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Tactical Arbitrage High Yield Bond (THYB)


Key Features

  • Liquid transparent investments
  • Tactical models to minimize systematic risk
  • Multiple models to mitigate model specific risk
  • Allocates to HY corporate bonds
  • Long only - No short positions

Strategy Description

Tactical High Yield Bond (THYB) represents a quantitatively based, absolute return, multi-strategy index. Designed to enhance active premium and dynamic risk protection, this index utilizes multiple uncorrelated tactical strategies to capture tends in HY corporate bonds. The index produces a yield equal to HY corporate bonds while minimizing downside risk. Due to the nature of its construction, THYB produces the highest risk adjust returns of any index we offer on this site. 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
1.10 10.14 6.09 17.77 1.13 4.49 -10.48

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 -0.03 0.00 1.13 1.10
2023 1.10 0.34 0.41 0.36 0.40 0.43 0.40 0.44 0.44 0.43 2.18 3.58 10.97
2022 -3.08 -0.25 -0.34 -0.24 0.10 -5.70 1.54 -2.83 0.63 0.00 2.38 -1.35 -9.02
2021 -0.11 0.13 0.04 0.95 0.24 1.25 0.27 0.57 -0.07 -0.39 -0.96 2.04 4.00
2020 -0.02 0.02 -2.37 1.31 0.60 0.57 1.14 0.74 -1.93 -0.98 3.43 1.50 3.94
2019 2.91 1.55 1.02 1.41 -1.18 2.49 0.42 0.56 0.47 0.30 0.53 1.58 12.68
2018 0.59 -1.16 -0.54 0.22 -0.29 0.09 0.87 1.14 0.47 -2.35 -1.27 0.04 -2.22
2017 1.64 1.37 -0.93 0.70 0.61 0.09 1.35 -0.03 1.08 0.59 0.08 0.47 7.22
2016 0.00 0.00 3.68 3.31 0.93 1.05 2.66 1.95 0.64 0.24 -0.72 1.04 15.70
2015 0.00 2.40 -0.48 0.59 0.72 -1.17 -0.28 0.00 0.00 1.07 -0.62 0.00 2.21
2014 0.59 1.88 0.14 0.47 0.78 0.57 -1.92 0.35 -0.82 0.36 -0.69 0.09 1.76
2013 1.24 0.56 0.93 1.92 -0.64 -0.40 -0.10 -0.69 0.36 2.12 0.38 0.37 6.17
2012 3.07 1.74 -0.01 0.88 -1.66 0.77 1.43 1.14 1.50 0.80 0.14 1.51 11.84
2011 0.47 -1.30 0.00 3.48 -2.39 1.03 1.19

Reward

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 0.42% 0.15% 0.39%
Average ROR 0.42% 0.16% 0.41%
Max Gain 3.68% 4.59% 5.80%
Consecutive Wins 12 7 15
% Winning Months 67.97% 53.59% 63.40%
Average Gain 1.03% 1.03% 1.45%
Gain Deviation 0.88% 0.91% 1.08%

Risk Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 1.30% 1.31% 1.88%
Worst Loss -5.70% -4.15% -9.16%
Consecutive Losses 4 6 4
% Losing Months 26.14% 45.75% 36.60%
Average Loss -1.06% -0.85% -1.40%
Loss Deviation 1.11% 0.92% 1.56%

Risk/Reward Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.33 0.06 0.17
Sortino Ratio (1%) 0.53 0.08 0.24
Skewness -0.60 -0.02 -0.95
Kurtosis 3.42 1.93 4.28

Reward

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 5.10% 1.83% 4.82%
Average ROR 5.30% 1.98% 5.06%
Max Gain 15.70% 8.46% 11.14%
Consecutive Wins 7 7 6
% Winning Years 85.71% 71.43% 78.57%
Average Gain 6.57% 4.31% 7.67%
Gain Deviation 3.04% 3.16% 3.76%

Risk Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 4.49% 4.52% 6.50%
Worst Loss -9.02% -13.03% -8.22%
Consecutive Losses 1 2 1
% Losing Years 14.29% 28.57% 21.43%
Average Loss -5.62% -4.45% -6.64%
Loss Deviation 3.86% 3.18% 5.39%

Risk/Reward Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.13 0.20 0.60
Sortino Ratio (1%) 1.84 0.27 0.83

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 Only Quantitative
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
15.34 8 02/2016 09/2016
12.60 11 05/2012 03/2013
10.97 12 12/2022 11/2023
7.91 10 08/2013 05/2014
7.10 5 11/2018 03/2019

Consecutive Losses

Decline % Length (Months) Start End
-5.70 1 05/2022 05/2022
-3.88 4 12/2021 03/2022
-3.59 2 09/2018 10/2018
-2.89 2 08/2020 09/2020
-2.83 1 07/2022 07/2022

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -10.48 8 16 01/2022 12/2023
2 -3.59 2 3 10/2018 02/2019
3 -2.89 2 1 09/2020 11/2020
4 -2.71 5 6 07/2014 05/2015
5 -2.39 1 2 11/2011 01/2012

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 33.33 83.33 70.83 63.89 68.33 67.97
Average Monthly Return % 0.37 0.81 0.26 0.18 0.28 0.42
Winning Months Average Gain % 1.13 0.98 0.96 0.94 0.95 1.03
Largest Monthly Gain % 1.13 3.58 3.58 3.58 3.58 3.68
Gain Deviation 0.00 1.08 0.95 0.87 0.87 0.88
Up Capture Ratio % 185.24 76.06 54.22 53.62 57.57 73.20
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.66 1.05 1.75 1.60 1.47 1.30
Losing Months Average Loss % -0.03 -0.03 -2.03 -1.39 -1.28 -1.06
Largest Monthly Loss % -0.03 -0.03 -5.70 -5.70 -5.70 -5.70
Loss Deviation 0.00 0.00 2.33 1.79 1.52 1.11
Maximum Drawdown % -0.03 -0.03 -7.09 -10.48 -10.48 -10.48
Months in Max Drawdown 3 3 20 24 24 24
Down Capture Ratio 1.85 -32.96 29.34 28.73 26.45 10.15
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 1.48 2.41 0.34 0.20 0.47 0.91
Profit/Loss Ratio 37.67 326.33 1.60 1.42 1.78 2.53
Mar Ratio 149.06 338.13 0.41 0.19 0.32 0.49
Sortino Ratio (5%) -0.42 8.02 -0.39 -0.61 -0.39 0.03
Sortino Ratio (1%) 12.08 62.11 0.40 0.23 0.62 1.42
Omega Ratio (5%) 2.96 22.07 2.53 2.11 2.65 3.59
Omega Ratio (1%) 18.51 158.43 4.80 4.18 5.24 7.34
Information Ratio 2.21 1.66 0.63 0.71 0.52 0.64
Active Premium 8.48 8.83 4.64 4.57 3.09 3.27

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

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