The Dynamic Beta Portfolio seeks to outperform the S&P 500 Total Return Index on both absolute and risk-adjusted bases by investing in a dynamically levered basket of low-volatility stocks. A dynamic amount of leverage is applied and adjusted monthly to target a historic beta of 1.0 relative to the S&P 500 Index.
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 Dynamic Beta Portfolio follows this principle by buying stocks after they have exhibited a period of low volatility and selling them only after their volatility increases.
All 11 GICS sectors are represented in the portfolio. The Dynamic Beta Portfolio strives to be sector neutral – focusing on the efficient exploitation of a widely-recognized market anomaly.
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.