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Regime-Adaptive Equity (PRAE)


Key Features

  • Highly liquid, transparent investments
  • Tactical models to minimize systematic risk
  • Multiple constructs to adapt to specific market states
  • Long and short positions

Strategy Description

ProfitScore’s Regime-Adaptive Equity (PRAE) is a highly liquid, systematic index trading S&P 500 Index securities. Depending on the market state – Low Vol or High Vol – trading decisions are driven by two different trading constructs. During Low Vol, the system is designed to identify and dynamically capture gains based on persistent directional moves. As volatility increases, markets often become increasingly unstable and inefficient. During these High Vol states, trade length shortens as the program quickly adjusts exposures to capitalize on market inefficiencies. This program’s most significant value generally occurs during periods of high volatility and market stress when many other strategies are faced with performance challenges.

VAMI Chart

YTD 1Y 3Y 5Y Sharpe STDEV MDD
9.72 8.31 93.16 126.59 1.22 12.62 -14.50

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2022 0.71 10.44 4.13 -2.63 8.30 -9.40 -0.84 9.72
2021 -2.21 3.24 0.11 4.60 -0.21 1.19 1.17 -0.66 -4.31 3.97 -1.73 1.64 6.61
2020 -0.04 -7.42 10.70 17.81 3.40 -1.80 2.48 6.98 -2.21 -3.69 7.30 3.91 41.08
2019 1.16 2.91 1.87 2.87 -4.48 3.79 1.51 1.12 2.50 6.11 3.42 2.90 28.50
2018 3.10 -0.61 4.83 1.18 2.75 -0.87 1.14 3.19 0.65 -8.73 -3.10 -3.33 -0.58
2017 1.86 3.93 1.12 0.18 1.41 0.64 2.82 0.29 2.01 2.36 1.58 1.03 20.94
2016 -3.80 -1.31 6.72 0.40 1.70 0.35 3.65 0.64 0.35 -1.06 2.10 1.59 11.52
2015 -1.30 5.62 -0.83 0.24 1.77 -1.37 1.12 0.01 1.14 2.24 0.85 -1.09 8.51
2014 0.14 0.69 2.32 2.06 0.72 1.17 0.20 2.75 1.13 -1.71 9.80

Reward

Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Compound ROR 1.22% 0.78% 0.35%
Average ROR 1.28% 0.87% 0.37%
Max Gain 17.81% 12.68% 5.80%
Consecutive Wins 15 10 15
% Winning Months 73.27% 67.33% 62.38%
Average Gain 2.70% 3.09% 1.40%
Gain Deviation 2.89% 2.62% 1.12%

Risk Statistics

Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Standard Deviation 3.64% 4.25% 1.90%
Worst Loss -9.40% -12.51% -9.16%
Consecutive Losses 3 3 4
% Losing Months 26.73% 32.67% 37.62%
Average Loss -2.62% -3.71% -1.35%
Loss Deviation 2.47% 3.15% 1.67%

Risk/Reward Statistics

Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.35 0.19 0.15
Sortino Ratio (1%) 0.66 0.25 0.20
Skewness 0.73 -0.39 -1.10
Kurtosis 4.80 1.10 6.18

Reward

Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Compound ROR 15.60% 9.80% 4.27%
Average ROR 16.17% 10.46% 4.47%
Max Gain 41.08% 23.72% 12.51%
Consecutive Wins 4 3 3
% Winning Years 88.89% 66.67% 66.67%
Average Gain 17.09% 17.41% 8.06%
Gain Deviation 10.00% 9.08% 3.88%

Risk Statistics

Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Standard Deviation 12.62% 14.72% 6.57%
Worst Loss -0.58% -8.53% -4.10%
Consecutive Losses 1 1 1
% Losing Years 11.11% 33.33% 33.33%
Average Loss -0.58% -5.47% -3.58%
Loss Deviation 8.54% 10.90% 5.77%

Risk/Reward Statistics

Regime-Adaptive Equity (PRAE) S&P 500 Index Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.22 0.64 0.52
Sortino Ratio (1%) 2.28 0.87 0.69

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
Regime-Adaptive Directional
High Vol Arbitrage
Low Vol Multi-Strategy

Past 3 Months


Current Year to Date


Past 12 Months


Past 36 Months


Past 60 Months

Consecutive Gains

Run-up % Length (Months) Start End
34.85 3 02/2020 04/2020
29.34 15 10/2016 12/2017
23.31 7 05/2019 11/2019
17.72 4 11/2021 02/2022
14.47 7 02/2016 08/2016

Consecutive Losses

Decline % Length (Months) Start End
-14.50 3 09/2018 11/2018
-10.16 2 05/2022 06/2022
-7.46 2 12/2019 01/2020
-6.10 3 11/2015 01/2016
-5.82 2 08/2020 09/2020

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -14.50 3 10 10/2018 10/2019
2 -10.16 2 - 06/2022 07/2022
3 -7.46 2 1 01/2020 03/2020
4 -6.10 3 1 12/2015 03/2016
5 -5.82 2 1 09/2020 11/2020

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 33.33 50.00 58.33 63.89 68.33 73.27
Average Monthly Return % -0.65 0.80 1.24 1.97 1.47 1.28
Winning Months Average Gain % 8.30 4.87 4.12 4.70 3.57 2.70
Largest Monthly Gain % 8.30 10.44 10.44 17.81 17.81 17.81
Gain Deviation 0.00 3.79 3.14 4.11 3.40 2.89
Up Capture Ratio % 81.03 58.43 61.59 72.97 57.65 55.65
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 8.85 5.43 4.52 5.18 4.46 3.64
Losing Months Average Loss % -5.12 -3.26 -2.79 -2.86 -3.07 -2.62
Largest Monthly Loss % -9.40 -9.40 -9.40 -9.40 -9.40 -9.40
Loss Deviation 6.05 3.29 2.66 2.79 2.78 2.47
Maximum Drawdown % -10.16 -10.16 -10.16 -10.16 -14.50 -14.50
Months in Max Drawdown 2 2 2 2 13 13
Down Capture Ratio 112.04 28.04 45.38 25.23 36.88 40.36
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -0.29 0.46 0.89 1.26 1.08 1.14
Profit/Loss Ratio 0.81 1.49 2.07 2.91 2.51 2.83
Mar Ratio -1.02 0.82 1.44 2.41 1.23 1.08
Sortino Ratio (5%) -0.80 0.27 0.97 1.96 1.35 1.40
Sortino Ratio (1%) -0.63 0.64 1.49 2.55 1.91 2.09
Omega Ratio (5%) 2.47 4.21 5.61 8.03 6.78 7.12
Omega Ratio (1%) 2.74 4.95 6.82 9.63 8.27 9.20
Information Ratio -0.32 0.64 0.14 0.67 0.42 0.44
Active Premium -10.25 14.35 2.28 13.05 6.94 5.80
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