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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
-7.87 -6.80 3.06 12.14 1.09 4.51 -9.27

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2022 -3.08 -0.25 -0.34 -0.24 0.10 -5.70 1.54 -7.87
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 0.40% 0.18% 0.37%
Average ROR 0.41% 0.19% 0.38%
Max Gain 3.68% 2.78% 5.80%
Consecutive Wins 11 7 15
% Winning Months 66.92% 56.39% 63.91%
Average Gain 1.04% 0.87% 1.39%
Gain Deviation 0.87% 0.63% 1.07%

Risk Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 1.30% 1.03% 1.87%
Worst Loss -5.70% -3.81% -9.16%
Consecutive Losses 4 5 4
% Losing Months 27.82% 42.86% 36.09%
Average Loss -1.03% -0.70% -1.40%
Loss Deviation 1.11% 0.76% 1.62%

Risk/Reward Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.31 0.10 0.16
Sortino Ratio (1%) 0.51 0.14 0.21
Skewness -0.67 -0.52 -1.06
Kurtosis 3.63 1.60 5.09

Reward

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 4.91% 2.22% 4.47%
Average ROR 5.11% 2.31% 4.66%
Max Gain 15.70% 9.66% 12.51%
Consecutive Wins 7 5 3
% Winning Years 83.33% 75.00% 66.67%
Average Gain 6.67% 3.88% 8.24%
Gain Deviation 3.00% 2.19% 3.70%

Risk Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 4.51% 3.58% 6.46%
Worst Loss -7.87% -6.00% -4.10%
Consecutive Losses 1 2 1
% Losing Years 16.67% 25.00% 33.33%
Average Loss -5.05% -3.12% -3.57%
Loss Deviation 3.84% 2.63% 5.63%

Risk/Reward Statistics

Tactical Arbitrage High Yield Bond (THYB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.09 0.35 0.56
Sortino Ratio (1%) 1.75 0.49 0.74

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
7.91 10 08/2013 05/2014
7.10 5 11/2018 03/2019
6.50 7 05/2019 11/2019

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
-2.39 1 10/2011 10/2011

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -9.27 6 - 01/2022 07/2022
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 33.33 54.17 63.89 66.67 66.92
Average Monthly Return % -1.35 -0.57 -0.05 0.10 0.20 0.41
Winning Months Average Gain % 0.82 1.06 0.98 0.86 0.88 1.04
Largest Monthly Gain % 1.54 2.04 3.43 3.43 3.43 3.68
Gain Deviation 1.02 0.89 0.98 0.80 0.80 0.87
Up Capture Ratio % 49.45 18.50 107.13 66.19 56.25 82.80
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 3.83 2.05 1.77 1.55 1.41 1.30
Losing Months Average Loss % -5.70 -1.38 -1.28 -1.26 -1.16 -1.03
Largest Monthly Loss % -5.70 -5.70 -5.70 -5.70 -5.70 -5.70
Loss Deviation 0.00 2.00 1.73 1.65 1.39 1.11
Maximum Drawdown % -5.70 -9.27 -9.27 -9.27 -9.27 -9.27
Months in Max Drawdown 1 6 6 6 6 6
Down Capture Ratio 367.74 60.94 57.21 53.00 31.00 11.72
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -1.30 -1.09 -0.27 0.03 0.29 0.87
Profit/Loss Ratio 0.29 0.39 0.91 1.21 1.52 2.43
Mar Ratio -2.74 -0.73 -0.09 0.11 0.25 0.53
Sortino Ratio (5%) -1.78 -1.62 -1.03 -0.81 -0.62 -0.03
Sortino Ratio (1%) -1.54 -1.19 -0.36 0.00 0.35 1.34
Omega Ratio (5%) 0.61 0.69 1.53 1.81 2.22 3.47
Omega Ratio (1%) 0.88 1.16 2.72 3.55 4.44 7.05
Information Ratio -2.14 0.30 0.71 0.22 0.21 0.55
Active Premium -22.65 2.21 4.16 1.18 1.07 2.69
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