ACM Risk Managed US Equity
Participate But Protect
Establish positions in the most liquid assets with negative correlations and apply active rebalancing based upon proprietary rules to achieve asymmetric risk/returns over the long-term.
Establish long positions in the S&P 500, Russell 1000, S&P Mid-Cap and Russell 2000 with a current target equity exposure of 70%.
Create 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 Construct, a cost-effective hedge for equities.
Target allocations are rebalanced according to predetermined rules.
Exposures are acquired through ETFs and Futures for these positions.
ACM created an index under the Bloomberg ticker of EALTS, with S&P Dow Jones serving as the calculation agent.