OP Signal’s ALL ASSET RISK-ON RISK-OFF ROTATION MODEL (SAM RORO)
Investment Approach
The OP RORO strategy is built on a framework we call Dynamic Risk Regime Allocation (DRRA). It adapts to changing market conditions by rotating between growth-oriented and defensive positions across a broad universe, including U.S. and international equities, fixed income, commodities, currencies, and emerging opportunities such as digital assets.
Grounded in the continuous measurement of actual security performance, the strategy relies on rules rather than forecasts or analyst opinions. This ensures consistency, objectivity, and resilience across all market environments.
Construction Methodology
Portfolios are constructed through a three-step process:
- Universe Definition – identify the investable set of global assets.
- Quantitative Screening – evaluate securities based on momentum, relative strength, and risk-adjusted performance.
- Capital Allocation – implement portfolio weights to top tickers according to screening results and risk parameters.
This process is fully replicable and automated. Portfolios are monitored and rebalanced monthly to maintain alignment with prevailing market trends.
Dynamic Risk Regime Allocation (DRRA)
DRRA evaluates global assets using proprietary momentum and relative strength metrics. High-performing, risk-adjusted assets are prioritized, while weaker or stressed securities are systematically excluded. This approach balances offensive opportunities with defensive positioning, providing clear guidance on when to increase exposure and when to preserve capital.
By combining rigorous analysis with tactical flexibility, the SAM RORO strategy seeks to capture opportunities in both rising and falling markets, offering a differentiated and risk-aware approach to portfolio management.