EVO 1, 2 and 3 Monthly Returns and Comprehensive Performance Statistics - UPDATED 6/30/19
If you want to dig deeper into EVO strategies' performance, this is the place to do it. In addition to EVO 1, the comprehensive performance is shown for
EVO 2 and EVO 3. A myriad of tables and graphs of performance are presented including all monthly returns from inception of each strategy, drawdown graphs, and Modern and Post-Modern Portfolio Theory statistics.
|Metric||EVO1 Gross||EVO1 Net 2.0%||S&P 500|
|Annualized Rate of Return||19.64%||13.22%||8.69%|
|Standard Deviation (mo.)||4.16%||4.16%||4.05%|
|Loss Standard Deviation (mo.)||-2.99%||-2.91%||-3.80%|
|Sortino Ratio (mo.), (Citi 3 mo.TB)||0.46||0.38||0.21|
|Maximum Drawdown||-23.9%||-25.02%||-51.0%||Maximum Drawdown Recovery Period||17 months||19 months||37 months|
|Up Capture vs. Market||90.68%||84.21%||100%|
|Down Capture vs. Market||47.16%||51.68||100%|
|Alpha vs. Market||10.77%||8.42%||0%|
|Beta vs. Market||0.47||0.48||1.00|
For Individual Investors: Net Performance
The Fact Sheet and chart below show how a $100,000 investment in EVO 1 would have grown since inception on May 31, 2002 net of maximum fees.
Performance reflects reinvestment of dividends and other earnings. Past performance does not guarantee future results.
Potomac Advisors EVO 1 Performance Disclosure
The Evolutionary Market Timing System Non-Discretionary Composite EVO is a purely mechanical, algorithmic, trading system based on quantitative analysis, in which no discretion is involved. The composite is comprised of numerous long and intermediate-term market timing systems (filters) and quantitative short-term trading systems (triggers) that are integrated into one composite decision-making system for generating buy, sell to cash, and shorting (inverse) signals, (Signals). The EVO 1 strategy applies the Signals using a leveraged S&P 500 index mutual fund as the primary investment security for long positions in seeking to magnify the index’s exposure 150% on a daily basis to increase the potential return on investment. Conversely, leverage can magnify the losses of an investment during a down market. The fund’s use of derivatives, such as futures, options and swap agreements, may expose the fund’s shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. The EVO 1 trading strategy also may employ an unleveraged inverse S&P 500 index mutual fund for short positions. Short positions have been made very infrequently. Positions are taken to replicate a “100% all in” in either the long, short, or money market (for cash) funds at all times. Given the potential risks involved, strategies employing leverage and shorting may not be suitable for conservative investors.
EVO 2 uses the same Signals, and investment vehicles as EVO 1 described above, with the same associated risks, but is traded using discretion of the portfolio manager as to whether or not to act on the Signals generated by the EVO system, or to allocate less than 100% percent into a fund. Discretionary deviations from the EVO Signals may occur if the portfolio manager believes that: 1) geopolitical events may upset the patterns of market behavior forecast by EVO, or 2) technical indicators that the portfolio manager employs in other tactical asset allocation strategies, that are not quantifiable into algorithms, may indicate a trend counter to that forecast by EVO.
EVO 3 employs the same Signals and funds as EVO 1, except that it invests in an unleveraged Nasdaq 100® index mutual fund for long positions. Investing in a NASDAQ-100 index fund involves certain risks, which may include increased volatility due to the use of options or futures and the possibility that companies in which the fund invests may not be commercially successful or may become obsolete more quickly. The fund’s use of derivatives, such as futures, options and swap agreements, may expose the fund’s shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives.
EVO strategies use the Rydex Mutual funds, which are products of the global asset management company, Guggenheim Investments, and which focus on leveraged and unleveraged index funds. There are no assurances that any Rydex fund will achieve its objective and/or strategy. The index funds employed in all EVO strategies are subject to active trading and tracking error risks, which may increase volatility, impact the funds’ ability to achieve its investment objectives and may decrease the funds’ performance. The funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in more diversified funds. Given the potential risks involved, the EVO strategies may not be suitable for all investors.
EVO 1, EVO 2, and EVO 3 performance are based on the oldest actual Potomac Advisor’s accounts using those strategies and are considered representative of all Potomac Advisor accounts using those strategies, since all accounts, with few exceptions, are traded in the same omnibus group account for that strategy. Occasionally, an account may have different results than the composite due to specific investor instructions, fund restrictions, when the account was opened, or when a new contribution was made to the account. The oldest account in the EVO 1 composite has been verified for performance since inception by an independent third party verifier, Theta Research, and is continuously monitored daily by Theta Research. Composite returns are precision dated, time-weighted total returns, that reflect the reinvestment of dividends and capital gain distributions. Composite returns are net of the underlying mutual fund management fees, custodial fees and other fund (administrative) expenses.
The performance results shown here reflect the use of the Guggenheim Rydex Investor class funds traded directly through the fund. Results shown here include simulated management fees charged by Potomac Advisors of 2.00% annually, the maximum fee charged by Potomac Advisors, prorated quarterly and billed in advance. Fees charged by Potomac Advisors or other investment advisors for this strategy may be higher or lower than the fees charged by Potomac Advisors and may be calculated in a different manner, thereby resulting in different performance than shown here. No adjustments have been made for potential income tax consequences. Performance for other investment programs may differ materially (more or less) from the performance shown here. It should not be assumed that future recommendations will be profitable or equal past performance. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.
