The Loomis Sayles Asset Selector Equity Rotation Index (the "LASER index") is designed to provide a dynamic and rules-based exposure to US equities and fixed income, with a volatility target of 6%
Loomis Sayles Asset Selector Equity Rotation Index
The Loomis Sayles Asset Selector Equity Rotation Index (the “LASER Index”) is a rules-based index designed to provide dynamic exposure to large cap US equity value (LCV) and momentum (LCM) factors within a quantitative volatility controlled framework. The LASER Index utilizes a proprietary algorithmic regime classification approach to actively rotate between two equity components, momentum and value, while also being exposed to a fixed income component, or US Treasurys (UST). This allocation is conditional upon the degree of market stress, as indicated by regime classification. By combining US Treasurys with the equity factors, the LASER Index seeks to provide a stable risk profile and smoother ride during all types of markets.
The LASER Index contains three component indices, which cover two asset classes.
As often as daily, the LASER Index dynamically rebalances the component weights according to a proprietary rules-based methodology. In a normal regime, asset returns are typically explained by a large and diverse set of drivers. However in a fragile market, asset returns tend to be explained by just a few drivers; a shock in even one driver could potentially negatively impact all assets resulting in a possible systemic crisis. Our proprietary algorithm aims to make this determination and seeks to categorize regimes into three classes based on degrees of market stress: resilient, stable and fragile. Asset allocation is different in each of the regimes. The index allocates to LCM and UST in resilient regimes, LCV and UST in stable regimes and UST in fragile regimes.
On a daily basis, the LASER Index analyzes the three components and targets an annualized realized volatility of 6%. If realized volatility exceeds the 6% target volatility rate on any day, the LASER Index will reduce the weight of the component(s) and allocate to a non-remunerable hypothetical cash position.
Past market experience is no guarantee of future results.
Please see the links below for important information.
View the LASER Risk Factors and Other Considerations
View the LASER Rule Book
Primary Benchmark: Loomis Sayles Asset Selector Equity Rotation Index
Trailing Performance as of 2/28/2019
Monthly as of -1/-1/-1
Quarterly as of -1/-1/-1
Loomis, Sayles & Company, L.P. | One Financial Center, Boston, MA 02111
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