The MarketVector™-GammaRoad U.S. Equity Strategy Index (MVGMMA) employs a rules-based, adaptive process to allocate between U.S. equity exposure and Treasury Bills exposure based upon its fundamental, behavioral, and trend-based measures for U.S. equity market risk.
The correction that began in February picked up steam in March, as the S&P 500 Total Return Index declined -4.98% for the month and brought its year-to-date return to -4.33%. The MarketVector™-GammaRoad U.S. Equity Strategy Index (Bloomberg: MVGMMA Index) entered March with only one of its three measures bullish for equity exposure. The price direction measure, which gauges the market’s overall price trend, turned bearish towards the end of the month. This caused the strategy to exit its remaining equity exposure and reallocate to 100% T-Bills exposure. As a result, the strategy declined by a more modest -2.83% in March, which brought its year-to-date return to -1.88%.
As we have noted through several prior monthly updates, we expect market conditions may be more susceptible to a meaningful increase in volatility when only one out of three measures is bullish. This expectation is even more pronounced when all three measures are bearish, i.e. when the strategy’s Aggregate Index Signal equals zero, where it sat at the beginning of April.
While the Middle East conflict, the deterioration in private credit, and concerns over AI disruption continue to fuel market volatility, we discuss the potential market implications for the strategy’s positioning in our latest monthly update here.
About the Author(s):
Jordan is the architect of the MarketVector™-GammaRoad U.S. Equity Strategy Index and co-founder of GammaRoad Capital Partners, LLC. Prior to launching GammaRoad, Jordan was the Chief Investment Officer for Legacy Heritage Partners LLC, where he managed the institutional private foundation and family office portfolios. Before joining Legacy Heritage Partners LLC, Jordan was the Senior Investment Strategist for IBM Retirement Funds, where he was responsible for asset allocation and investment risk management for the U.S. pension fund. While working at IBM, Jordan was featured in CIO Magazine’s 2015 Global 40 Under 40 issue. Prior to joining IBM, Jordan was a Principal in Mercer Investments’ New York office with a focus on asset allocation, strategy implementation, and manager selection for endowments and foundations, corporate pension funds, defined contribution plans, and insurance captives. Jordan is a CFA Charterholder and holds a Bachelor of Arts in Economics from Emory University.
For informational and advertising purposes only. The views and opinions expressed are those of the authors but not necessarily those of MarketVector Indexes GmbH. Opinions are current as of the publication date and are subject to change with market conditions. Certain statements contained herein may constitute projections, forecasts, and other forward-looking statements that do not reflect actual results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. MarketVector Indexes GmbH does not sponsor, endorse, sell, promote, or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. The inclusion of a security within an index is not a recommendation by MarketVector Indexes GmbH to buy, sell, or hold such security, nor is it considered to be investment advice.
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