The MarketVectorTM-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 strategy benefited from entering March with roughly 33% equity exposure and 67% T-Bill exposure. During the month:
- the strategy's measure for consumer confidence remained bearish (since late January),
- its measure for economically sensitive asset relationships entered the month bearish, briefly turned bullish, then turned bearish again, and
- Its measure for price direction turned bearish.
As a result, all three measures of market risk became unanimously bearish by mid-March, and the strategy reallocated to 100% T-Bills exposure.
Since the January 29, 1993 base date of the MVGMMA Index, there are four periods where all three measures are bearish and the strategy holds 100% T-Bills exposure:
- Dot-Com Bubble
- Global Financial Crisis
- Global Pandemic
- Rising Inflation and Interest Rates in 2022
To dive deeper into the research behind the strategy’s current positioning and the potential implications for market volatility, please access our full strategy update here.
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