The Loomis Sayles Asset Selector Equity Rotation Index TM (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%. The LASER Index is provided in three versions, excess return, net excess return and net excess return JPY.
The LASER Index is a rules-based index designed to provide dynamic exposure to US equity value (VStk) and momentum (MStk) and fixed income (UST) factors within a quantitative volatility controlled framework. The LASER Index utilizes a proprietary algorithmic regime classification approach to actively rotate between two equity index components, momentum and value, while also being exposed to a fixed income index component which aims to track 10-year U.S. treasuries futures (US Treasurys). 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.
- Systematic and rules-based approach derived from Loomis Sayles renowned investment expertise
- Pragmatic asset allocation - Exposure to either fixed income assets or a combination of fixed income and US large and mid-cap equity
- Dynamic rebalancing – index portfolio adjusts as often as daily with the aim of capturing market opportunities in various environments while also aiming to provide a stable risk profile
- No embedded leverage
- There is a risk that the rules-based methodology of the index does not meet its stated objectives, including meeting its target volatility of 6%, which may result in underperformance
- The index will include a deduction from the aggregate levels of its components of a maintenance fee equal to 0.50% per annum as well as a notional interest rate equal to 3-month USD LIBOR
- The volatility control mechanism might limit overall levels of the index in rising markets and may provide imperfect, limited protection in falling markets, particularly against sudden, large market losses
- Any exposure to the hypothetical cash position will earn no return
- The index has limited historical data and public information
For additional risk factors and important information, please see the rule book links below.
Index Rebalancing Process
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 can be typically explained by a large and diverse set of drivers. However in a fragile market, asset returns may 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 MStk and UST in resilient regimes, VStk and UST in stable regimes and UST in fragile regimes.
Daily Volatility Control
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 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 additional risk factors and important information.
View the Loomis Sayles Asset Selector Equity Rotation Excess Returns Index (LASER6) Rule Book
View the Loomis Sayles Asset Selector Equity Rotation Net Excess Returns Index (LASER6N) Rule Book
View the Loomis Sayles Asset Selector Equity Rotation Net Excess Returns JPY Hedged Index (LASER6J) Rule Book
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