09/15/2020 | Press release | Distributed by Public on 09/15/2020 08:00
New York, September 15, 2020 - Bloomberg and Goldman Sachs Asset Management (GSAM) today announced the launch of a comprehensive suite of 21 alternative risk premia benchmark indices. The Bloomberg GSAM Risk Premia Indices, available through the Bloomberg Terminal, represent fully transparent and replicable indices of widely accepted alternative risk premia styles for liquid, rules-based investment strategies.
These new indices combine Bloomberg's years of experience in systematic strategies research with the field expertise and research insights from GSAM's Quantitative Investment Strategies team, as well as valuable feedback from asset owners and consultants. The indices are replicable, transparent and represent investment styles for which there is practitioner consensus, supporting academic research and empirical evidence, and commonly-accepted factor definitions.
'As investors increasingly look for alternative sources of returns, we've seen more use of alternative risk premia strategies in investment portfolios, but investors are struggling with benchmarking performance,' said Dave Gedeon, Global Head of Equity and Strategy Indices at Bloomberg. 'GSAM is a pioneer in alternative risk premia, and its expertise - coupled with Bloomberg's strength in researching, developing and managing cross-asset strategy indices - enables us to provide investors with the tools for benchmarking risk premia strategies and creating new financial products.'
'These indices are designed to do for alternative risk premia what market capitalization has done for equities-provide a benchmark based on consensus definitions against which manager performance can be measured,' said Matthew Schwab, managing director and co-head of research, portfolio management and portfolio construction for the Alternative Investment Strategies (AIS) team within GSAM's Quantitative Investment Strategies group. 'By being transparent and replicable, these indices can be used both to understand performance as well as to provide low-cost beta to the asset class.'
'Given Bloomberg's history as an index provider, and our experience in the alternative risk premia space, we felt this was a natural partnership to bring risk premia factor benchmarks to the market,' added Federico Gilly, managing director and co-head of research, portfolio management and portfolio construction for the AIS team within GSAM's Quantitative Investment Strategies group.
Alternative risk premia strategies are designed to bring investors the benefits of return diversification, liquidity, transparency, systematic exposure and cost efficiency. In addition to using individual risk premia factors, investors can construct a portfolio of multiple risk premia factors in tandem, thereby customizing benchmarks to suit their individual investment objectives.
More information on the indices can be found here. Bloomberg provides an independent, transparent approach to indexing for customers across the globe. The indices are administered by Bloomberg's authorized index administrator, Bloomberg Index Services Limited (BISL). BISL is responsible for calculation, governance and licensing of these indices.
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About Goldman Sachs Asset Management
GSAM is the asset management arm of The Goldman Sachs Group, Inc. (NYSE: GS), which supervises more than $1 trillion in assets as of June 30, 2020. Goldman Sachs Asset Management has been providing discretionary investment advisory services since 1988 and has investment professionals in all major financial centers around the world. The company offers investment strategies across a broad range of asset classes to institutional and individual clients globally. Founded in 1869, Goldman Sachs is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments, and high-net-worth individuals.