Global Diversified Risk Premia 8%

Diversified portfolio of risk premia seeking absolute returns over a full market cycle and low correlations to equities and fixed income

Overview

ABOUT THIS STRATEGY

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 7% to 9%, significantly less than the long-term volatility of stocks.

INVESTMENT APPROACH

Seeks Constant Volatility
The portfolio targets 8% volatility over a full market cycle.

Target Absolute Return
The portfolio seeks to deliver absolute returns over a full market cycle.

Diversification
The portfolio seeks to provide diversification by offering low correlation to traditional assets such as stocks and bonds.

Featured Insight

Q4 2019

Members of Janus Henderson’s Alternatives Team highlight key considerations for investors.

Featured Insight

May 2019 | Thematic Research | Risk Premia

Introduction to Risk Premia Investing

Learn about several key philosophical and definitional issues related to risk premia investing.

PORTFOLIO MANAGEMENT

Aneet Chachra, CFA

Portfolio Manager

Industry since 2000. Joined Firm in 2012.

Lance Yoshihara

Portfolio Manager

Industry since 2004. Joined Firm in 2012.

John Fujiwara

Portfolio Manager, Diversified Alternatives

Industry since 1987. Joined Firm in 2012.

Performance

RETURNS (%) (As of 06/30/2020)
Composite Gross Composite Net FTSE 3-Month Treasury Bill Index
 
3M YTD 1YR 3YR 5YR Since Inception
(07/01/2013)
Composite Gross 0.55 -4.52 -5.02 -1.57 0.63 1.98
Composite Net 0.38 -4.83 -5.63 -2.21 -0.02 1.32
FTSE 3-Month Treasury Bill Index 0.14 0.52 1.56 1.72 1.15 0.84
RETURNS (%) (As of 08/31/2020)
Composite Gross Composite Net FTSE 3-Month Treasury Bill Index
 
3M YTD 1YR 3YR 5YR Since Inception
(07/01/2013)
Composite Gross 3.15 -2.50 -2.78 -1.69 2.13 2.23
Composite Net 2.98 -2.93 -3.41 -2.32 1.47 1.57
FTSE 3-Month Treasury Bill Index 0.03 0.55 1.18 1.68 1.15 0.81

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