Model: WSH Long Earnings

Performance 3/12/19 - 6/27/22
Investment Approach
About Wall Street Horizon:
Wall Street Horizon provides institutional investors and traders with the most accurate and comprehensive forward-looking corporate data. Wall Street Horizon offers over 40 event types covering more than 9,000 equities worldwide.

Backtest: WSH Long Earnings
The portfolio is based on a model set to identify buy signals based on Wall Street Horizon earnings date shift data. More specifically identify optimal conditions for entry when a company shifts its earnings date earlier than it was originally set. The model portfolio scans securities from the S&P; 500 universe.

Here's how the backtest is conducted:

  • The portfolio selects its assets using Lucena’s event scan technology which identifies the equities most likely to outperform the S&P; 500 in the near       future.
  • The scan is run everyday, if constituents are identified for entry, the available cash is allocated equally between all the newly identified constituents.
  • The entered positions are held for 42 days or until they hit the stop loss condition defined for the position
  • There are a stop losses on the positions, which execute when the ATR (average true range) crosses above 3x of the normal volatility (averaged               across the past 126 day).
  • The portfolio can stay in cash if no constituents are identified. Market relative performance, low volatility and high Sharpe are the goals of the                 strategy.
    • Performance Versus Benchmark (S&P; 500 Total Return) 3/12/19 to 6/27/22
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 251.8% 40.1% 93.6% -18.2%
    Rel. Return 211.7% N/A 111.7% N/A
    Beta 0.35 N/A 0.20 N/A
    Ann. Volatility 16.3% 23.0% 9.4% 23.5%
    Sharpe 1.14 0.56 -0.62 -1.63
    Drawdown -18.6% -33.9% -8.3% -23.6%
    IR 0.27 N/A 1.59 N/A
    Tracking Error 20.7% N/A 20.5% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 107.2% 72.7% 45.8% 46.4% N/A
    Ann. Volatility 10.8% 14.8% 16.0% 16.3% N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Total
    Strategy -3.3% 0.3% -0.2% 8.6% -0.8% 1.8% -5.2% 2.5% 101.8% -0.7% 0.4% -1.0% 105.3%
    Benchmark 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% -5.3% -3.1% 3.6% -8.8% 0.0% -5.6% -9.2%
    Rel. Return -5.6% -2.6% 4.6% 1.7% 0.0% -2.6% 0.1% 5.6% 98.2% 8.1% 0.4% 4.6% 114.5%
    Perspective on Performance

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    Model: WSH Long Earnings

    Model: WSH Long Earnings

    Strategy Performance Analysis by Wall Street Horizon
    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: WSH Long Earnings$998,384$3,512K$3,512K 46.4%
    S&P; 500$2,783.30$3,900.11$1,116.81 10.7%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: WSH Long Earnings251.8%1.141.61 16.3% 18.6%
    S&P; 50040.1%0.560.63 23.0% 33.9%

    Transaction Cost:
    Number of Transactions291
    Total Commissions ($0.0035 per share, $2.95 min per trade)$2,080
    Slippage$0
    Borrowing CostsN/A
    Total Transaction Costs$2,080
    Benchmark Relative Metrics:
    Beta0.35
    Information Ratio0.27
    Annualized Tracking Error20.7%

    Trade Analysis
    Trade Metrics (Successful):
    Metric Long Short All
    # Trades 78 (54.5%) 0 (N/A) 78 (54.5%)
    Avg Gain 9.98% 0.00% 9.98%
    Avg Hold Time 1 months less than a second 1 months
    Trade Metrics (Unsuccessful):
    Metric Long Short All
    # Trades 65 (45.5%) 0 (N/A) 65 (45.5%)
    Avg Loss -6.09% 0.00% -6.09%
    Avg Hold Time 3 weeks less than a second 3 weeks

    Best Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    STE Mar 27, 2020 9:31:34 AM May 28, 2020 9:30:28 AM 2 months 24.4% $98,547.15 9.3%

    Worst Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    BWA Jun 24, 2021 9:30:31 AM Jul 19, 2021 10:03:15 AM 3 weeks -9.5% ($57,623.15) -3.4%

