ProfitScore Capital Management : Long/Short US Treasury

Year-to-Date
3.20%
Jun Performance
-0.06%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
7.46%
Sharpe (RFR=1%)
0.52
CAROR
4.71%
Assets
$ 50.5M
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2015
Long/Short US Treasury -0.06 -1.16 3.20 3.19 6.83 - - 18.83
S&P 500 6.89 3.78 17.34 8.21 38.73 - - 40.03
+/- S&P 500 -6.95 -4.94 -14.14 -5.02 -31.90 - - -21.21

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:
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:
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:
Kurtosis:

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 - 1/1/2018 9/1/2018
-4.48 4 8 12/1/2016 4/1/2017
-3.09 1 1 12/1/2015 1/1/2016
-2.73 1 1 9/1/2016 10/1/2016
-1.38 1 2 3/1/2016 4/1/2016
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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
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
3.04 2 5/1/2017 6/1/2017
3.03 3 10/1/2015 12/1/2015
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
1.03 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
-3.82 4 4/1/2018 7/1/2018
-3.09 1 1/1/2016 1/1/2016
-3.03 1 9/1/2018 9/1/2018
-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
-1.53 1 11/1/2018 11/1/2018
-1.38 1 4/1/2016 4/1/2016
-0.11 1 7/1/2017 7/1/2017
-0.06 1 6/1/2019 6/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable55.5662.7962.5064.7160.7172.73
Average Period Return0.411.192.283.354.325.75
Average Gain1.853.124.886.848.798.85
Average Loss-1.39-2.06-2.05-3.07-2.58-2.50
Best Period7.587.6014.6719.3818.9522.00
Worst Period-3.09-4.17-5.57-5.37-4.68-4.69
Standard Deviation2.153.124.526.767.388.23
Gain Standard Deviation1.632.113.495.876.057.48
Loss Standard Deviation1.121.221.981.431.581.99
Sharpe Ratio (1%)0.150.300.390.350.380.46
Average Gain / Average Loss1.331.522.382.233.413.53
Profit / Loss Ratio1.662.563.964.095.279.42
Downside Deviation (10%)1.402.153.065.126.938.33
Downside Deviation (5%)1.221.581.952.562.732.61
Downside Deviation (0%)1.181.451.722.001.871.61
Sortino Ratio (10%)0.00-0.02-0.06-0.32-0.47-0.54
Sortino Ratio (5%)0.260.600.910.921.031.43
Sortino Ratio (0%)0.340.821.331.682.313.56

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.