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Long/Short Credit Default (LSCD)


Key Features

  • Liquid transparent investments
  • Tactical models to minimize systematic risk
  • Multiple models to mitigate model specific risk
  • Allocates to HY credit default swaps
  • Long and short positions

Strategy Description

Long/Short Credit Default (LSCD) 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 with allocations to high yield assets. 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
0.70 2.11 22.08 37.90 1.49 6.83 -4.25

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2017 0.57 1.53 -1.38 0.39 0.61 -0.44 0.51 -0.42 0.47 0.01 -1.12 0.70
2016 -3.07 -1.15 3.41 -0.36 -1.27 2.79 0.51 1.11 -0.18 0.77 6.25 1.40 10.34
2015 1.14 2.21 -1.77 0.66 -1.03 0.79 1.85 3.46 0.46 2.90 -0.08 0.01 10.99
2014 0.38 2.87 -0.80 -0.06 1.21 0.61 0.21 0.93 -1.67 0.97 -2.19 -1.01 1.35
2013 1.10 -1.41 -0.47 1.95 1.87 1.12 4.47 -0.98 -0.13 2.51 -0.81 0.69 10.20
2012 2.28 -0.46 1.66 0.87 2.27 0.52 0.43 -1.21 -0.35 1.64 1.81 0.12 9.93
2011 0.55 1.57 0.99 3.04 8.09 8.84 1.50 -0.07 26.81

Reward

Long/Short Credit Default (LSCD) Barclays US Agg Bond Barclays Hedge Fund Index
Compound ROR 0.83% 0.25% 0.35%
Average ROR 0.85% 0.25% 0.36%
Max Gain 8.84% 2.06% 3.45%
Consecutive Wins 7 7 12
% Winning Months 67.09% 61.04% 64.56%
Average Gain 1.71% 0.77% 1.17%
Gain Deviation 1.80% 0.52% 0.76%

Risk Statistics

Long/Short Credit Default (LSCD) Barclays US Agg Bond Barclays Hedge Fund Index
Standard Deviation 1.97% 0.85% 1.43%
Worst Loss -3.07% -2.57% -4.29%
Consecutive Losses 2 3 5
% Losing Months 32.91% 40.26% 35.44%
Average Loss -0.92% -0.53% -1.12%
Loss Deviation 0.73% 0.59% 1.16%

Risk/Reward Statistics

Long/Short Credit Default (LSCD) Barclays US Agg Bond Barclays Hedge Fund Index
Sharpe Ratio (1%) 0.43 0.20 0.19
Sortino Ratio (1%) 1.24 0.31 0.27
Skewness 1.64 -0.51 -0.85
Kurtosis 4.78 1.00 1.49

Reward

Long/Short Credit Default (LSCD) Barclays US Agg Bond Barclays Hedge Fund Index
Compound ROR 10.42% 3.05% 4.24%
Average ROR 10.68% 3.09% 4.41%
Max Gain 26.81% 6.82% 10.68%
Consecutive Wins 7 4 3
% Winning Years 100.00% 85.71% 71.43%
Average Gain 9.57% 3.32% 7.24%
Gain Deviation 6.25% 1.81% 2.64%

Risk Statistics

Long/Short Credit Default (LSCD) Barclays US Agg Bond Barclays Hedge Fund Index
Standard Deviation 6.83% 2.93% 4.95%
Worst Loss - -0.33% -5.38%
Consecutive Losses 0 1 1
% Losing Years 0.00% 14.29% 28.57%
Average Loss - -0.30% -3.99%
Loss Deviation 2.52% 2.05% 4.01%

Risk/Reward Statistics

Long/Short Credit Default (LSCD) Barclays US Agg Bond Barclays Hedge Fund Index
Sharpe Ratio (1%) 1.49 0.70 0.66
Sortino Ratio (1%) 4.31 1.08 0.93

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
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
26.90 7 04/2011 10/2011
10.86 5 09/2016 01/2017
9.79 5 05/2015 09/2015
9.71 4 03/2013 06/2013
5.87 5 02/2012 06/2012

Consecutive Losses

Decline % Length (Months) Start End
-4.18 2 12/2015 01/2016
-3.18 2 10/2014 11/2014
-1.87 2 01/2013 02/2013
-1.77 1 02/2015 02/2015
-1.67 1 08/2014 08/2014

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -4.25 4 4 11/2015 06/2016
2 -3.87 4 8 09/2014 08/2015
3 -1.87 2 1 02/2013 04/2013
4 -1.56 2 1 08/2012 10/2012
5 -1.38 9 - 03/2017 11/2017

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 66.67 66.67 62.50 63.89 63.33 67.09
Average Monthly Return % -0.21 0.18 0.46 0.57 0.55 0.85
Winning Months Average Gain % 0.24 0.69 1.36 1.47 1.44 1.71
Largest Monthly Gain % 0.47 1.53 6.25 6.25 6.25 8.84
Gain Deviation 0.33 0.52 1.66 1.47 1.35 1.80
Up Capture Ratio % - 115.38 51.07 59.46 76.40 140.09
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.82 0.89 1.83 1.75 1.65 1.97
Losing Months Average Loss % -1.12 -0.84 -1.04 -1.02 -0.99 -0.92
Largest Monthly Loss % -1.12 -1.38 -3.07 -3.07 -3.07 -3.07
Loss Deviation 0.00 0.49 0.88 0.80 0.75 0.73
Maximum Drawdown % -1.12 -1.38 -4.18 -4.25 -4.25 -4.25
Months in Max Drawdown 1 9 6 8 8 8
Down Capture Ratio -82.46 208.22 -154.98 -173.96 -106.11 -147.06
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -1.26 0.37 0.70 0.96 0.98 1.34
Profit/Loss Ratio 0.43 1.63 2.17 2.55 2.51 3.80
Mar Ratio -2.28 1.52 1.29 1.62 1.56 2.45
Sortino Ratio (5%) -2.37 -1.05 0.11 0.52 0.47 1.69
Sortino Ratio (1%) -1.49 0.54 1.44 2.02 2.00 3.67
Omega Ratio (5%) 0.11 1.70 3.76 4.51 4.39 6.83
Omega Ratio (1%) 1.05 4.51 6.48 7.65 7.55 11.46
Information Ratio - -0.05 0.44 0.71 0.72 0.99
Active Premium 12.42 -0.14 3.67 5.56 5.14 7.84
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Please Review Important Disclosure Information