ProfitScore Capital Management, Inc

Long/Short US Treasury Program *QEP*


Monthly Performance (%)

Date Range: 09/15 - 04/19
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2019 0.12 0.39 3.88 -2.11   2.21 
2018 0.78 -2.49 0.93 0.07 -2.56 -0.99 -0.03 1.17 -2.91 1.76 -1.43 1.82  -3.97 
2017 -1.33 -2.87 -0.01 -0.32 2.69 0.34 -0.11 1.25 -1.03 -1.10 -0.68 3.36  0.03 
2016 -3.82 8.63 0.71 -1.70 1.48 2.14 2.94 1.25 -0.19 -1.74 3.41 2.85  16.56 
2015 0.37 0.71 1.13  2.22 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The US Treasury Program is a highly liquid absolute return solution generating signiöcant sustainable alpha. Forecasting the short-term direction of longer-term interest rates, our proprietary systematic process takes tactical long or short positions in US Treasury futures contracts of 10 years or more duration. The resulting solution is not correlated to traditional öxed income, equity or alternative asset classes, making it a valuable diversiöer to most portfolios. Its greatest value occurs during periods of high volatility and market stress, when many other strategies are faced with performance challenges. Dec-2018, fee change to 1% management fee and 30% incentive fee

Performance Statistics

Date Range: 09/15 - 04/19
  Program S&P 500 Altegris 40 
Total Return 16.98% 61.05% 0.13% 
Annualized Return 4.47% 13.88% 0.04% 
Annualized Std. Deviation 7.73% 11.55% 7.95% 
Correlation 0.01 0.21 
Sharpe Ratio (rf=2.5%) 0.26 0.98 -0.31 
Worst Month -3.82% -9.03% -6.10% 
Date of Worst Month 01/2016 12/2018 02/2018 
Worst Drawdown -6.70% -13.52% -13.08% 
Date of Worst Drawdown 1/18 - 9/18 9/18 - 12/18 2/16 - 1/19 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 09/15 - 04/19

