Regime-Adaptive Equity (PRAE)

Report Date: May 2022

Index Description

Growth of 1,000

ProfitScore’s Regime-Adaptive Equity (PRAE) is a highly liquid, systematic index trading S&P 500 Index securities. Depending on the market state – Low Vol or High Vol – trading decisions are driven by two different trading constructs. During Low Vol, the system is designed to identify and dynamically capture gains based on persistent directional moves. As volatility increases, markets often become increasingly unstable and inefficient. During these High Vol states, trade length shortens as the program quickly adjusts exposures to capitalize on market inefficiencies. This program’s most significant value generally occurs during periods of high volatility and market stress when many other strategies are faced with performance challenges.

For more information on PRAE and Profitscore's other indicies, please visit www.ProfitScoreIndex.com

Risk/Return

Key Features

  • Highly liquid, transparent investments
  • Tactical models to minimize systematic risk
  • Multiple constructs to adapt to specific market states
  • Long and short positions

Monthly Returns Live Performance Data

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2022 0.71 10.44 4.13 -2.63 8.30 22.13
2021 -2.21 3.24 0.11 4.60 -0.21 1.19 1.17 -0.66 -4.31 3.97 -1.73 1.64 6.61
2020 -0.04 -7.42 10.70 17.81 3.40 -1.80 2.48 6.98 -2.21 -3.69 7.30 3.91 41.08
2019 1.16 2.91 1.87 2.87 -4.48 3.79 1.51 1.12 2.50 6.11 3.42 2.90 28.50
2018 3.10 -0.61 4.83 1.18 2.75 -0.87 1.14 3.19 0.65 -8.73 -3.10 -3.33 -0.58
2017 1.86 3.93 1.12 0.18 1.41 0.64 2.82 0.29 2.01 2.36 1.58 1.03 20.94
2016 -3.80 -1.31 6.72 0.40 1.70 0.35 3.65 0.64 0.35 -1.06 2.10 1.59 11.52
2015 -1.30 5.62 -0.83 0.24 1.77 -1.37 1.12 0.01 1.14 2.24 0.85 -1.09 8.51
2014 0.14 0.69 2.32 2.06 0.72 1.17 0.20 2.75 1.13 -1.71 9.80

Important information: Past performance of a ProfitScore index is not an indication of future results. You cannot invest directly in any ProfitScore index. Performance of any ProfitScore index does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in an index. Index performance does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in fund shares. Such fees, expenses and commissions would reduce returns.

Contact

John McClure, President & CIO
phone ::
208-489-5286
email ::
john.mcclure@profitscore.com

Regime-Adaptive Equity (PRAE)

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Reward Statistics (Annual) Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Compound ROR 17.46% 10.01% 4.48%
Average ROR 18.00% 10.67% 4.67%
Max Gain 41.08% 23.72% 12.51%
Consecutive Wins 4 3 3
% Winning Years 88.89% 66.67% 66.67%
Average Gain 18.64% 17.41% 8.06%
Gain Deviation 10.00% 8.78% 3.82%
Risk Statistics (Monthly) Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Standard Deviation 3.51% 4.11% 1.84%
Worst Loss -8.73% -12.51% -9.16%
Consecutive Losses 3 3 4
% Losing Months 25.25% 32.32% 37.37%
Average Loss -2.42% -3.56% -1.27%
Loss Deviation 2.12% 3.08% 1.64%
Risk/Reward Statistics (Annual) Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.31 0.67 0.56
Sortino Ratio (1%) 2.68 0.92 0.76

Past 36 Months

Investment Allocation