While EVO strategies may be considered aggressive because of their use of derivatives, shorting, and/or the frequency of trading, they have demonstrated less risk than their benchmarks, as measured by maximum drawdown, beta, and monthly standard deviation - key volatility metrics. The lower level of volatility is a result of having avoided severe market declines and spending half the time in cash. However, there is no guarantee that this risk performance will continue, and therefore, investors need to be aware that the possibility of whipsaw trades resulting from a sequence of consecutive losing trades could result in accentuated losses greater than the respective indexes. Given the potential risks involved, the strategies may not be suitable for all investors.
For EVO 1 and EVO 2, the benchmark returns are the S&P 500. The benchmark returns for EVO 3 are the Nasdaq 100® index. Benchmark returns such as the S&P 500 and the Nasdaq-100 are total returns and reflect the reinvestment of dividends. Benchmark returns are provided exclusively for comparison purposes only so as to provide general comparative information to assist an individual client or prospective client in determining whether the performance of a Potomac Advisors strategy meets, or continues to meet, his/her investment objective(s).
The S&P 500 Index is a capital weighted index composed of 500 widely held common stocks varying in composition, and is not available for direct investment. The Nasdaq-100 Index includes 100 of the largest non-financial domestic and international securities listed on The Nasdaq Stock Market based on market capitalization, and is not available for direct investment.
It should not be assumed that any of Potomac Advisors, Inc. programs will correspond directly to any such comparative index. The volatility of the market indices may materially differ (more or less) from that of the actual portfolios. Since individuals cannot invest directly into any index, deductions for management fees or other custodial or transaction charges are not taken into account. These charges, if applicable, would reduce the overall return of the illustrated indexes. The strategies shown involve investing in mutual funds. Mutual fund shares are not insured by the FDIC or any other agency, are not guaranteed by any financial institution, are not obligations of any financial institution, and involve investment risk, including possible loss of principal.
The data presented relative to this disclosure has been collected from sources believed to be reliable; however, Potomac Advisors does not guarantee nor warrant the accuracy, timeliness, or completeness of the information. Past performance is no guarantee of future results. This material is for informational purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any security. Such offers can only be made where lawful under applicable law.Potomac Advisors is registered as an investment adviser in various states. Such registration does not imply a certain skill or training and no inference to the contrary should be made. Information pertaining to Potomac Advisor’s advisory operations, services, and fees is set forth in their current Form ADV Part II, a copy of which is available from Potomac Advisors upon request, but shall be delivered to you prior to entering into a management agreement with Potomac Advisors. Information pertaining to any mutual fund that is used in any EVO strategy is set forth in each respective mutual fund’s prospectus, a copy of which is also available from Potomac Advisors upon request or may be obtained online directly at: http://guggenheiminvestments.com/.
EVO 1's Top Ranked Performance
In the last 17 plus years, the EVO system has demonstrated impressive results with increasing performance as time went on due to incremental enhancements made to the system. EVO 1 consistently ranks as the only active management strategy ranked by Theta Research whose annualized returns and risk adjusted returns placed it in the top five or ten among all the active money manager strategies ranked daily and monthly by Theta Research for seven annual time periods from one to 10 years. In 2015 and 2016 EVO 1 has been ranked as the Number 1 or Number 2 strategy for annualized returns and risk adjusted returns for multiple time periods. Theta Research is an independent performance ranking subscription service that ranks over 100 active money managers actual results. EVO’s results are real, solid, concrete, actual, and not based on theoretical backtests or hybrid combinations of long periods of backtested results with a short period of live trading results. (While backtests are necessary for most trading systems' model development, they should not be used to advertise a strategy without rigid disclosures such as those advocated by the CFA Institute). However, even more impressive for EVO is the outlook for the future based on enhancements made to the system that have demonstrated a ramp up in performance to the next level in recent years. With more promising changes on the drawing board, we want to push the envelope for raising EVO's performance to a level that few have achieved.
VIEW OUR FACT SHEET, NET 2.0% ANNUAL MANAGEMENT FEES:
Calendar Year Returns
June 1, 2002 through December 31 2019
|Year||EVO1 Gross||EVO1 Net 2.0%||S&P 500|
For Investment Professionals
June 1, 2002 through December 31, 2019
Registered Investment Advisers who wish to license EVO signals for managing their clients’ accounts should view the gross performance pdf Fact Sheet, chart, and tables below. The Fact Sheet shows how a $100,000 investment in EVO 1 would have grown since inception on May 31, 2002. The chart shows the widening gap of EVO 1 relative to the S&P 500 total return. The tables show the relative performance of EVO 1 to the S&P 500 total return on a yearly basis and various modern and post-modern portfolio metrics that advisers may find useful in analyzing EVO 1's risk and risk adjusted returns. These results are before any of the advisers' management fees, or marketing and distribution fees that may be charged by the class of funds other advisers may use.
The gross performance results shown are intended to demonstrate to advisers and potential licensees of EVO the performance of the manager, not the performance after fees, which are set by the licensees, and may differ from fees set by Potomac Advisors for their clients. When presented to potential retail investors, performance net of the adviser or Potomac’s maximum fees must be also presented. Potomac’s maximum annual advisory fee is 2% prorated quarterly and paid in advance each quarter.