The SMID Low Volatility Portfolio seeks to achieve market returns at a lower level of risk by reducing exposure to market volatility. By reducing the Portfolio's market down capture ratio, the Portfolio tends to limit portfolio draw downs relative to the broad market.
Contrary to the assumptions of modern portfolio theory, numerous empirical studies suggest that riskier assets underperform low-risk assets over long investment horizons.
A tenet of options management is that it is advantageous to buy low volatility and sell high volatility. The SMID Low Volatility Portfolio follows this principle by buying stocks after they have exhibited and a period of low volatility and selling them only after their volatility increases.
Sector Diversification & Liquidity
All 11 GICS sectors are represented in the portfolio. The SMID Low Volatility Portfolio strives to be sector neutral – focusing on the efficient exploitation of a widely-recognized market anomaly. Portfolio liquidity is enhanced by limiting investment to constituents of the S&P 1000 with a trailing three month average daily volume of at least $5 million.
The portfolios’ principal may diminish due to adverse market conditions. The results reflect the reinvestment of all dividends. Returns are net of all mutual fund and Gyroscope Capital Management Group, LLC, fees and expenses.
Past performance is not indicative of future returns.