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Little Harbor Advisors launches LHA Market State US Tactical ETF


Investment firm Little Harbor Advisors has launched its first exchange-traded fund, which uses Bayesian statistical techniques to infer the probability of change in price direction of the broad US equity market.  

The LHA Market State US Tactical ETF (Ticker Symbol: MSUS) applies these techniques to the US equity market to manage the net-long exposure of the MSUS ranging between zero (out of the market) and 160 per cent.
MSUS seeks to provide investment results that exceed the total return performance of the broader US equity market on a risk-adjusted basis.  MSUS will attempt to achieve this objective by seeking to reduce net exposure to the US equity market in order to minimise losses in market downdrafts and to enhance net exposure and returns during market rallies. The statistical techniques employed look at the changing distribution of price movements in the S&P 500 as described by the four moments of a distribution. The fund seeks to take advantage of statistical indications of growing left-tail risk and increasing volatility by trimming net exposure in a timely fashion, or to take advantage of statistical indications of positive skew to enhance returns by opportunistically increasing net exposure to greater than 100 per cent.
The LHA Market State Fund I, LP, a private fund, will make an investment of approximately USD6 million into the new ETF.
According to Little Harbor’s Chief Investment Officer-Jeff Landle, CFA: “Investors seeking long-term exposure to the US equity market generally have a choice between 100 per cent long 100 per cent of the time, and/or a systematic approach to exposure management in an effort to deliver better risk-adjusted returns by attempting to avoid unfavourable market conditions while taking advantage of more favourable times. To maximise returns investors want to not only generate gains when the market goes up, but, importantly, to lessen losses when the market goes down.”

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