    Best Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

    Worst Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

    Performance Metrics By Year
    2019 2020 2021 2022
    ReturnStrategy 21.3% 24.9% 19.9% 93.6%
    S&P; 500 16.1% 16.3% 26.9% -18.2%
    Winning DaysStrategy 55.1% 49.4% 54.0% 52.1%
    S&P; 500 58.5% 57.3% 56.7% 38.0%
    SharpeStrategy 1.49 1.21 1.35 -0.62
    S&P; 500 1.56 0.61 1.88 -1.63
    SortinoStrategy 2.26 1.70 2.04 -0.71
    S&P; 500 1.83 0.69 2.67 -2.30
    Max DDStrategy 8.0% 18.6% 8.2% 8.3%
    S&P; 500 6.8% 33.9% 5.2% 23.6%
    Ann. VolatilityStrategy 17.0% 20.0% 14.2% 9.4%
    S&P; 500 12.0% 34.4% 13.1% 23.5%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.0% 0.0% -1.5% 10.2% -5.3% 10.6% 1.3% -1.0% 2.2% 3.4% 0.3% 0.5% 21.3%
    Benchmark 0.0% 0.0% 1.5% 3.9% -6.6% 6.9% 1.3% -1.8% 1.7% 2.0% 3.4% 2.9% 16.1%
    Relative Return 0.0% 0.0% -3.1% 6.3% 1.3% 3.7% -0.0% 0.9% 0.4% 1.4% -3.1% -2.4% 5.3%
     
    2020 Strategy 3.7% -8.5% -5.5% -2.3% 8.1% 4.6% 9.5% 3.8% -3.0% 2.8% 7.5% 3.4% 24.9%
    Benchmark -0.2% -8.4% -12.5% 12.7% 4.5% 1.8% 5.5% 7.0% -3.9% -2.8% 10.8% 3.7% 16.3%
    Relative Return 3.9% -0.0% 7.0% -15.0% 3.6% 2.7% 4.0% -3.2% 1.0% 5.5% -3.2% -0.3% 8.7%
     
    2021 Strategy -0.2% 0.4% 6.4% 4.5% 1.1% 0.5% -3.3% 0.3% -0.2% 8.6% -0.8% 1.8% 19.9%
    Benchmark -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% 26.9%
    Relative Return 0.9% -2.2% 2.2% -0.8% 0.5% -1.7% -5.6% -2.6% 4.6% 1.7% 0.0% -2.6% -7.0%
     
    2022 Strategy -5.2% 2.5% 101.8% -0.7% 0.4% -1.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 93.6%
    Benchmark -5.3% -3.1% 3.6% -8.8% 0.0% -5.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -18.2%
    Relative Return 0.1% 5.6% 98.2% 8.1% 0.4% 4.6% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 111.7%
     
    Monthly Turnover By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 N/A N/A 34.8% 14.7% 51.0% 46.7% 42.8% 89.0% 13.6% 79.9% 20.8% 47.8% 441.1%
    2020 16.5% 135.4% 126.2% 29.1% 85.3% 0.0% 61.9% 6.6% 44.0% 54.6% 0.0% 99.8% 659.3%
    2021 0.0% 130.7% 19.6% 71.6% 36.3% 72.8% 85.2% 5.1% 71.9% 14.1% 34.4% 8.9% 550.5%
    2022 68.3% 0.1% 0.0% 0.0% 0.0% 0.0% N/A N/A N/A N/A N/A N/A 68.4%
      

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    To the extent investment returns are presented, such investment returns are either hypothetically backtested or reflect a perpetual paper trading simulation and are labeled as such. Returns are presented as net returns of transaction costs, slippage and short borrowing costs (when applicable). Investment returns are also net of Neuravest standard annualized management fees of 40 basis points (on Assets Under Management) and 10% performance fee on excess return above an 8% hurdle. Investment returns presented reflect the reinvestment of dividends and other earnings, however they do not account for taxes that an investor may owe as a result of any investment gains. Investors may incur taxes as a result of investing, and may pay different transaction costs to the ones presented to the broker-dealer executing the transactions for their account(s).

    Hypothetical backtested returns are simulated, retroactive, and created using the benefit of hindsight to a select period of time, and are thus inherently not as reflective of actual historical returns. Any hypothetical backtested returns are based on the following assumptions and criteria:

    • Actual price was available for execution
    • Capacity and daily float was supportive of volume traded.
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