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.
What a difference one month can make. The market’s impressive rally from the April lows continued through May, as the S&P 500 Total Return Index returned +6.29% for the month. This brought the market’s year-to-date return at +1.06% back into positive territory for the first time since January. The MarketVector™-GammaRoad U.S. Equity Strategy Index (Bloomberg: MVGMMA Index) held 100% T-Bills exposure through mid-May, until the market’s rally was sufficient to turn the strategy’s price trend measure bullish once again. As a result, the strategy reallocated to 33% S&P 500 exposure and 67% T-Bills exposure. The MVGMMA Index finished May with a +0.04% return for the month and +1.22% year-to-date.
This year continues to provide an excellent illustration of the strategy’s ability to adapt as market conditions change meaningfully. The annotated chart below shows how the strategy gradually derisked from late January through mid-March ahead of the tariff-driven plunge, and then recently reallocated to equity exposure in mid-May during the rebound.
Source: GammaRoad Capital Partners, LLC. The S&P 500 Index is shown here on the y-axis to illustrate the index price level as the MarketVector™-GammaRoad U.S. Equity Strategy Index (Bloomberg: MVGMMA Index) target equity weight changes during the time period shown.
To learn more about how the strategy’s systematic process is navigating the evolving market environment this year, please access our full strategy update here.
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About the Author:
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.
