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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

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YTD	1Y	3Y	5Y	Sharpe	STDEV	MDD
0.84	1.65	-6.72	-3.67	1.16	4.09	-11.94

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)

January 2019 - February 2025

Fund Name	Ticker	Annualized Return	Sharpe (0%)	Beta	Alpha (0%)	Correlation
ProfitScore Regime-Adaptive Long/Short Equity Index	PSRAE	14.19%	0.96	0.43	7.92	1.00
Goldman Sachs US Eq Div and Prem Instl	GSPKX	14.09%	0.96	0.86	0.95	0.48
JPMorgan Equity Premium Income I	JEPIX	11.06%	0.94	0.64	1.37	0.33
AB Select US Long/Short Advisor	ASYLX	10.45%	1.16	0.50	2.60	0.50
JPMorgan Hedged Equity A	JHQAX	10.37%	1.21	0.44	3.52	0.48
BlackRock High Equity Income Instl	BMCIX	10.23%	0.67	0.84	-1.86	0.41
Diamond Hill Long-Short I	DHLSX	9.26%	0.70	0.68	-0.79	0.34
Neuberger Berman Long Short Instl	NLSIX	9.05%	1.24	0.38	3.16	0.38
Catalyst/Millburn Hedge Strategy I	MBXIX	7.98%	0.63	0.43	2.01	0.21
AQR Managed Futures Strategy I	AQMIX	7.36%	0.67	-0.28	12.89	-0.13
Horizon Active Risk Assist® Investor	ARANX	7.33%	0.60	0.69	-2.74	0.46
AQR Diversified Arbitrage I	ADAIX	7.19%	1.04	0.19	4.36	0.11
Columbia Adaptive Risk Allocation Inst	CRAZX	6.65%	0.73	0.48	-0.51	0.49
Virtus AlphaSimplex Mgd Futs Strat I	ASFYX	6.37%	0.52	-0.22	11.07	0.00
Goldman Sachs Absolute Ret Trckr Instl	GJRTX	5.58%	0.84	0.37	-0.03	0.36
Abbey Capital Futures Strategy I	ABYIX	5.27%	0.66	-0.14	7.89	0.00
LoCorr Macro Strategies I	LFMIX	5.24%	0.69	-0.05	6.39	-0.01
FS Multi-Strategy Alternatives I	FSMSX	5.11%	1.40	0.10	3.52	0.03
BlackRock Systematic Multi-Strat Instl	BIMBX	5.08%	1.08	0.17	2.46	0.27
BlackRock Tactical Opportunities Instl	PBAIX	5.03%	0.99	0.05	4.38	-0.06
Aspiriant Defensive Allocation	RMDFX	4.92%	0.76	0.31	0.27	0.34
Average		7.99%	0.88	0.33	3.28	0.29

S&P 500 Index		15.05%	0.91	1.00	0.00	0.50
Barclay Hedge Fund Index		6.97%	0.92	0.41	0.74	0.36

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
2025	-0.02	0.86											0.84
2024	-0.79	-0.18	-0.01	-1.03	0.14	-1.13	1.29	1.64	-0.13	-1.35	1.68	-0.24	-0.17
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

Monthly
Annual

Reward

	ProfitScore Alternative Income (PSAI)	Barclays US Agg Bond	Barclay Hedge Fund Index
Compound ROR	0.39%	0.15%	0.46%
Average ROR	0.39%	0.16%	0.48%
Max Gain	5.63%	4.59%	5.80%
Consecutive Wins	8	7	15
% Winning Months	63.35%	54.04%	64.60%
Average Gain	1.04%	1.06%	1.45%
Gain Deviation	0.91%	0.91%	1.06%

Risk Statistics

	ProfitScore Alternative Income (PSAI)	Barclays US Agg Bond	Barclay Hedge Fund Index
Standard Deviation	1.18%	1.34%	1.78%
Worst Loss	-3.07%	-4.15%	-9.16%
Consecutive Losses	5	6	4
% Losing Months	36.65%	45.34%	35.40%
Average Loss	-0.72%	-0.91%	-1.28%
Loss Deviation	0.64%	0.94%	1.46%

Risk/Reward Statistics

	ProfitScore Alternative Income (PSAI)	Barclays US Agg Bond	Barclay Hedge Fund Index
Sharpe Ratio (1%)	0.33	0.12	0.27
Sortino Ratio (1%)	0.67	0.17	0.40
Skewness	0.60	-0.07	-0.98
Kurtosis	2.63	1.49	5.11

Reward

	ProfitScore Alternative Income (PSAI)	Barclays US Agg Bond	Barclay Hedge Fund Index
Compound ROR	4.75%	1.80%	5.72%
Average ROR	4.96%	1.94%	5.91%
Max Gain	15.20%	8.46%	11.14%
Consecutive Wins	7	7	7
% Winning Years	80.00%	80.00%	86.67%
Average Gain	6.70%	3.57%	7.13%
Gain Deviation	3.14%	3.15%	3.66%

