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%. The LASER Index is provided in two versions, excess return and net excess return.
The LASER Index is a rules-based index designed to provide dynamic exposure to large cap US equity value (LCV) and momentum (LCM) 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.
For additional risk factors and important information, please see the rule book links below.
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 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 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
Primary Benchmark: NA
Trailing Performance as of 9/30/2019
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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