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ProfitScore Alternative Income (PSAI)


Key Features

  • Highly liquid transparent investments
  • Tactical models to minimize systematic risk
  • Multiple models to mitigate model specific risk
  • Multiple fixed income assets across the full spectrum of the yield curve
  • Long and short positions

Strategy Description

ProfitScore Alternative Income (PSAI) 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 assets across the full spectrum of the yield curve. Fixed income strategies involve long/short treasuries, long/short credit default, and a tactically managed allocation to high yield corporate bonds. Investment solutions tracking the index will benefit from transparency, high liquidity, low degree of volatility and positive response to rising or falling interest rates.

VAMI Chart

YTD 1Y 3Y 5Y Sharpe STDEV MDD
-0.98 -0.05 -7.04 -0.38 1.20 4.12 -10.60

When compared against all of the alternative mutual funds cataloged in the Morningstar database, the ProfitScore Regime-Adaptive Long/Short Equity Index is the #1 Top Performer by average annual rate of return since 2019. Most investment capital allocated to alternative strategies predominantly flows into the largest funds. The following table presents a comparative analysis between the ProfitScore Regime-Adaptive Long/Short Equity Index (PSRAE) and the top 20 largest alternative mutual funds.
 

PSRAE VS. TOP 20 ALTERNATIVE MUTUAL FUNDS (BY AUM)

April 2019 - March 2024
Fund Name Ticker Annualized Return Sharpe (0%) Beta Alpha (0%) Correlation
ProfitScore Regime-Adaptive Long/Short Equity Index PSRAE 15.76% 0.92 0.45 10.05 1.00
Goldman Sachs US Eq Div and Prem Instl GSPKX 11.87% 0.72 0.87 0.31 0.49
Virtus AlphaSimplex Mgd Futs Strat I ASFYX 10.48% 0.72 -0.22 15.05 -0.02
JPMorgan Equity Premium Income I JEPIX 9.59% 0.71 0.63 1.11 0.35
BlackRock High Equity Income Instl BMCIX 9.50% 0.54 0.85 -1.27 0.42
JPMorgan Hedged Equity A JHQAX 9.49% 0.96 0.43 3.53 0.49
AB Select US Long/Short Advisor ASYLX 9.11% 0.87 0.50 2.24 0.52
AQR Managed Futures Strategy I AQMIX 8.91% 0.69 -0.28 14.03 -0.15
Diamond Hill Long-Short I DHLSX 8.70% 0.57 0.70 -0.27 0.36
Neuberger Berman Long Short Instl NLSIX 8.08% 0.93 0.37 2.89 0.40
Catalyst/Millburn Hedge Strategy I MBXIX 7.83% 0.52 0.45 2.35 0.22
American Beacon AHL Mgd Futs Strat Y AHLYX 7.54% 0.67 -0.11 9.74 0.08
Abbey Capital Futures Strategy I ABYIX 7.41% 0.77 -0.13 9.80 -0.01
AQR Diversified Arbitrage I ADAIX 7.39% 0.85 0.20 4.73 0.10
PIMCO TRENDS Managed Futures Strat Instl PQTIX 7.32% 0.60 -0.21 11.14 -0.04
Horizon Active Risk Assist® Investor ARANX 6.21% 0.43 0.68 -2.58 0.47
LoCorr Macro Strategies I LFMIX 6.07% 0.64 -0.04 7.01 -0.01
Columbia Adaptive Risk Allocation Inst CRAZX 4.94% 0.45 0.45 -1.12 0.52
FS Multi-Strategy Alternatives I FSMSX 4.74% 1.00 0.10 3.32 0.02
BlackRock Tactical Opportunities Instl PBAIX 4.73% 0.72 0.04 4.36 -0.04
Goldman Sachs Absolute Ret Trckr Instl GJRTX 4.64% 0.53 0.36 -0.33 0.38
Average 6.31% 0.66 0.26 3.10 0.24
S&P 500 Index 13.13% 0.71 1.00 0.00 0.51
Barclay Hedge Fund Index 6.12% 0.64 0.41 0.55 0.37
Source: Morningstar
 

The ProfitScore Regime-Adaptive Long/Short Equity Index is licensed to AXS Investments, LLC, which created the AXS Adaptive Plus Fund (AXSPX) around the PSRAE Index.

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2024 -0.79 -0.18 -0.01 -0.98
2023 0.26 -0.12 0.44 0.70 0.84 0.10 -0.33 -0.08 -0.50 -0.37 -0.14 0.72 1.52
2022 -1.76 -0.30 -1.30 -1.47 0.84 -3.04 1.41 -3.07 -1.10 -0.85 0.79 -1.19 -10.60
2021 0.27 -0.41 -0.47 0.91 0.41 0.80 0.38 0.01 -0.06 0.57 -0.11 0.48 2.80
2020 0.83 0.96 -1.61 0.92 1.07 -0.80 2.18 -0.85 -0.29 -1.09 2.39 0.70 4.41
2019 2.03 1.06 1.85 0.18 -0.78 2.12 -0.10 0.81 0.37 -0.34 0.19 0.80 8.45
2018 0.47 -1.23 -0.55 0.10 -0.80 -0.29 0.89 1.10 -0.45 -1.10 -0.82 -0.41 -3.08
2017 0.55 0.13 -0.81 0.29 1.11 0.02 0.82 0.22 0.30 0.08 -0.58 1.25 3.41
2016 -1.39 1.63 3.15 1.23 0.33 2.06 2.25 1.44 0.24 -0.24 2.27 1.35 15.20
2015 0.40 4.40 -1.20 0.85 0.31 1.43 1.40 1.57 1.86 1.67 -0.16 0.65 13.89
2014 0.88 1.74 -0.49 0.22 1.07 0.12 -0.39 0.77 -1.08 2.28 -1.28 0.70 4.57
2013 0.66 -0.01 0.70 0.73 0.20 0.38 0.93 -0.36 0.30 2.29 0.29 0.85 7.16
2012 2.20 0.80 0.54 2.30 -0.49 1.27 0.44 -0.29 0.06 1.52 0.46 1.22 10.46
2011 5.63 -0.92 2.85 7.64

