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ACM created an index under the Bloomberg ticker of EALTS with S&P Dow Jones serving as the calculation agent.  The inception of the pro-forma results is 1/1/07 with the index going live in the spring of 2017.  The equity components include allocations to the S&P 500, Russell 1000, S&P Mid-Cap, and the Russell 2000.  The hedges include VIX linked investments through the S&P 500 Dynamic VIX Futures Index and for bonds through 20+ Year Treasury Bonds (TLT), and Short-term Treasuries.  These assets are actively rebalanced according to predetermined and proprietary rules to react to up, down, or flat markets.  There are no market forecasts or directional calls.   A key advantage of the index is to provide stable returns over a full market cycle while limiting the downside risk.  For example, for the 10-year period ending 6/30/18, the cumulative returns for the index are similar to US equities, however, on a risk-adjusted basis EALTS has fared better than the S&P 500 and the Hedge Fund Index.

The S&P 500 Dynamic VIX Futures Index dynamically allocates between the S&P 500 Short-Term VIX Futures and S&P 500 Mid-Term VIX Futures as according to the shape of the implied volatility curve. It seeks to provide a cost-efficient hedge for equity exposure.

  • Adhere to predetermined rules regarding allocations to the Dynamic VIX.
  • Actively rebalancing the Dynamic VIX exposure by adding when is declines and taking gains when it rises.
  • Maintain an ongoing allocation to the Dynamic VIX as a hedge to equity exposure, which is always net long.
  • The shape of the volatility curve dictates our exposure

It is obtained through a combination of ETFs, Futures, and/or options.  This exposure is actively rebalanced as according to proprietary rules to harvest gains in a rising market and buying when the market declines.

It is used as a hedge for equities.  It also provides a safe haven for investors during more extreme periods of volatility.  Treasuries, as measured by 20+ Year Treasuries or the TLT, also have a negative correlation with equities.  Our exposure is rebalanced as according to our rules-based disciplines.

For our ACM Risk Managed US Equity Strategy the current allocations are 70% equities, 15% treasuries, and 15% volatility.  These allocations are reviewed quarterly but generally fall within a range of 60-80% for equities, 10-20% for treasuries, and 10-20% for volatility.  The equity exposure is quite modular and can be modified to meet any specific needs for investors.  For example, equity exposure can be capitalization and/or style specific.  Our rules are designed to harvest short-term volatility and maintain consistent exposure to the target allocations.

Ideally, we believe our strategy is an ideal fit for an alternative’s allocation and more specifically for liquid alternatives.  Our strategy generates asymmetric risk/returns over the long term.  Other applications for fit purposes include a hedged core equity strategy, an absolute return investment, a multi-asset strategy (balanced), and is quite flexible for any customization.  It is suitable for any market environment and especially compelling during periods of increased and more frequent volatility.

To participate more in the upside of the US equity market than the downside.  Over the long-term, to generate asymmetric risk/returns, which are more stable and meaningful as to certain risk statistics.  The proprietary rules for rebalancing ensure that asset weightings are increasing in a declining market and decreasing when it rises. The strategy invests in the most liquid assets that are negatively correlated for greater diversification benefits.  Also, it is quite efficient for trading purposes and is generally not capacity constrained.

We maintain long positions in equities, bonds, and volatility and rebalance these assets according to proprietary rules.  There are no directional market calls or forecasts as the rebalancing methodology monetizes short-term volatility over time.  Our strategy is very transparent and straightforward, contrary to other factor funds.  It strives to deliver asymmetric risk/returns over the long-term and is suitable for any market environment.