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 market welcomed investors to autumn as the S&P 500 Total Return Index delivered a +3.65% return for September, which brought its year-to-date return to +14.83%. The MarketVector™-GammaRoad U.S. Equity Strategy Index (Bloomberg: MVGMMA Index) reduced its equity exposure in early September as its measure for economically sensitive asset relationships turned bearish. The strategy returned +1.33% for the month and saw its year-to-date return increase to +7.68%.
Last month we discussed the market’s seasonal tendency for weakness in September. The market convincingly bucked that trend this year and reached a notable performance threshold on a longer-term basis. By looking at monthly returns during the nearly four-decade period since the base date for the S&P 500 Total Return Index, we observe that the market has rarely achieved a higher 3-year return. The historical context for each of these instances is noteworthy (listed here in reverse chronological order):
§ December 2021: just before the bear market of 2022,
§ February 2012: following the rally from the Global Financial Crisis bear market low, and
§ Multiple times between May 1997 through March 2000: during the run-up to the Dot-Com Bubble peak.
This last example might be the most informative for the implications today. To learn more about this historical context and how we view the strategy’s positioning relative to current market conditions, please access our full 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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