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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
-3.95 -1.95 7.11 10.67 1.34 4.03 -4.75

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2022 -1.76 -0.30 -1.30 -1.47 0.84 -3.95
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 0.53% 0.15% 0.45%
Average ROR 0.53% 0.16% 0.47%
Max Gain 5.63% 2.78% 5.80%
Consecutive Wins 8 7 15
% Winning Months 69.53% 55.47% 65.63%
Average Gain 1.07% 0.82% 1.37%
Gain Deviation 0.95% 0.60% 1.05%

Risk Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 1.16% 1.00% 1.76%
Worst Loss -1.76% -3.81% -9.16%
Consecutive Losses 4 5 4
% Losing Months 30.47% 43.75% 34.38%
Average Loss -0.69% -0.68% -1.25%
Loss Deviation 0.47% 0.76% 1.54%

Risk/Reward Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.39 0.07 0.22
Sortino Ratio (1%) 0.89 0.10 0.31
Skewness 0.94 -0.60 -1.13
Kurtosis 2.59 1.92 6.90

Reward

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 6.51% 1.84% 5.55%
Average ROR 6.65% 1.93% 5.70%
Max Gain 15.20% 9.66% 12.51%
Consecutive Wins 7 5 4
% Winning Years 83.33% 75.00% 75.00%
Average Gain 7.80% 3.43% 7.85%
Gain Deviation 3.29% 2.09% 3.65%

Risk Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 4.03% 3.48% 6.10%
Worst Loss -3.95% -6.89% -3.79%
Consecutive Losses 1 2 1
% Losing Years 16.67% 25.00% 25.00%
Average Loss -3.51% -3.41% -3.28%
Loss Deviation 1.62% 2.62% 5.35%

Risk/Reward Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.34 0.26 0.76
Sortino Ratio (1%) 3.08 0.34 1.07

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
-4.75 4 12/2021 03/2022
-2.75 4 08/2018 11/2018
-2.22 3 07/2020 09/2020
-1.77 2 01/2018 02/2018
-1.61 1 02/2020 02/2020

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -4.75 4 - 01/2022 05/2022
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 50.00 50.00 58.33 58.33 69.53
Average Monthly Return % -0.64 -0.16 0.04 0.20 0.17 0.53
Winning Months Average Gain % 0.84 0.51 0.83 0.86 0.81 1.07
Largest Monthly Gain % 0.84 0.84 2.39 2.39 2.39 5.63
Gain Deviation 0.00 0.30 0.73 0.64 0.64 0.95
Up Capture Ratio % 110.53 63.78 106.73 78.44 57.81 101.75
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 1.29 0.89 1.02 1.00 0.95 1.16
Losing Months Average Loss % -1.39 -0.83 -0.74 -0.73 -0.72 -0.69
Largest Monthly Loss % -1.47 -1.76 -1.76 -1.76 -1.76 -1.76
Loss Deviation 0.12 0.76 0.56 0.58 0.48 0.47
Maximum Drawdown % -2.75 -4.75 -4.75 -4.75 -4.75 -4.75
Months in Max Drawdown 2 4 4 4 4 4
Down Capture Ratio 42.24 35.20 43.16 41.94 34.53 -28.60
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -1.96 -0.94 -0.14 0.39 0.33 1.34
Profit/Loss Ratio 0.30 0.62 1.12 1.64 1.58 3.52
Mar Ratio -2.73 -0.41 0.10 0.49 0.43 1.37
Sortino Ratio (5%) -2.50 -1.96 -1.42 -0.91 -1.04 0.62
Sortino Ratio (1%) -2.11 -1.05 -0.22 0.59 0.50 3.08
Omega Ratio (5%) 0.42 0.47 1.35 1.99 1.87 4.64
Omega Ratio (1%) 0.89 1.65 3.13 4.61 4.40 10.02
Information Ratio 2.02 1.77 1.57 0.75 0.27 1.00
Active Premium 13.75 6.15 4.93 2.38 0.93 4.66
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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.

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