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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

Live trades are independently verified - Click To Verify.

YTD 1Y 3Y 5Y Sharpe STDEV MDD
-8.39 -10.56 -27.02 -20.24 0.53 9.72 -32.72

When compared against all of the alternative mutual funds cataloged in the Morningstar database, the ProfitScore Regime-Adaptive Long/Short Equity Index is the #1 Top Performer by average annual rate of return since 2019. Most investment capital allocated to alternative strategies predominantly flows into the largest funds. The following table presents a comparative analysis between the ProfitScore Regime-Adaptive Long/Short Equity Index (PSRAE) and the top 20 largest alternative mutual funds.
 

PSRAE VS. TOP 20 ALTERNATIVE MUTUAL FUNDS (BY AUM)

January 2019 - November 2024
Fund Name Ticker Annualized Return Sharpe (0%) Beta Alpha (0%) Correlation
ProfitScore Regime-Adaptive Long/Short Equity Index PSRAE 15.49% 1.03 0.44 8.72 1.00
Goldman Sachs US Eq Div and Prem Instl GSPKX 14.66% 0.98 0.86 0.70 0.48
JPMorgan Equity Premium Income I JEPIX 11.64% 0.98 0.63 1.40 0.34
JPMorgan Hedged Equity A JHQAX 11.01% 1.26 0.44 3.76 0.48
BlackRock High Equity Income Instl BMCIX 10.90% 0.70 0.83 -1.89 0.41
AB Select US Long/Short Advisor ASYLX 10.80% 1.18 0.50 2.53 0.51
Neuberger Berman Long Short Instl NLSIX 9.06% 1.23 0.37 2.84 0.40
Diamond Hill Long-Short I DHLSX 9.02% 0.68 0.69 -1.60 0.35
Catalyst/Millburn Hedge Strategy I MBXIX 8.60% 0.66 0.42 2.33 0.21
Horizon Active Risk Assist® Investor ARANX 7.87% 0.64 0.68 -2.75 0.47
AQR Diversified Arbitrage I ADAIX 7.06% 1.00 0.19 4.01 0.11
Virtus AlphaSimplex Mgd Futs Strat I ASFYX 6.98% 0.56 -0.23 12.11 -0.01
Columbia Adaptive Risk Allocation Inst CRAZX 6.96% 0.76 0.47 -0.60 0.50
AQR Managed Futures Strategy I AQMIX 6.48% 0.60 -0.28 12.14 -0.13
Goldman Sachs Absolute Ret Trckr Instl GJRTX 5.58% 0.84 0.36 -0.31 0.38
Abbey Capital Futures Strategy I ABYIX 5.46% 0.67 -0.14 8.29 0.00
LoCorr Macro Strategies I LFMIX 5.32% 0.69 -0.05 6.57 -0.01
FS Multi-Strategy Alternatives I FSMSX 5.09% 1.36 0.10 3.38 0.03
BlackRock Systematic Multi-Strat Instl BIMBX 5.06% 1.09 0.17 2.32 0.28
BlackRock Tactical Opportunities Instl PBAIX 5.05% 0.98 0.05 4.39 -0.05
Goldman Sachs Tactical Tilt Overlay P GSLPX 4.73% 0.86 0.24 0.88 0.43
Average 8.23% 0.89 0.32 3.30 0.30
S&P 500 Index 15.99% 0.94 1.00 0.00 0.50
Barclay Hedge Fund Index 7.22% 0.94 0.41 0.63 0.37
Source: Morningstar
 

The ProfitScore Regime-Adaptive Long/Short Equity Index is licensed to AXS Investments, LLC, which created the AXS Adaptive Plus Fund (AXSPX) around the PSRAE Index.

