Enhanced Investments - Financial Portal

Maximum drawdown: -32.2 (2016-05-24)

Performance of portfolio vs
benchmark (S&P500 Index)

Portfolio structure
dynamics

Strategy description:

For every company we calculate EBITDА (Earnings before interest, tax and amortization) in current and historical market enviromnent. We take average EBITDA between them, if current market enviromnent is better. Otherwise (if current environment is worse) we conservatively take current market environment.

We calculate EV/EBITDA multiple using calculated EBITDA, target EV/EBITDA muktiple is considered to be historical level of EV/EBITDA for the last 3 years on the 75% percentile level. Investment is being made in all the companies where calculated potential is >10%.

Table Returns by company shows following parameters:

(1) how many days we would have been invested in the company in accordance with the tested strategy
(2) return for the time period of being invested in the company in accordance with the tested strategy
(3) return of being invested in the company for the whole testing period
(4) annualized (average annual) return of being invested in the company in accrordance with the strategy( = (2)^ (365/ (1)) )
(5) annualized (average annual)return of being invested in the company infor the whole testing period

Strategy index:11.332

SP500 index:1.984

Strategy return:+1 033.2%

SP500 return:+98.4%

Annualized Strategy return:+35.0%

Annualized SP500 return:+8.8%

Sharpe ratio:1.30

Volatility:23.7%

Return by year

Y	Strategy	SP500
2015	182.3%	-0.7%
2016	-18.0%	9.5%
2017	19.8%	19.4%
2018	10.9%	-6.2%
2019	-3.0%	28.9%
2020	31.1%	15.7%
2021	72.8%	27.4%
2022	72.6%	-18.8%
2023	-2.9%	5.6%
Average	35.0%	8.8%
Total	1033.2%	98.4%

