ProfitScore Update – July 2022
To the clients and friends of ProfitScore:
One of the core tenants of ProfitScore trading discipline is the concept of “market states.” ProfitScore believes that knowing what market state you are in dramatically increases your chance of success. ProfitScore specializes in trading equities and US treasuries. ProfitScore’s US treasury program operates in two modes, “fear” and “no fear.”
The Regime-Adaptive Equity program places trades in S&P 500 E-Mini Futures depending on the market’s High Vol or Low Vol state. When volatility is high, the program trades in a short-term systematic fashion. In this environment, markets can overshoot to the upside and downside as markets seek equilibrium. When volatility is low, the program enhances returns by dynamically capturing beta.
As depicted above each market regime exhibits very different trading statistics. During “risk-off” or high volatility regimes, the program is much more short-term and will also go short on average 34% of the time. Importantly, all positions are sized according to our quantitative evaluation of risk, this allows us to attempt to dynamically adjust sizing to increase risk-adjusted returns.
During “risk-on” or low volatility periods, the program has longer holds and does not take short trades, but will take additional exposure when certain market conditions arise.
Important disclosure information: Past performance of a ProfitScore index is not an indication of future results. You cannot invest directly in any ProfitScore index. The 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 discussed above. 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.