Reference Point All Country Directional Long Short Strategy Index

Approach:

The index provides access to an equity market strategy that seeks avoid large drawdowns and generate rates of return in excess of All Country World benchmarks over a market cycle. This strategy is designed to be a core equity holding.

The strategy applies a quantitative investment system that uses multiple data sets and algorithms to capture key turn points in the direction of regional equity markets over different return horizons. The strategy’s return is driven by 4 sub strategies: U.S. Large Cap, U.S. Small Cap, Emerging Markets and Non-U.S. Developed Markets. Each sub strategy is designed to have 133% equity market exposure most trading days when expected returns are positive and a short equity position equal to 33% of the sub strategy’s value and 67% cash position in when expected returns are negative.

While the strategy is indexed, we consider it active and will add new algorithms and change existing algorithms when new anomalies are discovered.

Performance:

Index Administrator: GST Management, LLC

Factsheet:

Contact Information

Rod Jones

Phone: 646-960-6402

Email: rlj23@gstcap.com

The index was back-tested from June 1, 2003 to December 31, 2019.  The index is live as of January 1, 2020.  

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