Projecting The Market’s Next Season
The Four Seasons strategy is a quantitative dynamic model that looks to identify both the direction of the broad market and the potential range of price movements. ZEGA uses 19 different volatility-based triggers that provide signals to indicate one of 4 seasons:
- Wide Bull
- Wide Bear
- Narrow Bull
- Narrow Bear
Portfolios are then created to capitalize on the identified current seasons by rotating allocations. The Four Seasons strategy comes in 5 different versions allowing investors to align their risk tolerance with the appropriate model. Exposure ranges from leveraged long to short exposure in the Aggressive versions, while the Moderate and Conservative models navigate between risk on and risk off.