Introduction to Risk Premia Investing
Learn about several key philosophical and definitional issues related to risk premia investing.
INVESTMENT STRATEGIES
Global Diversified Risk Premia 8%
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Overview
The strategy seeks to provide positive absolute returns with true diversification by offering low correlation to stocks and bonds. We invest in a portfolio of traditional and nontraditional investable risk premia derived from equity, fixed income, currency and commodity asset classes. By targeting a broad collection of statistically independent sources of return, we believe we are in a position to create a more robust portfolio that provides, over time, a generally more stable source of return with a targeted volatility of % to 9%, significantly less than the long-term volatility of stocks.
Investment Approach
- The portfolio targets 8% volatility over a full market cycle.
- The portfolio seeks to deliver absolute returns over a full market cycle.
- The portfolio seeks to provide diversification by offering low correlation to traditional assets such as stocks and bonds.
Seeks Constant Volatility
Target Absolute Return
Diversification
Portfolio Management
Featured Insights
Risk Premia Investing Can Be a Powerful Ally to Investors
Many “diversified” portfolios have risk exposure concentrated in 1 or 2 risk factors. Learn how low-correlated risk premia may reduce risk and enhance returns.
Low Liquidity Casts Shadow over Volatile Markets
Portfolio Manager, Diversified Alternatives John Fujiwara explains why the combination of inflation and illiquidity could upset markets in 2019 and why many high-beta strategies may be at risk in markets where higher volatility and lower correlations are the norm.
Performance
RETURNS
| Inception: Jul 01, 2013 | 3M | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception |
|---|---|---|---|---|---|---|---|
| Composite Gross | -1.13% | 1.35% | -2.13% | 1.46% | 2.77% | - | 2.88% |
| Composite Net | -1.29% | 0.86% | -2.76% | 0.80% | 2.11% | - | 2.21% |
| 3-Month USD LIBOR | 0.62% | 2.06% | 2.64% | 1.81% | 1.24% | 0.78% | 1.04% |
| Inception: Jul 01, 2013 | 3M | YTD | 1YR | 3YR | 5YR | 10YR | Since Inception |
|---|---|---|---|---|---|---|---|
| Composite Gross | -1.13% | 1.35% | -2.13% | 1.46% | 2.77% | - | 2.88% |
| Composite Net | -1.29% | 0.86% | -2.76% | 0.80% | 2.11% | - | 2.21% |
| 3-Month USD LIBOR | 0.62% | 2.06% | 2.64% | 1.81% | 1.24% | 0.78% | 1.04% |
Past performance cannot guarantee future results. Investing involves risk, including the possible loss of principal and fluctuation of value. Returns greater than one year are annualized. Returns are expressed in U.S. dollars. Composite returns are net of transaction costs and gross of non-reclaimable withholding taxes, if any, and reflect the reinvestment of dividends and other earnings.
The gross performance results presented do not reflect the deduction of investment advisory fees and returns will be reduced by such advisory fees and other contractual expenses as described in the individual contract and Form ADV Part 2A.
Net performance results do not reflect the deduction of investment advisory fees actually charged to the accounts in the composite but they do reflect the deduction of model investment advisory fees based on the maximum fee rate in effect for the respective time period, adjusted for performance-based fees where applicable. Actual advisory fees may vary among clients invested in the strategy shown and may be higher or lower than model advisory fees. Returns for each client will be reduced by such fees and expenses as negotiated in any client contract as discussed in Form ADV Part 2A.
For a complete list of holdings as of the most recently available disclosure period, contact us.
The gross performance results presented do not reflect the deduction of investment advisory fees and returns will be reduced by such advisory fees and other contractual expenses as described in the individual contract and Form ADV Part 2A.
Net performance results do not reflect the deduction of investment advisory fees actually charged to the accounts in the composite but they do reflect the deduction of model investment advisory fees based on the maximum fee rate in effect for the respective time period, adjusted for performance-based fees where applicable. Actual advisory fees may vary among clients invested in the strategy shown and may be higher or lower than model advisory fees. Returns for each client will be reduced by such fees and expenses as negotiated in any client contract as discussed in Form ADV Part 2A.
For a complete list of holdings as of the most recently available disclosure period, contact us.