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LHA Market State Alpha Index



The LHA Market State© Alpha Index seeks to profit from movements in the S&P 500 by reducing exposure to the S&P 500 in periods when the market is in retreat and by increasing exposure in periods when the market is rallying. The index is designed to react to changes in market conditions, varying net exposure to the S&P 500 between 200% long and 200% short the total return of the S&P 500. The index may vary net exposure by rebalancing as frequently as daily, but does not necessarily do so. It reflects investment in only S&P 500 total return and cash where appropriate. When net exposure to the S&P is between 200% short and 100% long, performance reflects a proportional return of the index plus a return on cash. If the net exposure is greater than 100%, then the return is the proportional return less the return on cash.


    The custom indices published in the “Client Information” section are proprietary to the client. S&P Dow Jones Indices LLC (SPDJI) is not the “Benchmark Administrator” (as defined in the International Organization of Securities Commission Principles for Financial Benchmarks of July 2013 and ESMA/EBA Principles for Benchmark Setting Processes of June 6, 2013) for such indices and SPDJI does not assume any responsibilities of a Benchmark Administrator for such indices.

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