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Regime-Adaptive Multi-Strat (PRAM)


Key Features

  • Highly liquid, transparent investments
  • Tactical models to minimize systematic risk
  • Multiple constructs to adapt to specific market states
  • 60/40 allocations to tactical Equity and Treasury components
  • Long and short positions

Strategy Description

The strength of ProfitScore’s Regime-Adaptive Multi-Strat Program (PRAM) lies in its ability to measure changing market dynamics and systematically trade based on market states. Each highly liquid program uses unique sources of information to make trading decisions, reducing investment model correlation. The equity program places trades in S&P 500 Index secuties depending on the market's High Vol or Low Vol state. The program's US Treasury allocation systematically places trades in longer-dated US Treasury index securities based on Risk-On and Risk-Off market states. 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
8.79 10.35 60.80 75.94 1.48 8.18 -8.77

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2022 0.00 6.25 0.69 -3.26 5.12 8.79
2021 -0.54 1.21 -1.55 3.22 0.28 0.59 1.05 -0.89 -2.59 4.03 -0.57 -0.07 4.05
2020 1.79 -2.46 5.80 11.18 3.44 -2.01 2.87 2.22 -0.84 -3.01 4.97 1.49 27.54
2019 0.77 2.02 2.80 0.81 -2.41 2.34 0.34 0.37 1.86 2.75 1.73 1.49 15.80
2018 2.24 -1.38 2.82 0.60 0.63 -1.15 0.84 2.48 -0.83 -4.51 -2.41 -1.28 -2.19
2017 0.33 0.57 0.75 -0.20 2.12 0.55 1.71 0.81 0.54 1.02 0.38 2.36 11.47
2016 -3.25 2.77 4.67 -0.36 1.42 1.58 3.59 0.66 0.16 -1.69 2.87 1.74 14.80
2015 -0.64 8.06 -1.35 0.81 1.49 2.45 2.52 1.09 3.21 1.93 0.82 0.53 22.69
2014 -0.52 0.41 2.01 0.63 1.36 1.30 -0.24 4.97 0.10 0.68 11.11

Reward

Regime-Adaptive Multi-Strat (PRAM) AOR ETF Barclay Hedge Fund Index
Compound ROR 1.06% 0.48% 0.37%
Average ROR 1.09% 0.51% 0.38%
Max Gain 11.18% 7.54% 5.80%
Consecutive Wins 9 14 15
% Winning Months 72.73% 64.65% 62.63%
Average Gain 2.06% 1.88% 1.37%
Gain Deviation 1.93% 1.48% 1.10%

Risk Statistics

Regime-Adaptive Multi-Strat (PRAM) AOR ETF Barclay Hedge Fund Index
Standard Deviation 2.36% 2.51% 1.84%
Worst Loss -4.51% -9.45% -9.16%
Consecutive Losses 4 4 4
% Losing Months 26.26% 34.34% 37.37%
Average Loss -1.54% -2.04% -1.27%
Loss Deviation 1.15% 2.06% 1.64%

Risk/Reward Statistics

Regime-Adaptive Multi-Strat (PRAM) AOR ETF Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.43 0.17 0.16
Sortino Ratio (1%) 0.97 0.23 0.22
Skewness 0.94 -0.67 -1.16
Kurtosis 3.23 2.48 7.19

Reward

Regime-Adaptive Multi-Strat (PRAM) AOR ETF Barclay Hedge Fund Index
Compound ROR 13.55% 5.91% 4.48%
Average ROR 13.83% 6.26% 4.67%
Max Gain 27.54% 17.65% 12.51%
Consecutive Wins 4 3 3
% Winning Years 88.89% 66.67% 66.67%
Average Gain 14.53% 11.17% 8.06%
Gain Deviation 6.69% 5.13% 3.82%

Risk Statistics

Regime-Adaptive Multi-Strat (PRAM) AOR ETF Barclay Hedge Fund Index
Standard Deviation 8.18% 8.70% 6.39%
Worst Loss -2.19% -7.62% -3.79%
Consecutive Losses 1 1 1
% Losing Years 11.11% 33.33% 33.33%
Average Loss -2.19% -5.12% -3.28%
Loss Deviation 3.99% 7.12% 5.69%

Risk/Reward Statistics

Regime-Adaptive Multi-Strat (PRAM) AOR ETF Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.48 0.59 0.56
Sortino Ratio (1%) 3.36 0.80 0.76

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
21.67 3 02/2020 04/2020
15.83 9 03/2015 11/2015
13.37 8 05/2019 12/2019
12.33 9 04/2017 12/2017
8.06 1 01/2015 01/2015

Consecutive Losses

Decline % Length (Months) Start End
-8.77 4 08/2018 11/2018
-3.82 2 08/2020 09/2020
-3.46 2 07/2021 08/2021
-3.26 1 03/2022 03/2022
-3.25 1 12/2015 12/2015

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -8.77 4 10 09/2018 10/2019
2 -3.82 2 1 09/2020 11/2020
3 -3.46 2 1 08/2021 10/2021
4 -3.26 1 1 04/2022 05/2022
5 -3.25 1 2 01/2016 03/2016

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 66.67 50.00 54.17 66.67 68.33 72.73
Average Monthly Return % 0.85 0.86 0.78 1.37 0.98 1.09
Winning Months Average Gain % 2.91 2.96 2.61 2.80 2.21 2.06
Largest Monthly Gain % 5.12 6.25 6.25 11.18 11.18 11.18
Gain Deviation 3.13 2.49 1.97 2.50 2.10 1.93
Up Capture Ratio % 1044.90 108.76 59.33 79.85 72.65 80.86
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 4.19 2.91 2.60 2.95 2.59 2.36
Losing Months Average Loss % -3.26 -1.48 -1.53 -1.62 -1.76 -1.54
Largest Monthly Loss % -3.26 -3.26 -3.26 -3.26 -4.51 -4.51
Loss Deviation 0.00 1.38 1.13 1.11 1.15 1.15
Maximum Drawdown % -3.26 -3.46 -3.82 -3.82 -8.77 -8.77
Months in Max Drawdown 2 3 3 3 14 14
Down Capture Ratio 41.82 -1.63 22.99 -4.95 16.81 0.12
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 0.63 0.93 0.92 1.51 1.20 1.48
Profit/Loss Ratio 1.78 2.40 2.22 3.77 2.85 3.70
Mar Ratio 3.05 3.00 2.44 4.49 1.36 1.55
Sortino Ratio (5%) 0.63 0.99 0.82 2.52 1.39 1.97
Sortino Ratio (1%) 1.27 2.00 1.83 3.90 2.53 3.36
Omega Ratio (5%) 4.72 5.39 5.01 8.70 6.45 7.98
Omega Ratio (1%) 5.85 7.58 7.02 12.00 9.05 11.65
Information Ratio 2.31 1.48 0.16 0.82 0.59 0.84
Active Premium 30.99 17.17 1.52 10.05 5.98 7.64
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