Model: Industrials Live by Lucena Research

Performance 1/27/17 - 11/24/17
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Investment Approach
Model:Industrials Live
Performance Versus Benchmark (Industrial Select Sector SPDR) 1/27/17 to 11/24/17
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
Historical Summary
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
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

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Model: Industrials Live

Model: Industrials Live

Strategy Performance Analysis by Lucena Research
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Performance Report
Performance Chart
Correlation
Beta
Exposure
  
Performance Metrics
Transaction Cost:
Number of Transactions260
Commissions$1,444.68
Slippage$0.00
Borrowing CostsN/A
Total Transaction Costs$1,444.68
Benchmark Relative Metrics:
Beta0.99
Information Ratio1.23
R^20.54
Performance Metrics:
Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
Model: Industrials Live21.71%2.012.90 0.22 0.76% 4.77%
Industrial Select Sector SPDR12.18%1.602.19 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
ReturnStrategy 21.71%
Industrial Select Sector SPDR 12.18%
Winning DaysStrategy 57.62%
Industrial Select Sector SPDR 55.71%
SharpeStrategy 2.01
Industrial Select Sector SPDR 1.60
SortinoStrategy 2.90
Industrial Select Sector SPDR 2.19
Max DDStrategy 4.77%
Industrial Select Sector SPDR 3.97%
AlphaStrategy 0.22
Industrial Select Sector SPDR 0.00
St. Dev.Strategy 0.76%
Industrial Select Sector SPDR 0.57%
  

Monthly Return to Benchmark By Year
JanFebMarAprMayJunJulAugSepOctNovDecTotal
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.