ACM Dynamic Rebalancing
Adhere and Harvest
Achieve incremental realized gains of approximately 20-25 basis points annually on a notional amount by adhering to target allocations (70/30, 60/40…) over the long-term.
Determine the notional amount and confirm the target allocations for stocks and bonds (70/30, 60/40…).
Use stock futures (S&P 500) and bond futures (US Treasury Bonds or Notes) for the investments. These markets are among the deepest and most liquid to trade.
2-3% of assets covered needed for initial margin requirements and liquidity. Can be Cash and/or US Treasury securities currently held. No initial futures position required to start.
Implement predetermined multiple limit orders for the upside and downside with “contingency” limit orders set upon execution of any existing limit order.
Size and level of orders are determined by the size of the underlying assets covered with flexibility to be slightly different (+/- 1-2%) from the base target allocation in the short-term.
True up when allocation percentage falls outside of target range.