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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
-4.85 -10.73 -18.98 -21.88 0.59 9.71 -27.12

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)

April 2019 - March 2024
Fund Name Ticker Annualized Return Sharpe (0%) Beta Alpha (0%) Correlation
ProfitScore Regime-Adaptive Long/Short Equity Index PSRAE 15.76% 0.92 0.45 10.05 1.00
Goldman Sachs US Eq Div and Prem Instl GSPKX 11.87% 0.72 0.87 0.31 0.49
Virtus AlphaSimplex Mgd Futs Strat I ASFYX 10.48% 0.72 -0.22 15.05 -0.02
JPMorgan Equity Premium Income I JEPIX 9.59% 0.71 0.63 1.11 0.35
BlackRock High Equity Income Instl BMCIX 9.50% 0.54 0.85 -1.27 0.42
JPMorgan Hedged Equity A JHQAX 9.49% 0.96 0.43 3.53 0.49
AB Select US Long/Short Advisor ASYLX 9.11% 0.87 0.50 2.24 0.52
AQR Managed Futures Strategy I AQMIX 8.91% 0.69 -0.28 14.03 -0.15
Diamond Hill Long-Short I DHLSX 8.70% 0.57 0.70 -0.27 0.36
Neuberger Berman Long Short Instl NLSIX 8.08% 0.93 0.37 2.89 0.40
Catalyst/Millburn Hedge Strategy I MBXIX 7.83% 0.52 0.45 2.35 0.22
American Beacon AHL Mgd Futs Strat Y AHLYX 7.54% 0.67 -0.11 9.74 0.08
Abbey Capital Futures Strategy I ABYIX 7.41% 0.77 -0.13 9.80 -0.01
AQR Diversified Arbitrage I ADAIX 7.39% 0.85 0.20 4.73 0.10
PIMCO TRENDS Managed Futures Strat Instl PQTIX 7.32% 0.60 -0.21 11.14 -0.04
Horizon Active Risk Assist® Investor ARANX 6.21% 0.43 0.68 -2.58 0.47
LoCorr Macro Strategies I LFMIX 6.07% 0.64 -0.04 7.01 -0.01
Columbia Adaptive Risk Allocation Inst CRAZX 4.94% 0.45 0.45 -1.12 0.52
FS Multi-Strategy Alternatives I FSMSX 4.74% 1.00 0.10 3.32 0.02
BlackRock Tactical Opportunities Instl PBAIX 4.73% 0.72 0.04 4.36 -0.04
Goldman Sachs Absolute Ret Trckr Instl GJRTX 4.64% 0.53 0.36 -0.33 0.38
Average 6.31% 0.66 0.26 3.10 0.24
S&P 500 Index 13.13% 0.71 1.00 0.00 0.51
Barclay Hedge Fund Index 6.12% 0.64 0.41 0.55 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 -4.85
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 0.44% 0.13% 0.44%
Average ROR 0.48% 0.14% 0.45%
Max Gain 11.71% 4.59% 5.80%
Consecutive Wins 9 7 15
% Winning Months 53.69% 52.35% 64.43%
Average Gain 2.35% 1.03% 1.43%
Gain Deviation 2.43% 0.93% 1.07%

Risk Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 2.80% 1.31% 1.81%
Worst Loss -4.93% -4.15% -9.16%
Consecutive Losses 5 6 4
% Losing Months 44.97% 46.98% 35.57%
Average Loss -1.74% -0.85% -1.32%
Loss Deviation 1.15% 0.92% 1.50%

Risk/Reward Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.17 0.04 0.20
Sortino Ratio (1%) 0.31 0.05 0.29
Skewness 1.22 0.01 -0.99
Kurtosis 2.67 1.96 5.13

Reward

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Compound ROR 5.40% 1.54% 5.36%
Average ROR 6.36% 1.70% 5.56%
Max Gain 46.75% 8.46% 11.14%
Consecutive Wins 6 7 6
% Winning Years 50.00% 71.43% 78.57%
Average Gain 15.89% 3.89% 7.67%
Gain Deviation 8.42% 3.20% 3.71%

Risk Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Standard Deviation 9.71% 4.54% 6.28%
Worst Loss -13.85% -13.03% -8.22%
Consecutive Losses 4 2 1
% Losing Years 50.00% 28.57% 21.43%
Average Loss -4.61% -4.45% -5.09%
Loss Deviation 3.97% 3.18% 5.21%

Risk/Reward Statistics

Long/Short U.S. Treasury (LSGB) Barclays US Agg Bond Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.59 0.14 0.71
Sortino Ratio (1%) 1.09 0.17 1.00

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
-15.34 10 05/2023 02/2024
-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 -27.12 44 - 08/2020 03/2024
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 0.00 16.67 37.50 38.89 41.67 53.69
Average Monthly Return % -1.64 -0.92 -0.79 -0.57 -0.39 0.48
Winning Months Average Gain % - 2.69 0.97 1.22 1.65 2.35
Largest Monthly Gain % -0.61 3.44 3.44 4.12 4.99 11.71
Gain Deviation 0.00 1.06 1.09 1.20 1.47 2.43
Up Capture Ratio % -283.60 -56.42 -14.14 1.04 23.07 78.38
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.99 1.92 1.76 1.89 2.19 2.80
Losing Months Average Loss % -1.64 -1.65 -1.84 -1.70 -1.84 -1.74
Largest Monthly Loss % -2.58 -3.38 -4.20 -4.47 -4.93 -4.93
Loss Deviation 0.99 0.95 1.10 1.27 1.26 1.15
Maximum Drawdown % -4.85 -15.34 -17.60 -24.20 -27.12 -27.12
Months in Max Drawdown 3 10 24 28 44 44
Down Capture Ratio 196.21 71.82 64.52 68.11 91.89 -2.12
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) -6.04 -1.82 -1.72 -1.19 -0.74 0.49
Profit/Loss Ratio NaN 0.33 0.31 0.46 0.64 1.61
Mar Ratio -3.72 -0.70 -0.52 -0.28 -0.18 0.20
Sortino Ratio (5%) -3.23 -2.28 -2.13 -1.79 -1.45 0.07
Sortino Ratio (1%) -3.14 -1.99 -1.76 -1.36 -0.98 0.86
Omega Ratio (5%) 0.00 0.77 0.58 0.89 1.39 3.71
Omega Ratio (1%) 0.00 1.04 0.95 1.40 2.01 5.12
Information Ratio -1.64 -0.98 -0.75 -0.48 -0.61 0.38
Active Premium -14.02 -12.03 -7.51 -4.20 -5.05 3.85

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

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