The Dynamic Rotation AMCs are systematic long-only and long/short US equity strategies designed to monetise the persistent return dispersion within the S&P 500. The investment thesis rests on an observed structural pattern: in any calendar year — bull or bear — the top quartile of index constituents materially outperforms the average, while the bottom quartile materially underperforms. The strategies isolate that spread through a disciplined, rules-based rotation framework rebalanced monthly, targeting Sharpe ratios of 1.9–2.2 versus 1.0 for the S&P 500 over a ten-year back-test.
Investment Process
A proprietary multifactor model assigns every eligible constituent of the S&P 500 one of four daily trend states: AB (strong) or CD (weak). Signal inputs include absolute and relative price momentum, price–volume–volatility patterns, and a regime-adaptive analysis horizon. Monte Carlo optimisation calibrates factor weights; fundamental overlays (earnings and sales growth, valuation multiples) provide a secondary filter. Long-Only portfolios hold AB names only; Long/Short portfolios run a 150/50 gross (+150% AB / −50% CD). Target construction: 20 longs, 15 shorts. Annual turnover: 800–1,200%.
Risk Controls
Hard constraints at the position and portfolio level: maximum 10% per single name, maximum 30% per GICS sector, minimum $5M average daily traded volume, minimum $2B market capitalisation. Rebalancing is fully systematic — no discretionary overrides. Over the 10-year back-test, the Long-Only model produced a maximum drawdown approximately half that of a 2× levered S&P 500 ETF (SSO) and an average annual drawdown roughly one-quarter as deep, while delivering more than twice the return.
10-Year Back-test — US Mandates (S&P 500 Benchmark)
Long-Only Vol
1.4×
Sharpe 1.9 · Sortino 2.6
Long-Only Return
3.0×
vs benchmark
L/S 150/50 Vol
2.0×
Sharpe 2.2 · Sortino 3.1
L/S 150/50 Return
4.5×
vs benchmark