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Regime-Adaptive Long/Short Equity (PSRAE)


Key Features

  • Highly liquid, transparent investments
  • Tactical models to minimize systematic risk
  • Multiple constructs to adapt to specific market states
  • Long and short positions

Strategy Description

ProfitScore’s Regime-Adaptive Long /Short Equity (PSRAE) is a highly liquid, systematic index trading S&P 500 Index securities. Depending on the market state – Low Vol or High Vol – trading decisions are driven by two different trading constructs. During Low Vol, the system is designed to identify and dynamically capture gains based on persistent directional moves. As volatility increases, markets often become increasingly unstable and inefficient. During these High Vol states, trade length shortens as the program quickly adjusts exposures to capitalize on market inefficiencies. 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
-1.36 14.61 19.25 109.41 1.00 12.88 -24.30

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)

February 2019 - January 2024
Fund Name Ticker Annualized Return Sharpe (0%) Beta Alpha (0%) Correlation
ProfitScore Regime-Adaptive Long/Short Equity Index PSRAE 15.93% 0.93 0.46 10.47 1.00
Goldman Sachs US Eq Div and Prem Instl GSPKX 11.52% 0.70 0.87 0.57 0.49
Virtus AlphaSimplex Mgd Futs Strat I ASFYX 9.79% 0.67 -0.24 14.39 -0.02
JPMorgan Equity Premium Income I JEPIX 9.51% 0.71 0.63 1.45 0.35
BlackRock High Equity Income Instl BMCIX 8.91% 0.51 0.85 -1.28 0.42
JPMorgan Hedged Equity A JHQAX 8.76% 0.89 0.43 3.17 0.49
Neuberger Berman Long Short Instl NLSIX 8.60% 0.99 0.38 3.58 0.41
AB Select US Long/Short Advisor ASYLX 8.42% 0.81 0.49 1.98 0.53
Diamond Hill Long-Short I DHLSX 7.57% 0.50 0.69 -0.85 0.36
AQR Diversified Arbitrage I ADAIX 7.46% 0.86 0.20 4.92 0.10
PIMCO TRENDS Managed Futures Strat Instl PQTIX 7.28% 0.60 -0.21 11.05 -0.04
AQR Managed Futures Strategy I AQMIX 7.10% 0.57 -0.30 12.23 -0.15
Abbey Capital Futures Strategy I ABYIX 7.10% 0.74 -0.14 9.51 -0.01
Catalyst/Millburn Hedge Strategy I MBXIX 7.03% 0.47 0.44 1.98 0.23
American Beacon AHL Mgd Futs Strat Y AHLYX 6.15% 0.56 -0.13 8.45 0.08
LoCorr Macro Strategies I LFMIX 5.91% 0.62 -0.05 6.92 0.00
Horizon Active Risk Assist® Investor ARANX 5.11% 0.36 0.68 -3.09 0.48
FS Multi-Strategy Alternatives I FSMSX 4.97% 1.04 0.10 3.60 0.03
Columbia Adaptive Risk Allocation Inst CRAZX 4.79% 0.44 0.46 -0.95 0.52
Goldman Sachs Tactical Tilt Overlay P GSLPX 4.35% 0.60 0.24 1.24 0.45
Goldman Sachs Absolute Ret Trckr Instl GJRTX 4.35% 0.50 0.36 -0.35 0.39
Average 5.96% 0.63 0.26 2.96 0.24
S&P 500 Index 12.37% 0.68 1.00 0.00 0.51
Barclay Hedge Fund Index 5.70% 0.60 0.41 0.44 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 -1.36 -1.36
2023 3.22 -0.07 5.61 -3.03 -0.04 6.72 2.56 -2.54 -2.47 -3.00 6.56 5.62 19.93
2022 0.71 10.44 4.13 -2.63 8.30 -9.40 -0.84 -3.15 -3.01 -5.50 0.05 -5.12 -7.54
2021 -2.21 3.24 0.11 4.60 -0.21 1.19 1.17 -0.66 -4.31 3.97 -1.73 1.64 6.61
2020 -0.04 -7.42 10.80 17.95 3.40 -1.80 2.48 6.98 -2.21 -3.69 7.30 3.91 41.38
2019 1.16 2.91 1.87 2.87 -4.48 3.79 1.51 1.12 2.50 6.11 3.42 2.90 28.50
2018 3.10 -0.61 4.83 1.18 2.75 -0.87 1.14 3.19 0.65 -8.73 -3.10 -3.33 -0.58
2017 1.86 3.93 1.12 0.18 1.41 0.64 2.82 0.29 2.01 2.36 1.58 1.03 20.94
2016 -3.80 -1.31 6.72 0.40 1.70 0.35 3.65 0.64 0.35 -1.06 2.10 1.59 11.52
2015 -1.30 5.62 -0.83 0.24 1.77 -1.37 1.12 0.01 1.14 2.24 0.85 -1.09 8.51
2014 0.14 0.69 2.32 2.06 0.72 1.17 0.20 0.00 1.13 -1.71 6.86

