ProfitScore Update – August 2022
To the clients and friends of ProfitScore:
As has been previously mentioned ProfitScore has two trading constructs for both our treasury program and our equity program. Specifically for our Equity program, we use two systems, one is for low volatility and one is for high volatility.
Below is an example of how the trade lengths differ in the two regime systems. Using ATR (average true range) as a comparison you can see that average trade length varies greatly whether volatility is high or low. Although we do not use the VIX in our determination of volatility, we include a comparison of VIX to our ATR calculations.
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. Exposures are increased and decreased to enhance returns while also seeking to minimize risk.
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.