ACM Risked Managed Equity

ACM Risk Managed US Equity

Participate But Protect

Seeks to deliver asymmetric risk/returns with meaningful participation in upside equity performance with less on the downside over time.  It uses multi-assets for stocks, bonds, and volatility that are very liquid and historically proven to be negatively correlated for greater diversification benefits.

  • Establish long positions in the S&P 500, Russell 1000, S&P Mid-Cap and Russell 2000 with a target equity exposure of 70%.
  • Create the hedges by utilizing VIX-linked investments (15%) and Treasuries (15%). The VIX exposure, which is always net long, is achieved by using the S&P 500 Dynamic VIX Futures Index construct or methodology, a cost-effective hedge for equities.
  • Deploy a proprietary active systematic rebalancing (ASR) methodology with predetermined rules for all the assets attempting to monetize short-term volatility from deviations of the target allocations for each asset and/or asset class.
  • Exposures are acquired through ETFs and futures for these positions.
  • ACM launched an index for this strategy in May of 2017 under the Bloomberg ticker of EALTS, with S&P Dow Jones serving as the calculation agent.

Other Applications for an Investor’s
Portfolio include

  • A hedged equity allocation

  • A multi-asset strategy

  • Quite flexible for any customization due to the uncorrelation of these assets