Reward

ProfitScore Regime-Adaptive Long/Short Equity Index S&P 500 Index Barclay Hedge Fund Index
Compound ROR 1.01% 0.80% 0.36%
Average ROR 1.07% 0.89% 0.38%
Max Gain 17.95% 12.68% 5.80%
Consecutive Wins 15 10 15
% Winning Months 67.23% 66.39% 61.34%
Average Gain 2.85% 3.29% 1.47%
Gain Deviation 2.91% 2.67% 1.14%

Risk Statistics

ProfitScore Regime-Adaptive Long/Short Equity Index S&P 500 Index Barclay Hedge Fund Index
Standard Deviation 3.72% 4.38% 1.91%
Worst Loss -9.40% -12.51% -9.16%
Consecutive Losses 5 3 4
% Losing Months 31.93% 33.61% 38.66%
Average Loss -2.63% -3.83% -1.35%
Loss Deviation 2.26% 3.05% 1.58%

Risk/Reward Statistics

ProfitScore Regime-Adaptive Long/Short Equity Index S&P 500 Index Barclay Hedge Fund Index
Sharpe Ratio (1%) 0.29 0.19 0.16
Sortino Ratio (1%) 0.52 0.25 0.21
Skewness 0.68 -0.36 -0.94
Kurtosis 3.68 0.63 4.99

Reward

ProfitScore Regime-Adaptive Long/Short Equity Index S&P 500 Index Barclay Hedge Fund Index
Compound ROR 12.77% 10.02% 4.43%
Average ROR 13.59% 11.09% 4.65%
Max Gain 41.38% 28.81% 11.14%
Consecutive Wins 4 3 4
% Winning Years 72.73% 72.73% 81.82%
Average Gain 18.03% 17.16% 6.62%
Gain Deviation 10.07% 9.25% 3.95%

Risk Statistics

ProfitScore Regime-Adaptive Long/Short Equity Index S&P 500 Index Barclay Hedge Fund Index
Standard Deviation 12.88% 15.17% 6.61%
Worst Loss -7.54% -19.44% -8.22%
Consecutive Losses 1 1 1
% Losing Years 27.27% 27.27% 18.18%
Average Loss -3.16% -9.08% -6.73%
Loss Deviation 7.81% 10.55% 5.47%

Risk/Reward Statistics

ProfitScore Regime-Adaptive Long/Short Equity Index S&P 500 Index Barclay Hedge Fund Index
Sharpe Ratio (1%) 1.00 0.64 0.54
Sortino Ratio (1%) 1.79 0.87 0.73

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
35.13 3 02/2020 04/2020
29.34 15 10/2016 12/2017
23.31 7 05/2019 11/2019
17.72 4 11/2021 02/2022
14.47 7 02/2016 08/2016

Consecutive Losses

Decline % Length (Months) Start End
-20.25 5 05/2022 09/2022
-14.50 3 09/2018 11/2018
-7.80 3 07/2023 09/2023
-7.46 2 12/2019 01/2020
-6.10 3 11/2015 01/2016

