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 equity market shrugged off its intra-month volatility and delivered its seventh consecutive positive month, as the S&P 500 Total Return Index returned +0.25% for November and improved its year-to-date return to +17.81%. The MarketVector™-GammaRoad U.S. Equity Strategy Index (Bloomberg: MVGMMA Index) weathered the intermittent volatility during the month and returned +0.26%, which raised the strategy’s year-to-date return to +9.08%.
Last month we discussed the increasing prevalence of the “bubble” question. During November that chorus only grew louder, and was often accompanied by the refrain “Why worry when the market is at all-time highs?” This sounds like crossing the street when there is no visible traffic, safely arriving at the other side, and concluding that there is no risk involved. This also highlights a crucial (and often underappreciated) principle of risk, specifically that the combination of probability and magnitude matters far more than probability alone.
This month we consider the implications of the strategy's current positioning with the equity market hovering near its all-time high in our latest monthly strategy update here.
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.
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