“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.” “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. “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.” “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. 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.

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 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. New York, Septem– Bloomberg and Goldman Sachs Asset Management (GSAM) today announced the launch of a comprehensive suite of 21 alternative risk premia benchmark indices.

Bloomberg terminal alternative