Partnership
GammaRoad Capital Partners, LLC develops systematic investment strategies that seek to improve traditional portfolios. MarketVector has partnered with GammaRoad to launch an index based upon their U.S. Equity Strategy, a rules-based approach that aims to capture long-term equity returns with significantly less drawdown risk. The co-founders Jordan Rizzuto, CFA, Managing Partner and Chief Investment Officer, and Matthew Landon, CFA, President and Chief Operating Officer, bring extensive experience in capital markets and investment strategy research.
Methodology
This index offers a robust solution by rotating its exposure between U.S. equities and U.S. Treasury Bills based on three key market risk drivers:
- Fundamental economic strength: a measure that compares the performance of economically sensitive commodities to the performance of gold.
- Consumer confidence: a measure that considers a sub-component of a publicly available survey on U.S. consumer confidence compared to its long-term and short-term quantitative directional trends.
- Price direction: a measure that considers the trend in weekly opening and closing prices of the SPY ETF.
The Aggregate Index Signal (AIS) determines the index's composition, adjusting between a maximum of 125% U.S. equity exposure and 100% U.S. Treasury Bills. This risk allocation process is designed to adapt dynamically as market conditions change over time.
Key benefits & highlights
The strategy’s adaptive process seeks to provide:
- Reduced drawdowns: by rotating between equities and Treasury Bills based on the three diversified measures of market risk.
- Enhanced returns: by capturing upside opportunities in more favorable market environments.
- Systematic approach: by relying on an objective, rules-based design.
- Proprietary research: through the collaborative efforts of MarketVector and GammaRoad Capital Partners.