Risk Statistics

	ProfitScore Alternative Income (PSAI)	Barclays US Agg Bond	Barclay Hedge Fund Index
Standard Deviation	4.09%	4.65%	6.18%
Worst Loss	-10.60%	-13.03%	-8.22%
Consecutive Losses	1	2	1
% Losing Years	20.00%	20.00%	13.33%
Average Loss	-4.62%	-5.59%	-6.73%
Loss Deviation	2.21%	3.27%	5.07%

Risk/Reward Statistics

	ProfitScore Alternative Income (PSAI)	Barclays US Agg Bond	Barclay Hedge Fund Index
Sharpe Ratio (1%)	0.91	0.25	1.12
Sortino Ratio (1%)	1.70	0.19	0.77

Investment Allocation

Quantitative Model Styles

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

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	-11.94	30	-	01/2022	02/2025
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	33.33	41.67	41.67	38.89	45.00	63.35
Average Monthly Return %	0.20	0.14	0.09	-0.19	-0.06	0.39
Winning Months Average Gain %	0.86	1.12	0.84	0.84	0.84	1.04
Largest Monthly Gain %	0.86	1.68	1.68	1.68	2.39	5.63
Gain Deviation	0.00	0.64	0.56	0.51	0.60	0.91
Up Capture Ratio %	30.30	33.80	23.34	24.21	37.32	64.58

Risk	3 Months	12 Months	24 Months	36 Months	60 Months	Inception
Standard Deviation	0.58	1.04	0.81	1.11	1.08	1.18
Losing Months Average Loss %	-0.13	-0.56	-0.45	-0.84	-0.79	-0.72
Largest Monthly Loss %	-0.24	-1.35	-1.35	-3.07	-3.07	-3.07
Loss Deviation	0.16	0.58	0.45	0.87	0.78	0.64
Maximum Drawdown %	-0.26	-2.02	-3.65	-10.09	-11.94	-11.94
Months in Max Drawdown	3	6	12	28	30	30
Down Capture Ratio	14.20	39.74	28.23	50.40	53.65	9.37

Risk/Reward	3 Months	12 Months	24 Months	36 Months	60 Months	Inception
Sharpe Ratio (1%)	0.69	0.19	0.02	-0.84	-0.45	0.91
Profit/Loss Ratio	3.31	1.43	1.33	0.64	0.87	2.48
Mar Ratio	9.28	0.82	0.28	-0.23	-0.06	0.40
Sortino Ratio (5%)	-1.61	-1.10	-1.52	-1.76	-1.54	-0.09
Sortino Ratio (1%)	2.05	0.29	0.01	-0.98	-0.58	1.70
Omega Ratio (5%)	1.46	1.89	1.35	0.83	1.11	3.36
Omega Ratio (1%)	6.32	4.01	3.52	1.80	2.46	7.10
Information Ratio	-0.35	-0.87	-0.58	-0.29	-0.03	0.59
Active Premium	-1.79	-3.88	-3.41	-1.78	-0.17	2.95

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

Important disclosure 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. A decision to invest in any such fund or portfolio should not be made in reliance on any of the statements set forth in this web site. Inclusion of a security within any ProfitScore index is not a recommendation by ProfitScore to buy, sell, or hold such security, nor is it considered to be investment advice. 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. ProfitScore receives compensation in connection with licensing rights to its indices. All information relating to any ProfitScore index is impersonal and not tailored to the specific financial circumstances of any person, entity or group of persons. Index methodologies are available upon request to ProfitScore.

No Solicitation of Investment Advice: ProfitScore is not offering or rendering investment or financial planning advice through this web site. This web site is limited to dissemination of general information about ProfitScore's services and as a means of contacting us. Data and information are provided for informational purposes only, and are not intended for trading purposes. ProfitScore gives no warranty, express or implied, as to the accuracy, reliability, utility or completeness of any information contained in this web site. Neither ProfitScore, nor any of its data or content providers shall be liable for any errors or delays in the content, or for any actions taken in reliance thereon. ProfitScore is not responsible for the contents of any web site linked in this web site. ProfitScore reserves the right at any time, and without notice, to change, amend, or cease publication of the Indices.

Copyright © ProfitScore Capital Management, Inc. 2004-2025. All rights reserved. This material is proprietary and may not be reproduced, transferred or distributed in any form without the prior written consent of ProfitScore.

ProfitScore Alternative Income (PSAI)

Key Features

Strategy Description

VAMI Chart

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

Monthly Performance

Reward

Risk Statistics

Risk/Reward Statistics

Reward

Risk Statistics

Risk/Reward Statistics

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

Past 3 Months

Current Year to Date

Past 12 Months

Past 36 Months

Past 60 Months

Consecutive Gains

Consecutive Losses

Drawdown report

Time Window Analysis

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

Our Office

Consulting Solutions

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