MVGMMA Index Maintains 100% T-Bills Exposure through April

The MarketVector^TM-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 S&P 500 Total Return Index fell modestly in April, although it likely did not feel anything like “modest” for equity investors.  The market swiftly plummeted -11.19% through the first 6 market days of the month, before staging an impressive rally to finish down -0.68% for April and down -4.92% year-to-date. The MarketVector^TM-GammaRoad U.S. Equity Strategy Index (Bloomberg: MVGMMA Index) maintained its 100% T-Bills exposure throughout April and returned +0.34% for the month and +1.18% year-to-date. 

The primary question on many investors’ minds might be “Is this a short-term spike in volatility, or is the next bear market unfolding?” By definition this can only be known with hindsight. The current environment brings front and center what we consider to be the most useful definition of investment risk. Specifically, we do not characterize risk as the possibility/probability of an adverse event that may cause the market to fall.  Rather we define risk as the condition where an investor’s portfolio does not hold anything to meaningfully mitigate (or even benefit from) an adverse market reaction to these events. 

The market volatility during April provides an excellent illustration of this. To learn more about the potential benefits of the strategy’s systematic process during periods of heightened market uncertainty, please access our full strategy update here. 

 

Related:

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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.

 

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