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Long/Short U.S. Treasury (LSGB)


Key Features

  • Highly liquid transparent investments
  • Tactical models to minimize systematic risk
  • Multiple models to mitigate model specific risk
  • Allocates to US treasury bonds
  • Long and short positions

Strategy Description

Long/Short U.S. Treasury (LSGB) 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 price trends and positions assets to benefit from a rising or declining yield curve. 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
-8.27 -7.10 -5.28 -6.70 0.81 10.02 -15.27

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2022 -1.06 -0.04 -4.47 -4.20 0.35 0.25 0.74 -8.27
2021 1.97 -1.83 -4.05 1.16 1.02 -0.31 0.86 -1.24 -0.01 4.12 1.17 -2.64 -0.05
2020 4.54 4.99 -1.55 1.22 3.50 -2.33 3.46 -4.93 1.21 -1.99 1.48 -2.14 7.13
2019 0.19 0.68 4.19 -2.28 0.70 0.18 -1.43 -0.76 0.89 -2.30 -0.80 -0.62 -1.51
2018 0.96 -2.53 -0.20 -0.28 -2.55 -1.56 0.38 1.40 -3.06 1.83 -1.36 1.80 -5.21
2017 -1.96 -4.47 0.20 -0.76 3.18 0.43 0.03 1.59 -1.68 -0.98 -1.41 4.35 -1.77
2016 -2.42 8.89 1.60 -1.49 1.00 3.42 3.51 0.68 -0.12 -2.62 4.02 1.97 19.43
2015 0.36 11.71 -2.12 1.67 1.08 8.17 4.63 2.72 6.32 1.47 0.78 2.95 46.75
2014 2.16 0.00 -1.52 -0.01 1.54 -1.51 2.33 1.50 -0.91 8.30 -1.45 4.27 15.23
2013 -1.20 0.47 1.68 -3.51 0.00 1.19 -1.23 1.16 0.73 2.39 1.47 2.13 5.24
2012 0.12 0.28 0.37 7.34 -1.35 3.36 -1.78 -2.39 -2.69 3.02 -0.53 1.95 7.50
2011 -0.66 10.69 9.96

Reward

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 0.64% 0.16% 0.41%
Average ROR 0.68% 0.16% 0.43%
Max Gain 11.71% 2.78% 5.80%
Consecutive Wins 9 7 15
% Winning Months 57.36% 55.04% 65.12%
Average Gain 2.44% 0.86% 1.37%
Gain Deviation 2.48% 0.63% 1.05%

Risk Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 2.89% 1.03% 1.79%
Worst Loss -4.93% -3.81% -9.16%
Consecutive Losses 5 5 4
% Losing Months 41.09% 44.19% 34.88%
Average Loss -1.76% -0.70% -1.32%
Loss Deviation 1.20% 0.76% 1.57%

Risk/Reward Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.23 0.08 0.19
Sortino Ratio (1%) 0.47 0.10 0.27
Skewness 1.13 -0.50 -1.12
Kurtosis 2.37 1.65 6.28

Reward

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 7.89% 1.91% 5.09%
Average ROR 8.78% 1.99% 5.25%
Max Gain 46.75% 9.66% 12.51%
Consecutive Wins 6 5 4
% Winning Years 58.33% 75.00% 75.00%
Average Gain 15.89% 3.41% 7.46%
Gain Deviation 8.60% 2.19% 3.64%

Risk Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 10.02% 3.58% 6.21%
Worst Loss -8.27% -6.00% -4.10%
Consecutive Losses 3 2 1
% Losing Years 41.67% 25.00% 25.00%
Average Loss -3.36% -3.12% -3.58%
Loss Deviation 4.17% 2.63% 5.44%

Risk/Reward Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.81 0.27 0.67
Sortino Ratio (1%) 1.61 0.36 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
33.73 9 03/2015 11/2015
19.73 5 11/2011 03/2012
16.90 3 11/2014 01/2015
10.63 2 01/2016 02/2016
10.46 7 07/2013 01/2014

Consecutive Losses

Decline % Length (Months) Start End
-11.88 5 11/2021 03/2022
-6.95 5 01/2018 05/2018
-6.71 3 06/2012 08/2012
-6.34 2 12/2016 01/2017
-5.81 2 01/2021 02/2021

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -15.27 21 - 08/2020 07/2022
2 -8.95 21 17 01/2017 02/2020
3 -6.71 3 14 07/2012 11/2013
4 -2.74 2 1 09/2016 11/2016
5 -2.42 1 1 01/2016 02/2016

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 100.00 41.67 45.83 47.22 48.33 57.36
Average Monthly Return % 0.45 -0.59 -0.61 -0.12 -0.09 0.68
Winning Months Average Gain % 0.45 1.33 1.30 1.94 1.76 2.44
Largest Monthly Gain % 0.74 4.12 4.12 4.99 4.99 11.71
Gain Deviation 0.26 1.60 1.05 1.54 1.48 2.48
Up Capture Ratio % 32.92 63.24 54.53 86.02 69.12 125.62
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.26 2.38 2.29 2.48 2.27 2.89
Losing Months Average Loss % - -1.95 -2.22 -1.96 -1.83 -1.76
Largest Monthly Loss % 0.00 -4.47 -4.93 -4.93 -4.93 -4.93
Loss Deviation 0.00 1.85 1.72 1.52 1.30 1.20
Maximum Drawdown % 0.00 -11.88 -15.27 -15.27 -15.27 -15.27
Months in Max Drawdown - 5 21 21 21 21
Down Capture Ratio -16.13 75.37 108.23 111.73 116.26 -40.97
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 4.86 -0.97 -1.04 -0.28 -0.26 0.71
Profit/Loss Ratio - 0.49 0.50 0.88 0.90 1.93
Mar Ratio - -0.60 -0.48 -0.12 -0.09 0.52
Sortino Ratio (5%) 1.40 -1.58 -1.57 -0.95 -0.98 0.50
Sortino Ratio (1%) 0.00 -1.18 -1.19 -0.44 -0.42 1.36
Omega Ratio (5%) 5.36 1.00 1.01 2.01 1.98 4.48
Omega Ratio (1%) - 1.51 1.55 2.81 2.86 6.17
Information Ratio -0.25 0.30 -0.37 -0.23 -0.40 0.60
Active Premium -1.56 1.90 -2.37 -1.62 -2.63 5.99
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