The Alternative Risk Premia strategy seeks to identify and capture risk premia across a broad range of asset classes and both academic and non-traditional investment factors. The strategy employs advanced portfolio construction through machine learning and state-of-the-art optimization techniques to target consistent returns across varying market environments.
- True multi-asset, multi-factor strategy seeking stable returns of 5%-6% per annum with 4%-6% volatility and expected lower correlation to traditional asset classes
- Invests across multiple asset classes and strategies with diversified exposure to greater than 35 underlying factors currently
- All research and premia development is performed in-house and is proprietary to the Systematic Investment Strategies team at Loomis Sayles
- Adopts non-consensus approach in the active management of premia
- Utilizes distinctive portfolio construction and optimization techniques including machine learning and Aritifical Intelligence
The Composite is not managed against a benchmark. Because the Composite’s strategy is absolute return where investments are permitted in all asset classes, no benchmark is presented.
The Alternative Risk Premia Composite includes all discretionary accounts with market values greater than $25 million managed by Loomis Sayles that adopt a systematic, total-return approach to identify and capture risk premia across a broad range of asset classes and both academic and non-traditional investment factors. The Composite inception date is December 1, 2020. The Composite was created in 2020.