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The Explorer (PSEP)


Key Features

  • Highly liquid transparent investments
  • Tactical models to minimize systematic risk
  • Multiple models to mitigate model specific risk
  • Allocates to fixed income, equity assets, and volatility
  • Long and short positions

Strategy Description

The Explorer (PSEP) represents a quantitatively based, absolute return, multi-strategy, multi-asset index. Designed to enhance active premium and dynamic risk protection, this index utilizes multiple uncorrelated tactical strategies with allocations to fixed income, US and international equity asset classes and volatility. Asset class and model diversity decreases index variability thus increasing risk adjusted returns. Investment solutions tracking the index will benefit from transparency, high liquidity, low degree of volatility, positive response to rising or falling interest rates, and increasing or decreasing US equity markets.

VAMI Chart

YTD 1Y 3Y 5Y Sharpe STDEV MDD
-32.85 -19.25 66.01 113.57 1.00 16.21 -34.01

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2018 1.08 -33.00 -1.50 0.99 -0.22 -0.11 -32.85
2017 3.09 -3.07 3.22 -0.78 2.69 2.29 2.93 1.58 2.87 3.71 2.31 5.38 29.28
2016 0.23 3.56 12.13 1.12 1.38 9.69 4.40 5.49 8.25 -0.26 8.20 3.48 74.25
2015 0.25 6.29 -2.29 0.49 0.13 3.40 1.75 1.30 2.35 1.43 0.01 2.56 18.89
2014 -0.68 1.00 -1.09 -0.30 1.94 0.49 2.12 1.66 -0.85 5.50 -0.79 2.43 11.83
2013 -0.25 0.33 2.07 -1.08 0.35 1.93 -0.77 0.69 1.51 1.20 1.31 2.13 9.77
2012 1.21 0.90 0.86 3.58 -0.73 2.83 -0.67 -1.42 -0.69 1.80 -0.17 1.16 8.87
2011 5.40 -0.32 5.62 10.97

Reward

The Explorer (PSEP) S&P 500 Index Barclays Hedge Fund Index
Compound ROR 1.22% 1.10% 0.51%
Average ROR 1.35% 1.15% 0.52%
Max Gain 12.13% 10.77% 3.45%
Consecutive Wins 18 7 12
% Winning Months 72.84% 69.44% 68.92%
Average Gain 2.71% 2.61% 1.17%
Gain Deviation 2.45% 2.13% 0.76%

Risk Statistics

The Explorer (PSEP) S&P 500 Index Barclays Hedge Fund Index
Standard Deviation 4.68% 3.00% 1.26%
Worst Loss -33.00% -6.27% -3.04%
Consecutive Losses 3 3 4
% Losing Months 27.16% 30.56% 31.08%
Average Loss -2.32% -2.18% -0.92%
Loss Deviation 6.89% 1.79% 0.89%

Risk/Reward Statistics

The Explorer (PSEP) S&P 500 Index Barclays Hedge Fund Index
Sharpe Ratio (1%) 0.29 0.35 0.34
Sortino Ratio (1%) 0.33 0.64 0.57
Skewness -4.73 0.14 -0.51
Kurtosis 36.77 1.23 0.87

Reward

The Explorer (PSEP) S&P 500 Index Barclays Hedge Fund Index
Compound ROR 15.64% 14.05% 6.27%
Average ROR 19.41% 14.17% 6.34%
Max Gain 74.25% 19.00% 10.68%
Consecutive Wins 7 4 4
% Winning Years 87.50% 85.71% 85.71%
Average Gain 20.25% 14.05% 6.82%
Gain Deviation 8.49% 7.38% 2.64%

Risk Statistics

The Explorer (PSEP) S&P 500 Index Barclays Hedge Fund Index
Standard Deviation 16.21% 10.40% 4.36%
Worst Loss -32.85% -2.74% -2.85%
Consecutive Losses 1 1 1
% Losing Years 12.50% 14.29% 14.29%
Average Loss -32.76% -1.85% -2.73%
Loss Deviation 23.87% 6.20% 3.10%

Risk/Reward Statistics

The Explorer (PSEP) S&P 500 Index Barclays Hedge Fund Index
Sharpe Ratio (1%) 1.00 1.23 1.19
Sortino Ratio (1%) 1.14 2.23 1.98

VAMI Chart

Risk/Return Chart

Drawdown Chart

Distribution of Monthly Returns

Risk/Return Chart (Sharpe)

36 Month Rolling Sharpe Ratio

Up Capture Ratios

Down Capture Ratios

Monthly Returns (%)

Annualized Trend Return

Up Market Outperformance (% of months)

Down Market Outperformance (% of months)

Investment Allocation

Strategy 10/1/2011 1/1/2016
US Treasury Bonds 50%34%
US Equities 50% 33%
Volatility 0% 33%

Quantitative Model Styles

Long/Short Mean Reversion
Long only Seasonal/Cyclical
Trend Following Directional
Technical Arbitrage
Quantitative Multi-Strategy

Past 3 Months


Current Year to Date


Past 12 Months


Past 36 Months


Past 60 Months

Consecutive Gains

Run-up % Length (Months) Start End
78.17 18 03/2015 08/2016
27.69 9 04/2017 12/2017
15.43 3 10/2016 12/2016
12.68 5 11/2011 03/2012
9.15 3 11/2014 01/2015

Consecutive Losses

Decline % Length (Months) Start End
-34.01 2 01/2018 02/2018
-3.07 1 01/2017 01/2017
-2.76 3 06/2012 08/2012
-2.29 1 02/2015 02/2015
-1.39 2 02/2014 03/2014

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -34.01 2 - 02/2018 06/2018
2 -3.07 1 1 02/2017 03/2017
3 -2.76 3 5 07/2012 02/2013
4 -2.29 1 3 03/2015 06/2015
5 -1.39 2 1 03/2014 05/2014

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 33.33 66.67 70.83 80.56 76.67 72.84
Average Monthly Return % 0.22 -1.17 0.96 1.68 1.44 1.35
Winning Months Average Gain % 0.99 2.61 3.64 3.43 2.87 2.71
Largest Monthly Gain % 0.99 5.38 8.25 12.13 12.13 12.13
Gain Deviation 0.00 1.47 2.14 2.89 2.61 2.45
Up Capture Ratio % - 191.36 133.52 147.23 86.40 56.05
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.67 10.20 7.74 6.71 5.32 4.68
Losing Months Average Loss % -0.17 -8.71 -5.56 -5.56 -3.27 -2.32
Largest Monthly Loss % -0.22 -33.00 -33.00 -33.00 -33.00 -33.00
Loss Deviation 0.08 16.21 12.14 12.14 8.60 6.89
Maximum Drawdown % -0.33 -34.01 -34.01 -34.01 -34.01 -34.01
Months in Max Drawdown 2 2 2 2 2 2
Down Capture Ratio - - -475.78 -162.12 -115.82 -116.34
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 0.71 -0.42 0.39 0.83 0.88 0.93
Profit/Loss Ratio 3.00 0.60 1.59 2.55 2.89 3.14
Mar Ratio 8.05 -0.57 0.22 0.54 0.48 0.46
Sortino Ratio (5%) -1.39 -0.78 0.10 0.62 0.68 0.74
Sortino Ratio (1%) 2.26 -0.67 0.27 0.83 0.95 1.06
Omega Ratio (5%) 1.76 1.67 4.56 7.21 7.55 7.77
Omega Ratio (1%) 6.34 1.99 5.31 8.50 9.47 10.16
Information Ratio - 3.39 1.96 2.15 1.31 0.76
Active Premium 0.00 17.07 26.57 33.57 17.02 9.48
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