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GSTCAP
GST All Country Directional Long Short Strategy Index
Approach:
The index provides access to an equity market strategy that provides to opportunity to 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 in a diversified portfolio.
The strategy applies a proprietary quantitative 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 has 133% equity market exposure 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 for educational purposes, it is an active strategy. New models and algorithms are added and existing algorithms are adjusted when new insights are judged to be effective.
Index Administrator and Calculator: GST Management, LLC
Factsheet:
Index Inception: April 30, 2003.
The GST All Country Directional L/S Strategy Index is calculated by GST Management, LLC for educational purposes. The goal is to provide the risk and return characteristics of the underlying investment strategy. The index has been back-tested prior to January 1, 2020. The back-test was generated with data as stated historically to the best of our ability. The signals are generated at time t and the index is repositioned at t+1 based on end of day closing prices. The risk and performance information assumes that dividends are reinvested. The signals used to generate the allocations are proprietary and can change in the future. GST Management will not disclose when underlying models used to generate the signals are altered. It is important to note that future performance may be different from the performance generated from the back-tested data and the live index data for a variety of reasons. Back-tests may have biases that cause the index to perform in a different manner than the back-tested performance. Market conditions today may also not reflect the conditions in the past. In addition, the models and processes that drive risk and return evolve over time. Persons that wish to learn more about the strategy or strategy index should contact GST Management, LLC.