DELCOR Family Office is pleased to announce a strategic partnership with US based Lunt Capital Management, Inc after an extensive search for a tactical manager trading Electronic Traded Funds (ETFs).
Lunt Capital’s US MidCap Factor Rotation Fund implements a four step process attempting to seek out arbitrage opportunities in the market place.
Step 1 – Calculate Volatility & Beta Factors: Calculate the volatility and beta of all stocks within the S&P MidCap 400 (Market Cap range = USD$1.6B to USD$6.8B)
Step 2 – Segment Stocks by Factors: Sort the results from step 1 to identify the:
* 80 stocks in the S&P 400 (20% of 400) with the lowest volatility
* 80 stocks in the S&P 400 (20% of 400) with the highest beta
Step 3 – Compare Relative Strength: Using a proprietary quantitative model, compare the intermediate term-adjusted relative strengths of the low volatility group against the high beta group.
Step 4 – Binary Choice, Low Vol or High Beta: Select the group with the highest relative strength measure and invest in the 80 stocks representing that group.
DELCOR Family Office looks forward to implementing this bespoke targeted portfolio within the framework of our current and future clients.