ACM Risked Managed Equity

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.

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