The underlying index will weight holdings based on a mathematical model, or so-called Allocation Model, to calculate returns based on the standard deviation of each asset class and correlation of each asset class to other asset classes over the past five years and the current market-cap of each asset class. The index then uses a so-called Trend Algorithm to determine up and down trends of each asset.
“Our strategy is called Frontier Based Tactical, a blend of traditional asset allocation with tactical management,” according to Premise Capital. “We start with a diversified portfolio and use various quantitative techniques to over and underweight asset classes relative to each other. This is combined with risk on/risk off adjustments that attempt to move the portfolio within a predetermined range when risk is not being compensated in the markets. These dual screen tactical shifts control exposure to each class, and also control the overall risk being taken by the investor.”
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