New Strategy Aims to Enhance Upside Return Capture Relative to Buffer Funds

Why It Matters

The model offers investors a way to capture higher equity upside while maintaining downside protection, addressing a key limitation of existing buffer funds and appealing to risk‑averse, retirement‑focused clients.

Key Takeaways

• GammaRoad's strategy dynamically shifts between S&P 500 and T‑Bills.
• No predefined cap; can leverage up to 125% equity exposure.
• Strategy moved to 100% T‑Bills during March tariff turmoil.
• Back‑tested since 1993, survived GFC and Covid market shocks.
• Targets risk‑averse investors, promising upside capture with buffer‑like protection.

Pulse Analysis

The options‑based buffer ETF market has exploded in recent years, now encompassing more than 420 products and roughly $78 billion in assets under management. While these funds attract investors seeking a predefined floor against market drops, they achieve protection by buying puts and selling calls, which inherently caps upside returns to the low‑teens in strong bull markets. As geopolitical uncertainty fuels demand for downside shields, the trade‑off between protection and growth has become a pain point for retirees and conservative advisers. GammaRoad’s new strategy seeks to break that ceiling by replacing static option structures with a rules‑based, dynamic allocation model.

The MarketVector‑GammaRoad U.S. Equity Strategy Index monitors three independent signals—consumer confidence, fundamental economic strength, and price trend—to decide whether to tilt toward the S&P 500 or shift into Treasury bills. When all three turn bullish, the model can lever up to 125 % of the index, while a unanimous bearish reading triggers a 100 % T‑Bill position, as it did during the March 2022 tariff “tantrum.” Back‑tested from the SPY’s 1993 inception, the approach weathered the Global Financial Crisis and the Covid‑19 shock, delivering comparable downside protection to traditional buffers but with uncapped upside potential.

By licensing the index through MarketVector or offering it as research for SMAs, GammaRoad aims to give advisers a tool that blends the safety of buffered products with the growth of un‑capped equity exposure. If the strategy consistently outperforms capped buffers, it could reshape the risk‑managed beta segment and attract capital from retirement‑focused portfolios seeking higher returns without added volatility. The firm’s broader pipeline of multi‑asset strategies suggests a longer‑term ambition to become a leading provider of quantitative, downside‑aware solutions for institutional and wealth‑management clients.