Year or YTD Program S&P 500 Altegris 40 
2019 2.21 18.24 5.17 
2018 -3.97 -4.38 -4.29 
2017 0.03 21.84 1.24 
2016 16.56 11.98 -3.13 
2015 2.22 7.05 -0.73 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 09/15 - 04/19
Date: 4/30/2019
Perf: $980.03 Date: 3/31/2019
Perf: $953.80 Date: 2/28/2019
Perf: $920.74 Date: 1/31/2019
Perf: $914.89 Date: 12/31/2018
Perf: $931.85 Date: 11/30/2018
Perf: $927.95 Date: 10/31/2018
Perf: $939.22 Date: 9/30/2018
Perf: $963.00 Date: 8/31/2018
Perf: $967.36 Date: 7/31/2018
Perf: $943.30 Date: 6/30/2018
Perf: $950.43 Date: 5/31/2018
Perf: $942.51 Date: 4/30/2018
Perf: $954.83 Date: 3/31/2018
Perf: $944.63 Date: 2/28/2018
Perf: $945.48 Date: 1/31/2018
Perf: $1,006.90 Date: 12/31/2017
Perf: $973.60 Date: 11/30/2017
Perf: $963.11 Date: 10/31/2017
Perf: $961.86 Date: 9/30/2017
Perf: $923.18 Date: 8/31/2017
Perf: $943.07 Date: 7/31/2017
Perf: $927.68 Date: 6/30/2017
Perf: $924.07 Date: 5/31/2017
Perf: $951.87 Date: 4/30/2017
Perf: $950.06 Date: 3/31/2017
Perf: $955.80 Date: 2/28/2017
Perf: $969.96 Date: 1/31/2017
Perf: $949.26 Date: 12/31/2016
Perf: $961.67 Date: 11/30/2016
Perf: $954.41 Date: 10/31/2016
Perf: $965.03 Date: 9/30/2016
Perf: $990.59 Date: 8/31/2016
Perf: $1,003.53 Date: 7/31/2016
Perf: $1,031.27 Date: 6/30/2016
Perf: $1,020.86 Date: 5/31/2016
Perf: $979.24 Date: 4/30/2016
Perf: $996.69 Date: 3/31/2016
Perf: $1,022.35 Date: 2/29/2016
Perf: $1,052.55 Date: 1/31/2016
Perf: $1,027.28 Date: 12/31/2015
Perf: $992.74 Date: 11/30/2015
Perf: $1,016.11 Date: 10/31/2015
Perf: $982.60 Date: 9/30/2015
Perf: $1,000.00 Date: 4/30/2019
Perf: $1,651.30 Date: 3/31/2019
Perf: $1,587.03 Date: 2/28/2019
Perf: $1,556.82 Date: 1/31/2019
Perf: $1,508.40 Date: 12/31/2018
Perf: $1,396.54 Date: 11/30/2018
Perf: $1,535.17 Date: 10/31/2018
Perf: $1,504.47 Date: 9/30/2018
Perf: $1,614.94 Date: 8/31/2018
Perf: $1,605.78 Date: 7/31/2018
Perf: $1,555.09 Date: 6/30/2018
Perf: $1,499.31 Date: 5/31/2018
Perf: $1,490.07 Date: 4/30/2018
Perf: $1,455.01 Date: 3/31/2018
Perf: $1,449.50 Date: 2/28/2018
Perf: $1,487.28 Date: 1/31/2018
Perf: $1,544.26 Date: 12/31/2017
Perf: $1,460.57 Date: 11/30/2017
Perf: $1,444.54 Date: 10/31/2017
Perf: $1,401.51 Date: 9/30/2017
Perf: $1,369.60 Date: 8/31/2017
Perf: $1,341.95 Date: 7/31/2017
Perf: $1,337.81 Date: 6/30/2017
Perf: $1,310.80 Date: 5/31/2017
Perf: $1,302.73 Date: 4/30/2017
Perf: $1,284.61 Date: 3/31/2017
Perf: $1,271.52 Date: 2/28/2017
Perf: $1,269.99 Date: 1/31/2017
Perf: $1,221.50 Date: 12/31/2016
Perf: $1,198.72 Date: 11/30/2016
Perf: $1,175.45 Date: 10/31/2016
Perf: $1,133.51 Date: 9/30/2016
Perf: $1,154.52 Date: 8/31/2016
Perf: $1,154.29 Date: 7/31/2016
Perf: $1,152.68 Date: 6/30/2016
Perf: $1,111.66 Date: 5/31/2016
Perf: $1,108.78 Date: 4/30/2016
Perf: $1,089.17 Date: 3/31/2016
Perf: $1,084.94 Date: 2/29/2016
Perf: $1,016.05 Date: 1/31/2016
Perf: $1,017.37 Date: 12/31/2015
Perf: $1,070.47 Date: 11/30/2015
Perf: $1,087.65 Date: 10/31/2015
Perf: $1,084.40 Date: 9/30/2015
Perf: $1,000.00 Date: 4/30/2019
Perf: $1,169.76 Date: 3/31/2019
Perf: $1,194.98 Date: 2/28/2019
Perf: $1,150.34 Date: 1/31/2019
Perf: $1,145.88 Date: 12/31/2018
Perf: $1,144.50 Date: 11/30/2018
Perf: $1,124.04 Date: 10/31/2018
Perf: $1,140.35 Date: 9/30/2018
Perf: $1,120.63 Date: 8/31/2018
Perf: $1,154.22 Date: 7/31/2018
Perf: $1,140.87 Date: 6/30/2018
Perf: $1,141.21 Date: 5/31/2018
Perf: $1,152.62 Date: 4/30/2018
Perf: $1,182.90 Date: 3/31/2018
Perf: $1,182.08 Date: 2/28/2018
Perf: $1,171.18 Date: 1/31/2018
Perf: $1,201.09 Date: 12/31/2017
Perf: $1,191.80 Date: 11/30/2017
Perf: $1,153.05 Date: 10/31/2017
Perf: $1,160.95 Date: 9/30/2017
Perf: $1,173.86 Date: 8/31/2017
Perf: $1,186.08 Date: 7/31/2017
Perf: $1,171.43 Date: 6/30/2017
Perf: $1,172.72 Date: 5/31/2017
Perf: $1,168.75 Date: 4/30/2017
Perf: $1,138.13 Date: 3/31/2017
Perf: $1,141.79 Date: 2/28/2017
Perf: $1,141.90 Date: 1/31/2017
Perf: $1,175.64 Date: 12/31/2016
Perf: $1,191.49 Date: 11/30/2016
Perf: $1,158.47 Date: 10/31/2016
Perf: $1,120.27 Date: 9/30/2016
Perf: $1,140.11 Date: 8/31/2016
Perf: $1,142.28 Date: 7/31/2016
Perf: $1,128.18 Date: 6/30/2016
Perf: $1,095.96 Date: 5/31/2016
Perf: $1,072.99 Date: 4/30/2016
Perf: $1,057.35 Date: 3/31/2016
Perf: $1,075.63 Date: 2/29/2016
Perf: $1,068.05 Date: 1/31/2016
Perf: $983.20 Date: 12/31/2015
Perf: $1,022.25 Date: 11/30/2015
Perf: $1,010.83 Date: 10/31/2015
Perf: $1,003.70 Date: 9/30/2015
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 09/15 - 04/19
Date: 4/30/2019
Return: -2.11 % Date: 3/31/2019
Return: 3.88 % Date: 2/28/2019
Return: 0.39 % Date: 1/31/2019
Return: 0.12 % Date: 12/31/2018
Return: 1.82 % Date: 11/30/2018
Return: -1.43 % Date: 10/31/2018
Return: 1.76 % Date: 9/30/2018
Return: -2.91 % Date: 8/31/2018
Return: 1.17 % Date: 7/31/2018
Return: -0.03 % Date: 6/30/2018
Return: -0.99 % Date: 5/31/2018
Return: -2.56 % Date: 4/30/2018
Return: 0.07 % Date: 3/31/2018
Return: 0.93 % Date: 2/28/2018
Return: -2.49 % Date: 1/31/2018
Return: 0.78 % Date: 12/31/2017
Return: 3.36 % Date: 11/30/2017
Return: -0.68 % Date: 10/31/2017
Return: -1.10 % Date: 9/30/2017
Return: -1.03 % Date: 8/31/2017
Return: 1.25 % Date: 7/31/2017
Return: -0.11 % Date: 6/30/2017
Return: 0.34 % Date: 5/31/2017
Return: 2.69 % Date: 4/30/2017
Return: -0.32 % Date: 3/31/2017
Return: -0.01 % Date: 2/28/2017
Return: -2.87 % Date: 1/31/2017
Return: -1.33 % Date: 12/31/2016
Return: 2.85 % Date: 11/30/2016
Return: 3.41 % Date: 10/31/2016
Return: -1.74 % Date: 9/30/2016
Return: -0.19 % Date: 8/31/2016
Return: 1.25 % Date: 7/31/2016
Return: 2.94 % Date: 6/30/2016
Return: 2.14 % Date: 5/31/2016
Return: 1.48 % Date: 4/30/2016
Return: -1.70 % Date: 3/31/2016
Return: 0.71 % Date: 2/29/2016
Return: 8.63 % Date: 1/31/2016
Return: -3.82 % Date: 12/31/2015
Return: 1.13 % Date: 11/30/2015
Return: 0.71 % Date: 10/31/2015
Return: 0.37 % Date: 9/30/2015
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 09/15 - 04/19
Return: 4.00 %
Count: 1 Return: -3.00 %
Count: 3 Return: -1.00 %
Count: 6 Return: 3.00 %
Count: 5 Return: 2.00 %
Count: 3 Return: -2.00 %
Count: 4 Return: 9.00 %
Count: 1 Return: -4.00 %
Count: 1 Return: 1.00 %
Count: 9 Return: 0.00 %
Count: 11
Note: All performance data is since program inception.