Returns by company

Ticker	Days	Yield	Yield	Ann-d	Ann-d
			full		full
601088.SS	0	0.0%	651.9%		>1000%
AA	2421	113.9%	54.5%	12.1%	5.5%
AAL	1836	48.5%	163.0%	8.2%	16.6%
AAL_US	1337	-88.6%	-67.7%	-44.7%	-24.2%
ACB	0	0.0%	-77.9%		-40.4%
ALB	234	77.7%	425.8%	145.1%	23.1%
ALK	1268	-56.6%	-6.7%	-21.4%	-1.7%
ANDE	2048	89.9%	-18.0%	12.1%	-2.9%
ANGPY	1939	-57.3%	214.1%	-14.8%	15.2%
APA	2293	-45.1%	-14.3%	-9.1%	-2.2%
ARCH	1151	34.7%	190.0%	9.9%	23.3%
AU	1005	40.7%	160.6%	13.2%	12.6%
BG	1184	9.7%	34.3%	2.9%	5.3%
BHP	1894	174.4%	145.1%	21.5%	11.7%
BRFS	1582	-64.5%	-93.2%	-21.3%	-35.7%
CCJ	1176	93.4%	87.3%	22.7%	8.1%
CF	1610	42.6%	92.7%	8.4%	8.5%
CGC	1062	-34.5%	67.0%	-13.5%	19.2%
CLF	2367	-87.9%	217.7%	-27.8%	15.4%
CMCLF	904	29.9%	803.7%	11.1%	50.2%
CNQ	2147	-32.8%	178.8%	-6.5%	13.5%
CNX	2407	32.5%	-39.8%	4.4%	-6.1%
CRLBF	550	271.8%	-64.2%	139.0%	-32.7%
CRON	1011	-42.1%	1409.1%	-17.9%	153.7%
CTRA	1273	-37.8%	5.0%	-12.7%	0.7%
CTRM	895	137.5%	-75.8%	42.3%	-40.6%
CURLF	530	-28.2%	-35.7%	-20.4%	-14.1%
CVI	1494	93.4%	140.6%	17.5%	22.5%
CVSI	1062	-100.5%	-98.3%	nan%	-75.3%
DAC	2225	673.9%	-17.6%	39.9%	-3.0%
DAL	1285	-42.3%	-12.6%	-14.5%	-3.2%
DQ	1088	23.2%	766.9%	7.2%	60.3%
EGLE	1188	845.0%	-96.8%	99.4%	-64.0%
EGO	2266	-67.5%	-68.5%	-16.5%	-13.3%
EOG	1375	-12.8%	81.6%	-3.6%	9.1%
EQNR	1530	-0.8%	154.7%	-0.2%	19.4%
EQT	1975	-32.9%	-16.9%	-7.1%	-2.3%
ESEA	2268	-99.9%	-18.3%	-67.7%	-3.1%
ET	2810	-9.9%	-13.0%	-1.4%	-1.7%
EVRG	306	52.3%	95.1%	65.2%	20.4%
FANG	1336	-87.1%	187.5%	-42.8%	16.7%
FCX	2563	-67.3%	110.9%	-14.7%	9.7%
FNLPF	1579	83.3%	-10.1%	15.0%	-1.3%
GM	1787	-24.3%	36.1%	-5.5%	4.6%
GNK	1099	308.1%	-83.1%	59.5%	-41.0%
GOGL	1117	748.9%	-34.0%	101.2%	-11.6%
GOLD	2245	-78.0%	110.0%	-21.8%	9.6%
GTBIF	174	-44.0%	-29.5%	-70.4%	-11.3%
GTE	2787	-99.2%	-74.8%	-46.9%	-15.7%
IIPR	235	-4.1%	442.2%	-6.2%	78.6%
IMPUY	2850	59.9%	115.5%	6.2%	10.0%
IPI	2231	-32.3%	-76.7%	-6.2%	-16.5%
IPOAF	2161	638.5%	-4.7%	40.2%	-0.6%
KGC	2338	99.4%	79.2%	11.4%	7.5%
LUV	1336	-26.9%	-8.9%	-8.2%	-2.3%
MERC	1729	-44.8%	33.9%	-11.8%	4.4%
MMLP	1122	524.3%	-75.1%	81.4%	-33.9%
MOS	1377	-36.0%	23.8%	-11.1%	5.0%
MPC	1978	-27.1%	285.2%	-5.7%	27.0%
MRO	2083	3.9%	13.3%	0.7%	1.8%
NEM	559	51.9%	232.5%	31.4%	16.0%
NTR	1176	2.6%	74.4%	0.8%	15.6%
NUE	2061	475.5%	322.6%	36.3%	19.5%
OROCF	643	-83.6%	340.9%	-64.1%	20.4%
OXY	1878	-66.3%	8.8%	-19.0%	1.2%
PBF	2603	-66.9%	102.5%	-14.3%	9.1%
PBR	1605	121.6%	201.0%	19.8%	21.6%
PCH	1138	-30.7%	102.3%	-11.1%	10.9%
POR	1228	-15.0%	62.2%	-4.7%	6.2%
REI	2332	-97.6%	-76.7%	-44.1%	-16.5%
RIO	1686	24.9%	213.6%	4.9%	15.2%
SBSW	1812	201.9%	172.6%	24.9%	13.2%
SCCO	785	12.0%	246.2%	5.4%	16.6%
SNDL	0	0.0%	-98.9%		-86.4%
SWN	2763	-93.8%	-79.6%	-30.7%	-17.9%
TCNNF	349	-10.5%	-38.3%	-10.9%	-15.3%
TECK	2494	-90.1%	235.7%	-28.8%	16.2%
TLRY	190	-28.3%	-81.1%	-47.3%	-43.6%
TROX	2640	-94.9%	-6.7%	-33.8%	-0.8%
TSN	1241	153.7%	89.9%	31.5%	11.1%
UAL	1333	-66.9%	-27.1%	-26.1%	-7.5%
US_AGRO	1887	-59.6%	4.9%	-16.1%	0.8%
VALE	2374	-16.7%	255.3%	-2.8%	17.0%
VLO	881	-16.9%	303.1%	-7.4%	22.6%
WY	1056	90.5%	30.6%	25.0%	4.0%
X	2685	11.7%	15.5%	1.5%	1.8%
ZIM	221	51.7%	169.6%	99.0%	269.5%

Performance of portfolio vsbenchmark (S&P500 Index)

Portfolio structuredynamics

Performance of portfolio vs
benchmark (S&P500 Index)

Portfolio structure
dynamics