3.10% -1.26% 0.81% -0.61% 0.08% 0.96% 1.77% 0.18% -2.92% 0.12% -0.08% -0.57%
Benchmark 1.55% 0.25% -0.34% -1.19% 2.06% -1.77% 1.03% 1.87% -0.25% 0.67% -3.65% -0.43% -0.34%
Relative Return 2.12% -3.35% -0.92% 2.00% -2.67% 1.85% -0.07% -0.09% 0.43% -3.59% 3.77% 0.35% -0.22%
 
2019 Strategy 1.25% 1.51% 1.34% 0.71% -2.51% 0.35% 0.17% 0.00% 0.00% 0.00% 0.00% 0.00% 2.79%
Benchmark -2.33% -0.80% -2.32% -2.19% -1.96% -1.62% 0.29% 0.00% 0.00% 0.00% 0.00% 0.00% -10.46%
Relative Return 3.58% 2.31% 3.66% 2.90% -0.55% 1.97% -0.12% 0.00% 0.00% 0.00% 0.00% 0.00% 13.25%
 
  
Performance Disclaimer
Tiebreaker's model portfolio is a paper trading simulation and it assumes an opening account balance of $1,000,000 cash. Tiebreaker started to paper trade on April 28, 2014 as a cash neutral and Bata neutral strategy. However, it was substantially modified to its current dynamic mode on 9/1/2014 and again on 10/1/2016. Trade execution and return figures assume positions are opened at the 11:00AM EST price quoted by the primary exchange on which the security is traded and unless a stop is triggered, the positions are closed at the 4:00PM EST price quoted by the primary exchange on which the security is traded. In the case of a stop loss, a trailing stop loss is imposed and is measured from the intra-week high (in the case of longs) and low (in the case of shorts). Tiebreaker assesses the price at which the position is exited with the following modification: prior to March 1st, 2016, at times but not at all times, if, in consultation with a client executing the strategy, it is found that the client received a less favorable price in closing out a position when a stop loss is triggered, the less favorable price is used in determining the exit price. Since March 1st, 2016, all trades are conducted automatically with no modifications based on the guidelines outlined herein. No manual modifications have been made to the gain stop prices. In instances where a position gaps through the trigger price, the initial gapped trading price is utilized. Transaction costs are calculated as the larger of 6.95 per trade or $0.0035 * number of shares trades.
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.