SmallCap Rockets (PFC)

Holdings protected for Charter members only

Performance
0304050607080910111213141516171819
Model (%) 1019771934121579-3367950123425-1617
Benchmark (%) 3593144-382313-0133011-11019-625
Excess (%) 668868803840-866-323493912246-10-8

Risk Measurements Since Inception Trailing 3 Year
  Model S&P 500 ($SP500)   Model S&P 500 ($SP500)
Total Return 25,107.54% 282.20%   23.60% 39.04%
Annualized Return 39.02% 8.32%   7.32% 11.61%
Max Drawdown -29.72% -56.78%   -28.94% -19.78%
Standard Deviation 21.86% 13.47%   21.40% 12.23%
Sharpe Ratio 1.57 0.56   0.34 0.88
Sortino Ratio 2.35 0.72   0.47 1.09
Correlation with S&P 500 ($SP500) 0.53 -   0.52 -
R-Squared 0.28 -   0.27 -
Beta 0.85 -   0.92 -
Alpha (annualized) 31.91% -   -2.57% -

This is a high octane system that prefers smallcaps with a big upside based on analyst revisions. It has minimum liquidity constrains where each stock must have at least $200,000 of daily turnover to be purchased. Smaller stocks are preferred to give an additional upside boost from volatility, although the market cap must be at least 50 million. There is some market-timing on the buy side - the market must be in a fundamental or technical short-term uptrend before purchasing new holdings is allowed. An optimum of 10 stocks are held in this portfolio.

Key Stats
Annualized Return (CAGR) 39.02%
Alpha 31.91%
Rebalance Frequency Every Week
Last Rebalance 12/09/19
% Cash Invested 100.31%

Trading Stats
Average Days Held 67
Average Annual Turnover 453.76 %
Average Return 2.77%
Average Return Winners 15.84%
Average Return Losers -9.88%
Winners 56.81%