Underwater Curve

Date Range: 09/15 - 04/19
Date: 4/30/2019
Drawdown: -2.61 % Date: 3/31/2019
Drawdown: -0.51 % Date: 2/28/2019
Drawdown: -4.23 % Date: 1/31/2019
Drawdown: -4.60 % Date: 12/31/2018
Drawdown: -4.71 % Date: 11/30/2018
Drawdown: -6.41 % Date: 10/31/2018
Drawdown: -5.06 % Date: 9/30/2018
Drawdown: -6.70 % Date: 8/31/2018
Drawdown: -3.90 % Date: 7/31/2018
Drawdown: -5.01 % Date: 6/30/2018
Drawdown: -4.99 % Date: 5/31/2018
Drawdown: -4.04 % Date: 4/30/2018
Drawdown: -1.51 % Date: 3/31/2018
Drawdown: -1.58 % Date: 2/28/2018
Drawdown: -2.49 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: -3.23 % Date: 10/31/2017
Drawdown: -2.56 % Date: 9/30/2017
Drawdown: -1.48 % Date: 8/31/2017
Drawdown: -0.45 % Date: 7/31/2017
Drawdown: -1.68 % Date: 6/30/2017
Drawdown: -1.58 % Date: 5/31/2017
Drawdown: -1.91 % Date: 4/30/2017
Drawdown: -4.48 % Date: 3/31/2017
Drawdown: -4.17 % Date: 2/28/2017
Drawdown: -4.16 % Date: 1/31/2017
Drawdown: -1.33 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -1.93 % Date: 9/30/2016
Drawdown: -0.19 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: -0.25 % Date: 4/30/2016
Drawdown: -1.70 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -3.82 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  ProfitScore Capital Management, Inc
Address: 439 East Shore Drive, Suite 250
City: Eagle
State: ID
Zip: 83616
Country: US

Key People

Name:  John McClure
Position:  Principal
Biography: 


Additional Information

 Futures Sectors Traded
 Interest Rates Yes 
 Investment Methodology
 Systematic Yes 
 Quantitative Analysis Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $10,000,000 
 Margin / Equity Ratio: 4% 
 Managed Account Availability: Open