## Portfolio

6m ahead

### Predictive Factors

The engine identifies what we call the causally predictive factors: a small set of assets judged to be the most important driving forces behind your selected item's forecast.

SPDR EURO STOXX 50 ETF

SPDR S&P Dividend ETF

Salesforce

iShares 7-10 Year Treasury Bond ETF

iShares China Large-Cap ETF

as of

### Our Probabilistic Prediction

Based on the predictive features above, we run many models repeatedly, each predicting a set of possible outcomes for the date in 6m and aggregate them.

## Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the *realised probability level* is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

**Invesco Nasdaq-100 ETF**

🔴 p-value: 0.0 < 0.001

## Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the *realised probability level* is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

**SPDR S&P 500 ETF**

🟢 p-value: 0.001 > 0.001

## Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the *realised probability level* is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

**SPDR Dow Jones Industrial Average ETF**

🟢 p-value: 0.007 > 0.001

Each model casts a single vote on the likely direction of change. If one actually makes trades, a trade will be opened every day with the size in number of shares/lots proportional to the majority vote and kept open for 6m. The currently open trades result in the position for the next end-of-day time point (when the market is open),

% Up | % Down | % Undecided | |
---|---|---|---|

Invesco Nasdaq-100 ETF | 53% | 3% | 44% |

SPDR S&P 500 ETF | 91% | 1% | 8% |

SPDR Dow Jones Industrial Average ETF | 99% | 1% | 0% |

with respect to the following time points,

Time | Value | |
---|---|---|

Invesco Nasdaq-100 ETF | Tue 2024-08-13 UTC | 462.58 |

SPDR S&P 500 ETF | Tue 2024-08-13 UTC | 542.04 |

SPDR Dow Jones Industrial Average ETF | Tue 2024-08-13 UTC | 397.79 |

#### Performance of Past Trades

The overall profit and loss of the trades opened in the above manner, in contrast to the buy-and-hold strategy of one constant share, would have been as plotted below. The Sharpe ratio is calculated on returns measured as the difference between values rather than in percentage, assuming *zero* trading cost.

##### Invesco Nasdaq-100 ETF

Active | Buy-and-Hold | |
---|---|---|

Sharpe ratio (the higher the better) |
1.56 | 1.53 |

Solvency II Value-at-Risk 99.5% (the lower the better) |
- | - |

##### SPDR S&P 500 ETF

Active | Buy-and-Hold | |
---|---|---|

Sharpe ratio (the higher the better) |
1.51 | 1.46 |

Solvency II Value-at-Risk 99.5% (the lower the better) |
- | - |

##### SPDR Dow Jones Industrial Average ETF

Active | Buy-and-Hold | |
---|---|---|

Sharpe ratio (the higher the better) |
0.89 | 0.93 |

Solvency II Value-at-Risk 99.5% (the lower the better) |
- | - |