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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
2.14 3.51 34.94 52.00 2.26 4.20 -1.39

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2017 0.55 0.13 -0.81 0.29 1.11 0.02 0.82 0.22 0.30 0.08 -0.58 2.14
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 Barclays Hedge Fund Index
Compound ROR 0.79% 0.20% 0.51%
Average ROR 0.79% 0.21% 0.52%
Max Gain 5.63% 2.06% 3.45%
Consecutive Wins 8 7 12
% Winning Months 79.73% 59.72% 68.92%
Average Gain 1.16% 0.72% 1.17%
Gain Deviation 1.07% 0.51% 0.76%

Risk Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclays Hedge Fund Index
Standard Deviation 1.21% 0.83% 1.26%
Worst Loss -1.39% -2.57% -3.04%
Consecutive Losses 1 3 4
% Losing Months 20.27% 41.67% 31.08%
Average Loss -0.65% -0.53% -0.92%
Loss Deviation 0.44% 0.60% 0.89%

Risk/Reward Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclays Hedge Fund Index
Sharpe Ratio (1%) 0.65 0.15 0.34
Sortino Ratio (1%) 2.26 0.22 0.57
Skewness 1.17 -0.55 -0.51
Kurtosis 3.07 1.26 0.87

Reward

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclays Hedge Fund Index
Compound ROR 9.86% 2.46% 6.27%
Average ROR 9.90% 2.48% 6.34%
Max Gain 15.20% 6.56% 10.68%
Consecutive Wins 7 4 4
% Winning Years 100.00% 85.71% 85.71%
Average Gain 8.39% 2.52% 6.82%
Gain Deviation 3.69% 1.76% 2.64%

Risk Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclays Hedge Fund Index
Standard Deviation 4.20% 2.88% 4.36%
Worst Loss - -0.33% -2.85%
Consecutive Losses 0 1 1
% Losing Years 0.00% 14.29% 14.29%
Average Loss - -0.30% -2.73%
Loss Deviation 1.52% 2.08% 3.10%

Risk/Reward Statistics

ProfitScore Alternative Income (PSAI) Barclays US Agg Bond Barclays Hedge Fund Index
Sharpe Ratio (1%) 2.26 0.51 1.19
Sortino Ratio (1%) 7.83 0.75 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

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
-1.39 1 12/2015 12/2015
-1.28 1 10/2014 10/2014
-1.20 1 02/2015 02/2015
-1.08 1 08/2014 08/2014
-0.92 1 10/2011 10/2011

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -1.39 1 1 01/2016 02/2016
2 -1.28 1 3 11/2014 02/2015
3 -1.20 1 3 03/2015 06/2015
4 -1.08 1 1 09/2014 10/2014
5 -0.92 1 1 11/2011 12/2011

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 66.67 83.33 83.33 83.33 80.00 79.73
Average Monthly Return % -0.07 0.29 0.71 0.84 0.71 0.79
Winning Months Average Gain % 0.19 0.49 1.01 1.16 1.05 1.16
Largest Monthly Gain % 0.30 1.35 3.15 4.40 4.40 5.63
Gain Deviation 0.16 0.46 0.90 1.00 0.89 1.07
Up Capture Ratio % - 112.46 145.22 135.93 120.96 146.56
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.46 0.62 1.07 1.17 1.07 1.21
Losing Months Average Loss % -0.58 -0.70 -0.76 -0.73 -0.67 -0.65
Largest Monthly Loss % -0.58 -0.81 -1.39 -1.39 -1.39 -1.39
Loss Deviation 0.00 0.16 0.48 0.50 0.47 0.44
Maximum Drawdown % -0.58 -0.81 -1.39 -1.39 -1.39 -1.39
Months in Max Drawdown 1 3 2 2 2 2
Down Capture Ratio -52.63 75.83 -83.22 -164.65 -100.77 -119.80
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -1.13 1.15 2.04 2.25 2.01 2.03
Profit/Loss Ratio 0.66 3.50 6.66 7.92 6.30 7.06
Mar Ratio -1.39 4.34 6.35 7.56 6.28 7.09
Sortino Ratio (5%) -2.72 -0.85 1.99 2.90 1.91 2.52
Sortino Ratio (1%) -1.36 2.21 5.65 6.85 5.46 6.42
Omega Ratio (5%) 0.00 2.11 7.49 9.79 7.45 8.72
Omega Ratio (1%) 1.13 8.77 18.78 22.62 17.77 19.99
Information Ratio - 0.34 1.35 1.54 1.40 1.44
Active Premium 10.29 0.80 7.07 9.20 7.18 7.78
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