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -24.30 7 - 06/2022 01/2024
2 -14.50 3 10 10/2018 10/2019
3 -7.46 2 1 01/2020 03/2020
4 -6.10 3 1 12/2015 03/2016
5 -5.82 2 1 09/2020 11/2020

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 66.67 41.67 41.67 50.00 58.33 67.23
Average Monthly Return % 3.61 1.21 0.46 0.58 1.35 1.07
Winning Months Average Gain % 6.09 5.41 5.32 3.88 4.33 2.85
Largest Monthly Gain % 6.56 6.72 10.44 10.44 17.95 17.95
Gain Deviation 0.66 1.68 2.98 2.93 3.58 2.91
Up Capture Ratio % 70.89 72.71 43.39 38.84 50.51 40.21
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 4.33 3.96 4.94 4.24 4.71 3.72
Losing Months Average Loss % -1.36 -1.79 -3.01 -2.73 -2.84 -2.63
Largest Monthly Loss % -1.36 -3.03 -9.40 -9.40 -9.40 -9.40
Loss Deviation 0.00 1.31 2.43 2.33 2.30 2.26
Maximum Drawdown % -1.36 -7.80 -24.30 -24.30 -24.30 -24.30
Months in Max Drawdown 1 5 7 7 7 7
Down Capture Ratio - 71.52 48.58 51.18 48.04 52.37
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 2.82 0.99 0.26 0.40 0.93 0.92
Profit/Loss Ratio 8.96 2.16 1.26 1.42 2.14 2.28
Mar Ratio 38.17 1.87 0.17 0.25 0.66 0.53
Sortino Ratio (5%) 10.65 1.33 -0.07 0.10 1.13 0.97
Sortino Ratio (1%) 14.40 2.16 0.31 0.55 1.68 1.61
Omega Ratio (5%) 22.28 5.64 3.56 3.83 5.85 5.79
Omega Ratio (1%) 28.84 7.05 4.19 4.68 7.06 7.42
Information Ratio -2.71 -0.55 0.03 -0.20 0.21 0.20
Active Premium -26.32 -4.25 0.62 -3.22 3.56 2.76

Strategy Goals: A strategy that seeks to maximize total return from capital appreciation while minimizing potential losses during periods of market volatility.
Created for Investors:
  • - Seeking to reduce portfolio volatility and increase the chances of achieving better long-term results.
  • - Looking for diversification, daily liquidity, and investment transparency.
  • - Hoping for an opportunity to generate positive returns irrespective of market conditions.
Investment Framework: The Strategy is based on the premise that US equity markets can be characterized by two distinct states: low volatility and high volatility. By aligning our approach to benefit during the prevailing market state, our goal is to optimize risk-adjusted returns and improve the consistency of portfolio performance.
Using the same investment strategies for low- and high-volatility states would be equivalent to bringing a golf club to a tennis match. The ProfitScore Regime-Adaptive Long/Short Equity (PSRAE) Strategy, first identifies the market state and then uses the most beneficial investment strategy for that market environment:
Allocation Considerations: Depending on how you allocate your portfolio, the ProfitScore Regime Adaptive Equity Strategy can fit into one of several allocation objectives: Large Cap Equity, Long/Short Equity, Liquid Alternatives, and Managed Futures.
Opportunity Capture: By adjusting exposures (Long or Short) based on market conditions, the strategy can potentially capture growth opportunities during rising markets and profit from falling markets.
Diversification: Since the strategy's correlation with equity markets can vary from positive to negative, it may help diversify a portfolio and improve risk-adjusted returns.
Portfolio Stabilization: The dynamic nature of the strategy may help stabilize a portfolio during periods of market stress, providing a buffer against significant declines in equity markets.

The ProfitScore Regime-Adaptive Long/Short Equity (PSRAE) Strategy aims to provide better risk-adjusted returns over the long term by providing consistent returns across a range of market conditions. It is designed to help investors ride out short-term market fluctuations and focus on long-term investment goals.

Sharpe Ratio (0%)

Sortino Ratio

Alpha (0%)

Average Annual ROR

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