ACM Dynamic Rebalancing

Adhere and Harvest

Our objective is for consistent adherence to one’s target allocations for equities and bonds (70/30, 60/40…) over the long-term and seek to harvest incremental realized gains of approximately 35-40 basis points annually on a notional amount.

• Determine notional amount, typically the size of your overall assets, and maximum deviations, or guardrails for trading purposes as per the targets for stocks and bonds (70/30, 60/40…).
• Confirm stock and bond targets, 70/30, 60/40, etc. Stock index futures (S&P 500) and bond futures (US Treasury Bonds or Notes) are used to help maintain targets. These markets are among the 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(s) required to start if target allocations are in current alignment.
• Establish 3 sequential limit orders at plus or minus for stock and bond futures contracts. Upon execution of any limit order, a contingent limit order is placed.
• 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 or predetermined guardrails.