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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