Reference Point Large Cap 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 the S&P 500 Index 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 turning points in the direction of the U.S. equity market over different return horizons. The strategy will hold the SPDR S&P 500 ETF Trust when models forecast positive rates of return for U.S. equity market and hold cash when models forecast negative U.S. equity market rates of return.

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:

Factsheet:

Contact Information:

 

Rod Jones

Phone: 646-960-6402

Email: rlj23@gstcap.com

The index was back-tested from November 11, 1993 to July 31, 2020.  The index is live as of August 1, 2020.  

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