The LHA Market State™ Alpha Index and the LHA Market State™ Tactical U.S. Equity Index are constructed using Bayesian statistical techniques that analyze the evolving distribution of return in the S&P 500® to assess both short-term and long-term changes in price direction. Constructed with the aim of reducing the negative impact of market down-drafts, while enhancing return in market rallies.
S&P Dow Jones Indices LLC calculates and maintains the LHA Market State™ Indices. The LHA Market State™ Alpha Index (LHAMSI) is designed to react to changes in market conditions, varying net exposure to the S&P 500 between 200% long and 200% short and can react to market changes even on a daily basis. The LHA Market State™ Tactical U.S. Equity Index (LHAMSTI) is also designed to react to changes in market conditions, varying net exposure to the S&P 500 between 0% and 160%.
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