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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

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YTD 1Y 3Y 5Y Sharpe STDEV MDD
5.94 12.12 8.09 18.07 1.17 4.45 -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)

January 2019 - October 2024
Fund Name Ticker Annualized Return Sharpe (0%) Beta Alpha (0%) Correlation
ProfitScore Regime-Adaptive Long/Short Equity Index PSRAE 15.65% 1.03 0.45 9.12 1.00
Goldman Sachs US Eq Div and Prem Instl GSPKX 14.10% 0.94 0.87 0.82 0.49
JPMorgan Equity Premium Income I JEPIX 11.02% 0.94 0.63 1.33 0.34
JPMorgan Hedged Equity A JHQAX 10.52% 1.21 0.43 3.67 0.49
BlackRock High Equity Income Instl BMCIX 10.43% 0.67 0.84 -1.73 0.42
AB Select US Long/Short Advisor ASYLX 10.20% 1.13 0.50 2.39 0.52
Diamond Hill Long-Short I DHLSX 9.04% 0.68 0.70 -1.19 0.35
Neuberger Berman Long Short Instl NLSIX 8.76% 1.19 0.37 2.85 0.40
Catalyst/Millburn Hedge Strategy I MBXIX 8.09% 0.63 0.42 2.21 0.22
Horizon Active Risk Assist® Investor ARANX 7.36% 0.60 0.69 -2.72 0.48
AQR Diversified Arbitrage I ADAIX 7.26% 1.02 0.20 4.27 0.11
Virtus AlphaSimplex Mgd Futs Strat I ASFYX 6.74% 0.54 -0.24 11.78 -0.01
Columbia Adaptive Risk Allocation Inst CRAZX 6.47% 0.71 0.47 -0.68 0.51
AQR Managed Futures Strategy I AQMIX 6.13% 0.57 -0.28 11.68 -0.13
Abbey Capital Futures Strategy I ABYIX 5.34% 0.66 -0.14 8.12 0.00
Goldman Sachs Absolute Ret Trckr Instl GJRTX 5.25% 0.79 0.36 -0.35 0.39
LoCorr Macro Strategies I LFMIX 5.15% 0.67 -0.06 6.41 0.00
FS Multi-Strategy Alternatives I FSMSX 4.92% 1.32 0.10 3.32 0.04
BlackRock Systematic Multi-Strat Instl BIMBX 4.87% 1.05 0.17 2.27 0.28
American Beacon AHL Mgd Futs Strat Y AHLYX 4.76% 0.51 -0.13 7.46 0.08
Goldman Sachs Tactical Tilt Overlay P GSLPX 4.72% 0.85 0.24 1.01 0.43
Average 7.94% 0.84 0.31 3.43 0.30
S&P 500 Index 15.13% 0.90 1.00 0.00 0.51
Barclay Hedge Fund Index 6.93% 0.90 0.41 0.65 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 -0.86 1.05 0.98 1.64 1.53 1.09 -0.71 5.94
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 0.43% 0.16% 0.40%
Average ROR 0.43% 0.17% 0.42%
Max Gain 3.68% 4.59% 5.80%
Consecutive Wins 12 7 15
% Winning Months 68.13% 54.38% 63.75%
Average Gain 1.04% 1.06% 1.44%
Gain Deviation 0.86% 0.90% 1.06%

Risk Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 1.28% 1.34% 1.85%
Worst Loss -5.70% -4.15% -9.16%
Consecutive Losses 4 6 4
% Losing Months 26.25% 45.00% 36.25%
Average Loss -1.04% -0.90% -1.38%
Loss Deviation 1.09% 0.95% 1.53%

Risk/Reward Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.34 0.13 0.23
Sortino Ratio (1%) 0.55 0.18 0.32
Skewness -0.62 -0.09 -0.97
Kurtosis 3.40 1.56 4.42

Reward

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 5.24% 1.95% 4.92%
Average ROR 5.43% 2.10% 5.15%
Max Gain 15.70% 8.46% 11.14%
Consecutive Wins 7 7 6
% Winning Years 85.71% 78.57% 78.57%
Average Gain 6.97% 4.06% 8.05%
Gain Deviation 2.98% 3.13% 3.68%

Risk Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 4.45% 4.63% 6.39%
Worst Loss -9.02% -13.03% -8.22%
Consecutive Losses 1 2 1
% Losing Years 14.29% 21.43% 21.43%
Average Loss -5.62% -5.59% -6.64%
Loss Deviation 3.77% 3.28% 5.31%

Risk/Reward Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) - 0.30 0.87
Sortino Ratio (1%) - 0.22 0.63

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 66.67 66.67 79.17 63.89 66.67 68.13
Average Monthly Return % 0.64 0.97 0.72 0.23 0.29 0.43
Winning Months Average Gain % 1.31 1.65 1.07 1.07 0.99 1.04
Largest Monthly Gain % 1.53 3.58 3.58 3.58 3.58 3.68
Gain Deviation 0.31 0.88 0.88 0.85 0.84 0.86
Up Capture Ratio % 93.85 78.03 61.74 55.75 64.17 72.59
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 1.19 1.25 1.06 1.65 1.46 1.28
Losing Months Average Loss % -0.71 -0.53 -0.74 -1.49 -1.23 -1.04
Largest Monthly Loss % -0.71 -0.86 -1.35 -5.70 -5.70 -5.70
Loss Deviation 0.00 0.44 0.55 1.73 1.48 1.09
Maximum Drawdown % -0.71 -0.86 -1.35 -10.48 -10.48 -10.48
Months in Max Drawdown 1 2 3 24 24 24
Down Capture Ratio 28.17 24.61 0.60 31.12 33.09 12.69
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 1.62 2.44 2.09 0.31 0.48 0.95
Profit/Loss Ratio 3.69 8.24 6.88 1.51 1.78 2.58
Mar Ratio 11.06 14.09 6.64 0.25 0.32 0.50
Sortino Ratio (5%) 1.21 3.69 2.10 -0.48 -0.38 0.07
Sortino Ratio (1%) 4.15 8.47 5.69 0.37 0.63 1.49
Omega Ratio (5%) 5.60 10.64 8.60 2.46 2.69 3.68
Omega Ratio (1%) 10.72 22.44 19.29 4.51 5.24 7.50
Information Ratio 1.56 0.46 0.72 0.75 0.65 0.65
Active Premium 6.98 1.89 3.85 4.91 3.68 3.29

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

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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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