Season's proprietary MarketVANE is designed to mitigate large capital losses that come from riding out prolonged downturns in risk assets.
Once a truly diversified portfolio has been constructed, exposure to risk assets (stocks and commodities) should still be proactively managed. These assets are the most cyclically-sensitive and prone to steep drawdowns, therefore even a diversified portfolio can be exposed to significant risk in turbulent periods if simply left to "ride it out".
MarketVANE is Season’s proprietary downside protection program designed to mitigate large capital losses that come from riding out prolonged downturns in risk assets. MarketVANE is a quantitative model built on a variety of Fundamental, Economic, Technical and Volatility factors. It utilizes a multi-step process to monitor and score each individual factor based on how positive or negative it is for risk assets.
The first step in the process is to identify the market Season by comparing Fundamental valuations to historical norms. This measure is slow to change and long-term in nature. Stretched valuations (expensive) are akin to a “Winter” season, while depressed valuations (cheap) would be considered “Summer”. The second step in the process is to monitor the market’s Weather Patterns by tracking Technical, Volatility and Economic indicators that are faster-moving and more responsive to the prevailing short and mid-term trends.
Seasonal and Weather Pattern indicators are combined to determine where our exposure should lie relative to client specific targets (overweight, fully invested, underweight or in cash). What Season the market is in determines MarketVANE's sensitivity to changes in the Weather Patterns. For example, if the market is in a Winter season it will only take a slight deterioration in Weather Patterns to move us to underweight whereas if the market is in a Summer season it would require a more significant change.