Model: Utilities Live by Lucena Research

Performance 11/4/16 - 8/7/20
Investment Approach
Model: Utilities Live
The portfolio's goal is to track the Utilities Sector Select SPDR ETF (XLU) aiming to achieve higher Sharpe Ratio through active rebalancing.
The Utilities Live portfolio consists of up to 12 securities from the Russell 1000 that together minimize tracking error against the XLU. In addition, using Lucena's machine learning optimization engine (MVO combined with Lucena's Forecaster) we optimize every two weeks for maximum risk adjusted return (max Sharpe Ratio).
Rebalancing trades are executed every other Tuesday. In addition, there is a trailing stop loss per security based on 126/ATR * 3.50.
If the price drops by at least 3.5 times the average daily range as measured by the past 6 months.
Performance Versus Benchmark (Utilities Select Sector SPDR) 11/4/16 to 8/7/20
Strategy Overall Bench Overall Strategy YTD Bench YTD
Abs. Return 112.78% 44.91% -2.42% -3.09%
Rel. Return 67.88% N/A 0.67% N/A
Beta 0.90 N/A 0.92 N/A
Std. Dev 1.42% 1.42% 2.88% 3.01%
Sharpe 1.00 0.51 0.14 0.20
Draw Down 32.90% 36.07% 32.90% 36.07%
IR 1.08 N/A -0.25 N/A
R² 0.38 N/A 0.93 N/A
Historical Summary
1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
Ann. Return 4.88% 13.36% 13.38% 22.33% N/A
Std. Dev 2.29% 1.74% 1.50% 1.42% N/A
Ann. Volatility 36.36% 27.63% 23.84% 22.61% N/A
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 2.30% -0.07% -2.81% 5.34% 7.67% -9.70% -5.00% 0.28% 2.92% -7.29% 9.03% 1.25% 2.13%
Benchmark 4.25% -0.76% -1.87% 3.29% 6.75% -9.86% -10.00% 3.34% 4.24% -4.67% 7.80% 1.08% 1.63%
Rel. Return -1.95% 0.69% -0.94% 2.05% 0.92% 0.16% 5.00% -3.05% -1.32% -2.61% 1.23% 0.17% 0.50%
Perspective on Performance

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Model: Utilities Live

Model: Utilities Live

Strategy Performance Analysis by Lucena Research
Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions1,028
Commissions$4,591.11
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$4,591.11
Benchmark Relative Metrics:
Beta0.90
Information Ratio1.08
R^20.38
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: Utilities Live112.78%1.001.20 1.13 1.42% 32.90%
Utilities Select Sector SPDR44.91%0.510.59 0.00 1.42% 36.07%
SPDR S&P; 500 Trust72.38%0.780.82 0.73 1.27% 33.72%
Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
Model: Utilities Live$1,000K$2,128K$2,128K N/A
Utilities Select Sector SPDR$42.43$61.49$19.06 N/A
SPDR S&P; 500 Trust$194.09$334.57$140.48 N/A

Performance Metrics By Year
2016 2017 2018 2019 2020
ReturnStrategy 6.36% 45.04% 17.74% 20.06% -2.42%
Utilities Select Sector SPDR 1.95% 12.05% 3.94% 25.93% -3.09%
SPDR S&P; 500 Trust 7.70% 21.71% -4.57% 31.22% 5.02%
Winning DaysStrategy 46.15% 59.36% 55.78% 58.73% 55.92%
Utilities Select Sector SPDR 58.97% 55.38% 51.98% 59.92% 55.26%
SPDR S&P; 500 Trust 61.54% 56.97% 52.78% 59.52% 58.55%
SharpeStrategy 2.66 2.56 1.12 1.56 0.14
Utilities Select Sector SPDR 0.83 1.22 -0.04 2.08 0.20
SPDR S&P; 500 Trust 5.54 2.96 -0.38 2.24 0.40
SortinoStrategy 3.13 6.15 1.60 2.28 0.17
Utilities Select Sector SPDR 0.92 1.81 -0.05 3.06 0.26
SPDR S&P; 500 Trust 13.21 3.99 -0.46 2.74 0.46
Max DDStrategy 3.45% 6.36% 11.60% 6.75% 32.90%
Utilities Select Sector SPDR 6.45% 7.46% 12.64% 5.48% 36.07%
SPDR S&P; 500 Trust 1.28% 2.61% 19.35% 6.62% 33.72%
AlphaStrategy 0.06 0.45 0.18 0.20 -0.02
Utilities Select Sector SPDR 0.00 0.00 0.00 0.00 0.00
SPDR S&P; 500 Trust 0.08 0.22 -0.05 0.31 0.05
St. Dev.Strategy 1.00% 0.95% 0.99% 0.77% 2.88%
Utilities Select Sector SPDR 1.28% 0.61% 1.01% 0.72% 3.01%
SPDR S&P; 500 Trust 0.57% 0.42% 1.09% 0.79% 2.57%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
2016 Strategy 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.29% 5.01% 6.36%
Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% -2.50% 4.90% 1.95%
Relative Return 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 3.79% 0.11% 4.40%
 
2017 Strategy 9.75% 3.49% 3.38% -1.21% 2.92% -1.44% 16.04% 2.51% -1.64% 3.26% 5.83% -3.60% 45.04%
Benchmark 1.26% 5.27% -0.13% 0.76% 4.14% -2.71% 2.42% 3.29% -2.76% 3.90% 2.69% -6.06% 12.05%
Relative Return 8.50% -1.78% 3.52% -1.97% -1.22% 1.27% 13.61% -0.78% 1.11% -0.64% 3.14% 2.46% 32.99%
 
2018 Strategy -4.74% -4.66% 8.12% 2.29% 2.63% 0.08% 2.51% 3.48% 1.17% 0.80% 6.06% -0.54% 17.74%
Benchmark -3.11% -3.88% 3.80% 2.04% -1.11% 2.81% 1.60% 1.29% -0.65% 1.98% 3.54% -3.99% 3.94%
Relative Return -1.63% -0.78% 4.33% 0.26% 3.74% -2.74% 0.91% 2.20% 1.82% -1.18% 2.52% 3.45% 13.81%
 
2019 Strategy 4.15% 3.33% 3.18% -0.16% -4.77% 3.00% -0.61% 6.13% 2.30% -0.07% -2.81% 5.34% 20.06%
Benchmark 3.48% 4.11% 2.79% 0.93% -0.78% 3.19% -0.13% 5.09% 4.25% -0.76% -1.87% 3.29% 25.93%
Relative Return 0.68% -0.78% 0.39% -1.09% -3.99% -0.18% -0.47% 1.04% -1.95% 0.69% -0.94% 2.05% -5.87%
 
2020 Strategy 7.67% -9.70% -5.00% 0.28% 2.92% -7.29% 9.03% 1.25% 0.00% 0.00% 0.00% 0.00% -2.42%
Benchmark 6.75% -9.86% -10.00% 3.34% 4.24% -4.67% 7.80% 1.08% 0.00% 0.00% 0.00% 0.00% -3.09%
Relative Return 0.92% 0.16% 5.00% -3.05% -1.32% -2.61% 1.23% 0.17% 0.00% 0.00% 0.00% 0.00% 0.67%
 
  
Performance Disclaimer
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.
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.