Investment Approach

 

Trading Overview

Historical Characteristics of the ProfitScore Long/Short US Treasuries Strategy (10/19/2011 – 06/30/2017):

A long, short, or cash trading decision made once per day

90% of trades held 1-10 days with approximately 10% of trades lasting longer than 10 days

Average holding period of 3 days

Average annual trade positons: Long 46%, Short 32%, Cash 22%

On average, 125 trades per year

 

Trading Instruments

Longer-dated U.S. Treasury futures contracts used in the strategy include the following:

U.S. 10-Year Note Futures (6.5 to 10 Years)

Ultra 10-Year Note Futures (9.5 to 10 Years)

U.S. Treasury Bond Futures (15 to 25 Years)

Ultra U.S. Treasury Bond Futures (25 Plus Years)

 

 

 

  princeton logo