GammaRoad launches U.S. equity index for Tidal’s GMMA ETF

GammaRoad Capital Partners, a New York research firm founded in 2022, launched the MarketVector-GammaRoad U.S. Equity Strategy Index in 2023. The index serves as the reference index for Tidal Financial Group’s GMMA ETF and adjusts exposure between the S&P 500, U.S. Treasury bills and, at full allocation, 125% of the S&P 500.

Allocation decisions are driven by three signals: a behavioral measure tied to consumer confidence, a fundamental economic-strength measure and a trend-based price measure. Each signal is calculated on a different time horizon so the model responds to short-term price moves and longer-term economic shifts.

When all three signals are negative the index can move entirely into T-bills. When all three are positive the index can increase equity exposure to 125% by using modest leverage in the underlying instruments. In intermediate states the index holds partial equity exposure.

GammaRoad backtested the strategy to January 1993, the inception of SPY, and tested it through major stress events including the 2008 global financial crisis and the Covid-19 pandemic. In live trading last year the model shifted to 100% T-bills in mid-March during tariff-related market volatility, returned to roughly one-third equity in mid-May and spent much of the rest of the year between one-third and two-thirds equity.

Earlier this year the index again moved fully into T-bills as conflict in the Middle East intensified, then increased exposure after the trend measure turned positive. GammaRoad says the approach aims to limit downside equity exposure while permitting greater participation in rallies when its signals align.

The U.S. options-based buffer ETF category contains about 420 ETFs with roughly $78 billion in assets and has attracted about $57 billion in inflows since 2020. Many of those products obtain downside protection by buying puts and selling calls, a structure that limits upside.

Jordan Rizzuto, GammaRoad’s co-founder, managing partner and chief investment officer, described the firm’s institutional background and noted the strategy grew from rules-based quantitative research.

GammaRoad plans additional strategies across risk-managed beta and absolute-return approaches and expects to offer them through index licensing with MarketVector or direct licensing to institutional clients, including separately managed accounts and tax-exempt portfolios.