PHILADELPHIA, Feb. 10, 2020 (GLOBE NEWSWIRE) -- EAB Investment Group, a SEC Registered Investment Advisor providing a series of proprietary alpha generating and risk mitigating strategies to advisory clients, announced today that it has launched The EAB Correlation Defense Index (CDI™), a long short basket designed to provide returns negatively correlated to the S&P 500. For the last two years EAB has been utilizing the CDI (or the “Index”) for client portfolios for options positioning and risk signaling purposes, and it is now available on Bloomberg terminals through their service (Bloomberg Ticker EABCDI).
CDI delivers returns in a wide variety of crises or regime changes that often create problems for investors across equities or diversified portfolios, and provides a positive carry, but responds to changes in correlation to ETF equities across the fixed income, currency, commodities, and equity sectors. The Index is systematically rebalanced on a quarterly basis and uses volatility, correlation, and historical ranges to provide a differentiated source of portfolio diversification and return. It provides a unique performance signature that could be of significant value to investors who have found cash lacking as a diversifier and are concerned that volatility strategies may not consistently provide protection.
Arnim Holzer, Macro and Correlation Strategist of EAB and founder of the Index, stated, “Traditional asset allocation and risk parity methodologies find it difficult to perform through regime changes or crises. Additionally, with central banks having dramatically dropped interest rates, both bonds and volatility instruments have fallen short as consistent diversifiers. We see the CDI as a third dimension of diversification that can perform when investors show concern and begin to rotate towards safety assets.”
The Index is available under license or commercial engagement and can be used in both a leveraged or unleveraged form. It is envisioned that a full range of correlation defensive approaches can be developed from the Index including tailored fund management, swaps, and options strategies. In its unlevered form the Index presents well as a cash or short-term bond replacement with a market defensive characteristic.
Ed Boll, Managing Partner of EAB, added, “In the past, correlations have usually responded to meaningful changes in volatility, but we believe the foreseeable investment environment will support a correlation-based strategy that doesn’t depend solely on changes in volatility.”
The Index value and performance going back to 12/31/2007 will appear monthly on Bloomberg and any interested parties can contact EAB to arrange for greater detail and positioning. Mr. Holzer and Bill Visconto will be the portfolio managers of the quantitatively managed strategy.
For inquiries on the CDI, please contact EAB at aholzer@eabinvestmentgroup.com.
About EAB Investment Group
EAB is an SEC registered investment company that provides a series of proprietary alpha generating and risk mitigating strategies for retail, institutional and family office investors. Headquartered in Philadelphia, PA, with offices in New York and Chicago, EAB is a sub-advisor on the James Alpha Managed Risk Emerging Markets Equity and Managed Risk Domestic Equity Fund. The firm works as a risk advisor and seeks to add value by developing strategy, product and hedging solutions using proprietary methods.
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