ProfitScore Capital Management : Long/Short US Treasury

Year-to-Date
3.15%
Oct Performance
-1.92%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
7.61%
Sharpe (RFR=1%)
0.30
CAROR
3.06%
Assets
$ 36.0M
Worst DD
-7.28
S&P Correlation
0.03

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2015
Long/Short US Treasury -1.92 -4.87 3.15 2.33 -0.96 15.84 - 16.59
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 55.66
+/- S&P 500 0.85 -4.84 1.94 -5.32 -27.92 -39.81 - -39.07

Strategy Description

Investment Strategy

ProfitScore is a short term quantitative investment manager. We believe that Big Data Analytics can be used to exploit short term price moves across multiple asset classes. Our firm’s strength lies in our ability to examine multitudes of financial data stored in our Amazon... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 565 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Investment Strategy

ProfitScore is a short term quantitative investment manager. We believe that Big Data Analytics can be used to exploit short term price moves across multiple asset classes. Our firm’s strength lies in our ability to examine multitudes of financial data stored in our Amazon Data Warehouse. From our data, we are able to build multiple robust models that areunique, independent, and specific to individual asset classes. On every 24 hour cycle, the cumulative output of the models determines whether a particular asset class should be held long, flat, or short. The objective of our strategies is to deliver pure alpha (zero beta) relative to specific asset classes. In the case of the Long/Short US Treasury Program, the goal is to deliver pure alpha over a complete market cycle relative to the SocGen Short Term Traders Index as well as the Barclays Aggregate Bond Index. The returns represent the actual trading results from DBselect adjusted to reflect pro forma annual management fees of 1.0% (1/12 of 1.0% monthly) based on month end net asset value and charged monthly plus a quarterly incentive fee of 25%.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-7.28 8 17 1/1/2018 9/1/2018
-4.87 3 - 7/1/2020 10/1/2020
-4.48 4 8 12/1/2016 4/1/2017
-3.09 1 1 12/1/2015 1/1/2016
-2.99 1 2 2/1/2020 3/1/2020
-2.73 1 1 9/1/2016 10/1/2016
-1.38 1 2 3/1/2016 4/1/2016
-1.33 1 1 5/1/2020 6/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
9.11 2 2/1/2016 3/1/2016
8.37 5 5/1/2016 9/1/2016
7.87 2 1/1/2020 2/1/2020
6.67 2 11/1/2016 12/1/2016
6.31 4 12/1/2018 3/1/2019
4.20 2 12/1/2017 1/1/2018
3.20 2 4/1/2020 5/1/2020
3.04 2 5/1/2017 6/1/2017
3.03 3 10/1/2015 12/1/2015
1.76 1 7/1/2020 7/1/2020
1.67 1 10/1/2018 10/1/2018
1.26 1 8/1/2018 8/1/2018
1.25 1 8/1/2017 8/1/2017
1.18 1 9/1/2020 9/1/2020
1.05 1 9/1/2019 9/1/2019
1.03 1 5/1/2019 5/1/2019
0.82 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.48 4 1/1/2017 4/1/2017
-4.14 1 8/1/2020 8/1/2020
-3.82 4 4/1/2018 7/1/2018
-3.09 1 1/1/2016 1/1/2016
-3.05 3 6/1/2019 8/1/2019
-3.03 1 9/1/2018 9/1/2018
-2.99 1 3/1/2020 3/1/2020
-2.97 3 10/1/2019 12/1/2019
-2.78 3 9/1/2017 11/1/2017
-2.73 1 10/1/2016 10/1/2016
-2.62 1 2/1/2018 2/1/2018
-2.11 1 4/1/2019 4/1/2019
-1.92 1 10/1/2020 10/1/2020
-1.53 1 11/1/2018 11/1/2018
-1.38 1 4/1/2016 4/1/2016
-1.33 1 6/1/2020 6/1/2020
-0.11 1 7/1/2017 7/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable52.4657.6360.7168.0056.8263.1673.08100.00
Average Period Return0.280.851.822.763.113.374.479.81
Average Gain1.913.114.555.307.437.006.909.81
Average Loss-1.53-2.22-2.40-2.63-2.58-2.85-2.13
Best Period7.587.6014.6719.3818.9522.0015.4518.06
Worst Period-4.14-4.87-5.57-5.37-4.68-6.47-6.441.39
Standard Deviation2.203.204.425.736.527.245.975.13
Gain Standard Deviation1.542.133.295.215.446.734.975.13
Loss Standard Deviation1.141.241.871.471.451.762.21
Sharpe Ratio (1%)0.090.190.300.310.250.190.241.12
Average Gain / Average Loss1.251.401.892.022.882.463.24
Profit / Loss Ratio1.381.902.934.283.794.218.79
Downside Deviation (10%)1.542.393.324.807.219.4612.7212.74
Downside Deviation (5%)1.351.792.152.212.843.183.010.94
Downside Deviation (0%)1.311.651.891.691.932.011.53
Sortino Ratio (10%)-0.09-0.16-0.20-0.47-0.62-0.73-0.89-0.92
Sortino Ratio (5%)0.140.340.610.800.560.430.486.14
Sortino Ratio (0%)0.210.520.961.631.611.682.91

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.