|By PR Newswire||
|February 3, 2014 02:15 PM EST||
HOUSTON, Feb. 3, 2014 /PRNewswire/ -- Salient Partners L.P. (Salient), a $19.3 billion asset management firm, announces that Salient Index Management LLC will assume daily calculations of the Salient Risk Parity Index, Salient Risk Parity V12+ Index and Salient Risk Parity V15+ Index on March 3, 2014. The three indices will also restate their performance calculations on March 3, 2014 retrospectively to January 1, 1990. These modifications are taking place so the indices can more accurately reflect roll yield, the return generated from rolling short-term futures contracts into longer-term contracts.
The Salient Risk Parity V12+ Index and the Salient Risk Parity V15+ Index will be modified on March 3, 2014 retrospectively to January 1, 1990 to encompass a more refined risk-budgeting strategy, in which risk from an asset that has reached a self-imposed, defined position limit is shifted to another asset in the same risk category in order to maintain more balanced risk exposure at the asset level. The indices' previous weighting methodology did not shift risk within each asset class when a position reached its limit, which resulted in potential underexposure to risk at the index level. The Salient Risk Parity Index is unconstrained, and will require no change to its risk-budgeting or strategy weights.
"These adjustments to our risk-budgeting methodology provide investors with balanced risk profiles that are more consistent with stated index targets," said Lee Partridge, Salient Chief Investment Officer.
On March 3, 2014, the Salient Risk Parity Index, Salient Risk Parity V12+ Index, Salient Risk Parity V15+ Index, Salient Risk Parity V15 Index and Salient Trend Index will reconstitute their underlying holdings with the addition of new equity futures contracts. As a result of the screens and analysis undertaken by the Index Management Committee, the following contracts will be added to the indices effective March 3, 2014: BOVESPA, Amsterdam Index and MSCI Singapore. In addition, KOSPI will be added to the Salient Risk Parity V15 Index and Salient Trend Index. KOSPI is currently included in the Salient Risk Parity Index, Salient Risk Parity V12+ Index and Salient Risk Parity V15+ Index. Historical prices will not be altered to reflect the inclusion of the aforementioned contracts.
The Salient Risk Parity Index is a quantitatively driven global asset allocation index that seeks to weight risk equally across four asset classes — equities, rates, commodities and credit — while targeting a volatility level of 10 percent. The Salient Risk Parity V12+ Index and Salient Risk Parity V15+ Index attempt to outperform the Salient Risk Parity Index on a risk-adjusted basis over the long term, and respectively target volatility levels of 12 percent and 15 percent and include momentum. The Salient Risk Parity V15 Index also attempts to outperform the Salient Risk Parity Index over the long term on a risk-adjusted basis. It is comprised of equities, rates, commodities and momentum, and targets a 15 percent level of volatility.
The Salient Trend Index includes three sub-portfolios that each follow a different signal — long, medium and short — and comprise futures contracts across global interest rates, equities and commodities. The index is based on a quantitatively driven, trend-following framework and targets a volatility level of 20 percent.
All the indices are calculated daily and rebalanced monthly. For further clarification of each index, please visit www.salientindices.com.
For more information about Salient, please contact Chris Moon of Jennifer Connelly Public Relations (JCPR) at 973-850-7304 or [email protected].
About Salient Partners L.P.
Salient Partners L.P. is a $19.3 billion investment management firm based in Houston, Texas. The firm is a recognized innovator in the development, management and delivery of sophisticated, non-traditional investment solutions for both institutional and retail investors. Through its comprehensive investment approach, Salient identifies and develops leading strategies that help eliminate unrewarded risk, reduce investing costs and focus on the fundamental drivers of returns to deliver the full potential of all markets to investors. For more information about Salient and its professionals, visit www.salientpartners.com.
SOURCE Salient Partners L.P.