Model: Industrials Live

Investment Approach

Model:Industrials Live

Performance Versus Benchmark (Industrial Select Sector SPDR) 1/27/17 to 11/24/17

Performance Attribution

Risk/Return versus benchmark

Monthly Return Comparison Trailing 12 Months

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
Strategy	-1.26%	4.23%	-0.86%	4.53%	1.33%	4.58%	-1.59%	0.33%	4.44%	3.40%	1.01%	0.00%	21.71%
Benchmark	-1.72%	3.91%	-0.77%	1.97%	1.78%	1.35%	0.29%	0.22%	4.18%	0.75%	-0.17%	0.00%	12.27%
Rel. Return	0.46%	0.32%	-0.10%	2.57%	-0.45%	3.23%	-1.89%	0.11%	0.25%	2.65%	1.18%	0.00%	9.44%

Perspective on Performance

Performance Chart

Correlation

Beta

Transaction Cost:

Number of Transactions	260
Commissions	$1,444.68
Slippage	$0.00
Borrowing Costs	N/A
Total Transaction Costs	$1,444.68

Benchmark Relative Metrics:

Beta	0.99
Information Ratio	1.23
R^2	0.54

Performance Metrics:

Portfolio	Return	Sharpe	Sortino	Alpha	Standard Dev	Max DrawDown
Model: Industrials Live	21.71%	2.01	2.90	0.22	0.76%	4.77%
Industrial Select Sector SPDR	12.18%	1.60	2.19	0.00	0.57%	3.97%

Portfolio	Initial	Adjusted Final	Adjusted Return	Compound Annual Return
Model: Industrials Live	$1,000K	$1,217K	$217,100.54	N/A
Industrial Select Sector SPDR	$62.12	$69.69	$7.57	N/A

Performance Metrics By Year

		2017
Return	Strategy	21.71%
Return	Industrial Select Sector SPDR	12.18%
Winning Days	Strategy	57.62%
Winning Days	Industrial Select Sector SPDR	55.71%
Sharpe	Strategy	2.01
Sharpe	Industrial Select Sector SPDR	1.60
Sortino	Strategy	2.90
Sortino	Industrial Select Sector SPDR	2.19
Max DD	Strategy	4.77%
Max DD	Industrial Select Sector SPDR	3.97%
Alpha	Strategy	0.22
Alpha	Industrial Select Sector SPDR	0.00
St. Dev.	Strategy	0.76%
St. Dev.	Industrial Select Sector SPDR	0.57%

Monthly Return to Benchmark By Year

		Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2017	Strategy	-1.26%	4.23%	-0.86%	4.53%	1.33%	4.58%	-1.59%	0.33%	4.44%	3.40%	1.01%	0.00%	21.71%
	Benchmark	-1.72%	3.91%	-0.77%	1.97%	1.78%	1.35%	0.29%	0.22%	4.18%	0.75%	-0.17%	0.00%	12.18%
	Relative Return	0.46%	0.32%	-0.10%	2.57%	-0.45%	3.23%	-1.89%	0.11%	0.25%	2.65%	1.18%	0.00%	9.53%

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.

	Strategy Overall	Bench Overall	Strategy YTD	Bench YTD
Abs. Return	21.71%	12.18%	21.71%	12.18%
Rel. Return	9.53%	N/A	9.53%	N/A
Beta	0.99	N/A	0.99	N/A
Std. Dev	0.76%	0.57%	0.76%	0.57%
Sharpe	2.01	1.60	2.01	1.60
Draw Down	4.77%	3.97%	4.77%	3.97%
IR	1.23	N/A	1.23	N/A
R²	0.54	N/A	0.54	N/A

	1 Yr	2 Yr	3 Yr	5 Yr	10 Yr
Ann. Return	N/A	N/A	N/A	N/A	N/A
Std. Dev	N/A	N/A	N/A	N/A	N/A
Ann. Volatility	N/A	N/A	N/A	N/A	N/A

Model: Industrials Live by Lucena Research

Model: Industrials Live