Lighthouse Canton S&P 500 Momentum Strategy

Lighthouse Canton is launching a systematic, rules-based model portfolio, designed to deliver long-term outperformance vs. S&P 500 with lower drawdowns and higher absolute and risk-adjusted returns.

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A long-only strategy, investing in up to 30 stocks in the S&P 500, the strategy’s ability to hold cash proxies (BIL) and tactical diversifiers (GLD) makes this an all-weather portfolio where allocations are based on risk rather than market cap. A key feature of the strategy is managing downside risk through regime filters as well as position sizing.

Our extensive back-tests* show a 18.8% CAGR (vs. 10.5% for S&P) with a lower max. drawdown of 37% (vs. 55% for S&P), delivering superior Sharpe and Sortino ratios.

Source: Lighthouse Canton; *Performance net of assumed transaction costs@5bp

Historical Performance

Source:Lighthouse Canton; Performance net of assumed transaction costs @5bp‍

Historical Drawdowns

Source:Lighthouse Canton; Performance net of assumed transaction costs @5bp

Investment Rationale, Strategy & Portfolio Framework‍

Leveraging the well-known “Dual Momentum” framework (selection based on absolute and relative momentum),this enhanced version uses a wider array of investments (up to 30stocks from the S&P 500 universe). A regime adaptive overlay augments the strategy through a rotation into defensive assets (Cash & Gold) when overall market conditions deteriorate. Risk based position sizing and allocation helps reduce overall volatility and drawdowns.

Research shows that equities exhibiting strong relative performance over the intermediate term (3–12 months)tend to continue outperforming. The strategy operationalizes this “momentum anomaly” in a liquid, transparent, risk-controlled format.

• Objective: Deliver consistent, risk-adjusted outperformance of the S&P 500 by systematically rotating into the strongest-trending large-cap equities while maintaining strict risk controls.‍

• Structure: Long-only.‍

• Systematic: No discretionary overrides; fully transparent and repeatable.‍

• Regime-Adaptive: Index-level filters curtail exposure when market momentum turns negative.‍

• Edge: Combines long-term momentum with systematic portfolio construction and risk management to reduce drawdowns and volatility.

  

All-Weather, Adaptive Design

‍Unlike passive buy-and-hold portfolios or traditional ETFs, this strategy is designed to be regime-aware and risk-weighted, not market-cap weighted. By actively adjusting exposure and embracing tactical diversification, it functions as an “all-weather” portfolio.

Historical Performance*

• Consistent Outperformance:Strategy beats SPY in 16 of 21 calendar years.

• Crash Resilience:Q12020 drawdown limited to –27% versus –34% for SPY.‍

• Lower Beta:Realized Beta to SPY averages 0.71 despite being long-only.

  

Calendar-Year Returns

EOY Returns

Source: Lighthouse Canton; Performance net of assumed transaction costs@5bp

Strategy Monthly Returns

Source: Lighthouse Canton; Performance net of assumed transaction costs@5bp‍

Investment Team

Devansh Bhatt

Analyst, Investments

Sunil Garg, CMT

Managing Director Chief Investment Officer

Disclaimer