Reward

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 0.40% 0.13% 0.46%
Average ROR 0.41% 0.14% 0.47%
Max Gain 5.63% 4.59% 5.80%
Consecutive Wins 8 7 15
% Winning Months 64.67% 52.67% 64.67%
Average Gain 1.04% 1.01% 1.45%
Gain Deviation 0.92% 0.92% 1.08%

Risk Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 1.19% 1.31% 1.82%
Worst Loss -3.07% -4.15% -9.16%
Consecutive Losses 5 6 4
% Losing Months 35.33% 46.67% 35.33%
Average Loss -0.73% -0.85% -1.32%
Loss Deviation 0.65% 0.92% 1.50%

Risk/Reward Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.35 0.04 0.21
Sortino Ratio (1%) 0.70 0.05 0.31
Skewness 0.61 0.01 -0.97
Kurtosis 2.78 1.99 4.98

Reward

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 4.97% 1.54% 5.61%
Average ROR 5.19% 1.70% 5.80%
Max Gain 15.20% 8.46% 11.14%
Consecutive Wins 7 7 7
% Winning Years 78.57% 71.43% 85.71%
Average Gain 7.23% 3.90% 7.16%
Gain Deviation 3.19% 3.20% 3.76%

Risk Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 4.12% 4.53% 6.31%
Worst Loss -10.60% -13.03% -8.22%
Consecutive Losses 1 2 1
% Losing Years 21.43% 28.57% 14.29%
Average Loss -4.88% -4.45% -6.73%
Loss Deviation 2.25% 3.18% 5.21%

Risk/Reward Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.20 0.14 0.74
Sortino Ratio (1%) 2.42 0.17 1.06

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

Quantitative Model Styles

Long/Short Quantitative
Long only Mean Reversion
Trend Following Directional
Technical Arbitrage

Past 3 Months


Current Year to Date


Past 12 Months


Past 36 Months


Past 60 Months

Consecutive Gains

Run-up % Length (Months) Start End
12.98 8 01/2016 08/2016
9.44 7 03/2015 09/2015
8.98 5 11/2011 03/2012
6.50 6 08/2013 01/2014
5.63 1 09/2011 09/2011

Consecutive Losses

Decline % Length (Months) Start End
-4.95 3 07/2022 09/2022
-4.75 4 12/2021 03/2022
-3.04 1 05/2022 05/2022
-2.75 4 08/2018 11/2018
-2.22 3 07/2020 09/2020

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -10.60 12 - 01/2022 03/2024
2 -3.53 11 3 02/2018 03/2019
3 -2.22 3 1 08/2020 11/2020
4 -1.61 1 2 03/2020 05/2020
5 -1.39 1 1 01/2016 02/2016

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 0.00 33.33 37.50 44.44 50.00 64.67
Average Monthly Return % -0.33 0.00 -0.30 -0.20 0.00 0.41
Winning Months Average Gain % - 0.59 0.68 0.60 0.78 1.04
Largest Monthly Gain % -0.01 0.84 1.41 1.41 2.39 5.63
Gain Deviation 0.00 0.33 0.38 0.35 0.59 0.92
Up Capture Ratio % -1.64 13.05 20.58 26.52 37.44 72.22
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.41 0.51 1.11 1.02 1.05 1.19
Losing Months Average Loss % -0.33 -0.30 -0.88 -0.84 -0.78 -0.73
Largest Monthly Loss % -0.79 -0.79 -3.07 -3.07 -3.07 -3.07
Loss Deviation 0.41 0.26 0.99 0.92 0.79 0.65
Maximum Drawdown % -0.98 -1.67 -7.52 -10.60 -10.60 -10.60
Months in Max Drawdown 3 9 9 12 12 12
Down Capture Ratio 59.87 17.03 51.09 48.33 49.47 4.48
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -3.46 -0.58 -1.18 -0.95 -0.28 0.96
Profit/Loss Ratio NaN 0.98 0.46 0.58 1.00 2.59
Mar Ratio -3.94 -0.03 -0.48 -0.23 -0.01 0.47
Sortino Ratio (5%) -3.15 -2.32 -1.94 -1.84 -1.42 -0.01
Sortino Ratio (1%) -2.69 -0.82 -1.25 -1.03 -0.38 1.81
Omega Ratio (5%) 0.00 0.60 0.51 0.54 1.18 3.50
Omega Ratio (1%) 0.00 2.29 1.28 1.57 2.79 7.40
Information Ratio 0.04 -0.20 -0.27 0.03 -0.06 0.68
Active Premium 0.15 -1.36 -1.87 0.17 -0.31 3.42

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

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