The index’s model follows a two-step process. The first step measures trend following and mean reversion within the S&P 500 industry groupings to determine a bullish or bearish market environment. Additionally, the model applies a risk filter process to ensure that all of the price-based industry level indicators are effective over time.

The second step calculates the scores taken from the first phase to produce the equity allocations of the index. When the index is not completely long or flat, either 80% or 40% of the portfolio will be allocated to the S&P 500, with the remainder allocated to the Solactive 13-week U.S. T-bill Index.

LFEQ is currently exposed to about 80% in S&P 500 and 20% U.S. Treasury Bills.

Financial advisors who are interested in learning more about risk management strategies can register for the Thursday, December 6 webcast here.

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