Frankfurt (09 November 2020) – MV Index Solutions GmbH (MVIS®) today launched the ATAC Risk-On/Risk-Off Domestic Index (ticker: RORO, ROROTR).
The ATAC Risk-On/Risk-Off Domestic Index (ticker: RORO, ROROTR) rotates between long-term US treasuries and US equities on a weekly basis based on a proprietary signal that considers the relative price performance of gold and lumber. The index is composed of US-listed ETF securities and may use leverage and covers ETFs that represent long-term US treasuries and US equities.
Toroso Asset Management, the New York based investment managementcompany specializing in ETF-focused research, investment strategies andservices was closely involved in the development of Index, and will use it tolaunch a new product designed for financial advisors, RIAs, family offices andinvestment managers.
“I couldn’t be happier to pair up with MVIS asindependent index administrator to produce the ATAC Risk-On/Risk-Off DomesticIndex” says Michael A. Gayed, CFA, Portfolio Manager at Toroso Investments,LLC. “For years, advisors and investors asked me when I would take the researchbehind my “Lumber: Worth Its Weight In Gold” paper – which won the FoundersAward in 2015 - and build an index around the findings. That day has finallycome” says Gayed, who is the architect of the index’s approach.
“We are pleased to partner with Toroso to bring this unique Risk-On/RiskOff index approach that is rooted in innovative research,” said StevenSchoenfeld, CEO of MV Index Solutions. “Partnering with Toroso has resulted inthe implementation of Michael Gayed’s strategy into a consistent andtransparent index,” Schoenfeld continued.
The ATAC Risk-On/Risk-OffDomestic Index (ticker: RORO) is calculated in USD as a price and a totalreturn net index. The index is reviewed on a weekly basis two hours before theclose of the NYSE on Fridays (if Friday is a full market holiday the signalwill be taken two hours before the close of the NYSE on the previous tradingday) and will be rebalanced based on the signal and security weights. Thesignal compares the short-term performance of front-month lumber futures pricesand gold-USD spot prices. When the three-week performance of gold is greaterthan lumber, the signal will be Risk-Off when the short-term performance oflumber is greater than gold, the signal will be Risk-On.
Detailed information about the Indices,including methodology details and index data, are available on the MV IndexSolutions website.
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