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2024 -2.58 -0.61 -1.73 -0.92 -0.59 -4.77 1.47 1.95 -2.06 -2.85 4.28 -8.39
2023 0.11 0.98 0.13 1.94 3.44 -0.57 -1.62 -0.86 -1.95 -0.80 -3.38 -2.37 -5.03
2022 -1.06 -0.04 -4.47 -4.20 0.35 0.25 0.74 -3.21 -1.45 -1.33 0.76 -0.96 -13.85
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 0.39% 0.15% 0.45%
Average ROR 0.43% 0.15% 0.47%
Max Gain 11.71% 4.59% 5.80%
Consecutive Wins 9 7 15
% Winning Months 52.87% 53.50% 64.97%
Average Gain 2.36% 1.06% 1.43%
Gain Deviation 2.40% 0.91% 1.05%

Risk Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 2.81% 1.34% 1.78%
Worst Loss -4.93% -4.15% -9.16%
Consecutive Losses 13 6 4
% Losing Months 45.86% 45.86% 35.03%
Average Loss -1.78% -0.90% -1.31%
Loss Deviation 1.18% 0.95% 1.48%

Risk/Reward Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.15 0.11 0.26
Sortino Ratio (1%) 0.27 0.16 0.39
Skewness 1.16 -0.07 -1.01
Kurtosis 2.54 1.57 5.27

Reward

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 4.81% 1.76% 5.58%
Average ROR 5.76% 1.90% 5.79%
Max Gain 46.75% 8.46% 11.14%
Consecutive Wins 6 7 6
% Winning Years 50.00% 78.57% 78.57%
Average Gain 15.89% 3.79% 8.27%
Gain Deviation 8.30% 3.15% 3.63%

Risk Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 9.72% 4.65% 6.17%
Worst Loss -13.85% -13.03% -8.22%
Consecutive Losses 4 2 1
% Losing Years 50.00% 21.43% 21.43%
Average Loss -5.12% -5.59% -5.09%
Loss Deviation 4.09% 3.28% 5.13%

Risk/Reward Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.43 0.23 1.07
Sortino Ratio (1%) 0.72 0.18 0.75

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
-20.59 13 05/2023 05/2024
-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

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -32.72 51 - 08/2020 11/2024
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 33.33 25.00 33.33 33.33 41.67 52.87
Average Monthly Return % -0.21 -0.90 -0.60 -0.85 -0.35 0.43
Winning Months Average Gain % 4.28 2.57 1.79 1.37 1.88 2.36
Largest Monthly Gain % 4.28 4.28 4.28 4.28 4.99 11.71
Gain Deviation 0.00 1.50 1.48 1.34 1.50 2.40
Up Capture Ratio % 86.84 -28.98 -19.38 -9.61 29.02 67.12
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 3.91 2.46 2.13 2.06 2.36 2.81
Losing Months Average Loss % -2.46 -2.05 -1.79 -1.96 -1.94 -1.78
Largest Monthly Loss % -2.85 -4.77 -4.77 -4.77 -4.93 -4.93
Loss Deviation 0.56 1.32 1.19 1.32 1.36 1.18
Maximum Drawdown % -4.85 -14.23 -21.84 -30.02 -32.72 -32.72
Months in Max Drawdown 2 11 17 35 51 51
Down Capture Ratio 113.10 105.00 59.03 78.66 87.78 5.87
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -0.26 -1.38 -1.10 -1.57 -0.63 0.43
Profit/Loss Ratio 0.87 0.42 0.50 0.35 0.69 1.53
Mar Ratio -0.63 -0.74 -0.33 -0.33 -0.14 0.15
Sortino Ratio (5%) -0.98 -1.93 -1.75 -2.01 -1.31 -0.03
Sortino Ratio (1%) -0.57 -1.63 -1.35 -1.67 -0.86 0.72
Omega Ratio (5%) 2.34 1.01 1.13 0.74 1.57 3.54
Omega Ratio (1%) 2.86 1.34 1.58 1.09 2.20 4.87
Information Ratio -0.23 -1.55 -0.99 -0.84 -0.50 0.31
Active Premium -2.57 -17.12 -10.92 -7.96 -4.35 3.05

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

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Important disclosure information: Past performance of a ProfitScore index is not an indication of future results. You cannot invest directly in any ProfitScore index. Performance of any ProfitScore index does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in an index. A decision to invest in any such fund or portfolio should not be made in reliance on any of the statements set forth in this web site. Inclusion of a security within any ProfitScore index is not a recommendation by ProfitScore to buy, sell, or hold such security, nor is it considered to be investment advice. Index performance does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in fund shares. Such fees, expenses and commissions would reduce returns. ProfitScore receives compensation in connection with licensing rights to its indices. All information relating to any ProfitScore index is impersonal and not tailored to the specific financial circumstances of any person, entity or group of persons. Index methodologies are available upon request to ProfitScore.

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