Additional Resources
Risk Profile: Aggressive Growth
CMG Large Cap Long/Flat Strategy:
The CMG Large Cap Long/Flat Strategy utilizes trend and mean reversion indicators across a broad set of the S&P 500 sector industry groups to determine the overall state of technical health, as measured by the breadth and momentum, of the large-cap equity market. The strategy invests in large-cap equity ETF(s) when the weight of technical evidence is bullish and will scale the allocation up and down (100% or 50% long) based on the strength of the technical evidence. When the technical evidence is fully bearish, the portfolio moves to short-term Treasury Bill ETF(s). The strategy offers a systematic way to raise or lower a portion of a portfolio’s overall total equity exposure. The investment objective is aggressive growth with downside protection.
CMG Large Cap Long/Short Strategy:
The CMG Large Cap Long/Short Strategy utilizes trend and mean reversion indicators across a broad set of the S&P 500 sector industry groups to determine the overall state of technical health, as measured by the breadth and momentum, of the large-cap equity market. The strategy positions in large-cap equity ETF(s) when the weight of technical evidence is bullish and will scale the allocation up and down (100% or 50% long) based on the strength of the technical evidence. When the technical evidence is fully bearish, it positions in inverse large-cap equity ETF(s). The strategy offers a systematic way to raise or lower a portion of a portfolio’s overall total equity exposure. The investment objective is aggressive growth with downside protection.
How it works
The Strategy attempts to gauge the overall health of U.S. Large Cap Equities by analyzing the market at the industry group level.
The model uses a multi-step approach in portfolio construction:
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- Analyzes GICS Industry Groups over multiple time frames using a combination of trend following and mean reversion indicators with each industry group determined to be bullish or bearish.
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- Industry Groups are then cap-weighted to generate the overall composite score which will determine a bullish or bearish market state.
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- Market states can move between bullish and bearish based on the direction and magnitude of change in the overall composite score.
Investors should expect to spend more time in long positions than short positions based on the historical upward bias of the equity markets.
Investment Objective: Capital Appreciation
Suggested Portfolio Positioning: Serves as a complement to a client’s traditional equity portfolio
Suggested Allocation: Typically representing 20-40% of a client’s equity allocation or 12-25% of a client’s total portfolio
Benchmark: S&P 500 Index
Morningstar Peer Group: Large Blend (CMG Large Cap Long/Flat Strategy) — Long/Short (CMG Large Cap Long/Short Strategy)
**Inverse or leveraged ETFs may be used in the CMG Large Cap Long/Short Strategy
Portfolio Diversification and Correlation Analysis: When diversifying your portfolio, it is important to understand how each strategy correlates to your other positions. We believe the key to long-term success is how you weave a number of low-correlating strategies into your portfolio and manage those allocations over time.
Investing involves risk. Past performance is no guarantee of future returns.
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