MVIS and Toroso partner on ‘risk-on/risk-off’ US equity index

Nov 12th, 2020 | By | Category: ETF and Index News

MV Index Solutions (MVIS), the indexing division of ETF issuer VanEck, has unveiled a new US equity index with a risk management overlay based on an unconventional market signal – the relative price performance of gold and lumber (timber).

Steven Schoenfeld, CEO of MV Index Solutions

Steven Schoenfeld, CEO of MV Index Solutions.

The ATAC Risk-On/Risk-Off Domestic Index was designed in collaboration with New York-based Toroso Asset Management, an ETF-focused investment management company.

At the end of each week, the index compares the performance of front-month lumber futures and the US dollar spot price of gold over the previous three weeks.

If gold has outperformed lumber, the signal is ‘Risk-Off’ and the index will allocate to long-term US Treasuries, as represented by the iShares 20+ Year Treasury Bond ETF (TLT US), over the coming week.

If lumber has outperformed gold, the signal is ‘Risk-On’ and the index will establish a 130% leveraged position in US equities, as represented by an equal split between the iShares Russell 1000 Growth ETF (IWF US) and the iShares Russell 2000 ETF (IWM US).

The index is suitable as the underlying reference for new investment products such as ETFs.

Michael A. Gayed, Portfolio Manager at Toroso Asset Management, commented, “I couldn’t be happier to pair up with MVIS as independent index administrator to produce the ATAC Risk-On/Risk-Off Domestic Index. For years, advisors and investors asked me when I would take the research behind my “Lumber: Worth Its Weight In Gold” paper – which won the Founders Award in 2015 – and build an index around the findings. That day has finally come.”

Steven Schoenfeld, CEO of MV Index Solutions, added, “We are pleased to partner with Toroso to bring this unique Risk-On/Risk Off index approach that is rooted in innovative research. Partnering with Toroso has resulted in the implementation of Michael Gayed’s strategy into a consistent and transparent index.”

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