BOSTON--(BUSINESS WIRE)--Natixis Global Asset Management announced today that it has agreed to acquire AlphaSimplex Group LLC, the investment management firm founded by Dr. Andrew W. Lo, the Harris & Harris Group Professor of Finance at the Massachusetts Institute of Technology’s Sloan School of Management. Under the agreement, Dr. Lo will remain chairman and chief scientific officer of AlphaSimplex and continue his work in dynamic asset-allocation strategies and risk management protocols for both traditional and alternative asset classes. He will also continue to pursue his academic activities at MIT.
In addition to its work in dynamic asset-allocation and risk analytics, AlphaSimplex also specializes in the synthetic replication of multi-strategy absolute-return vehicles. These highly customizable asset-allocation and beta-replication strategies invest principally in highly liquid and readily valued futures and forward contracts to provide the liquidity, transparency and scalability that institutional investors typically require. They are based on proprietary risk models that AlphaSimplex developed specifically for absolute-return strategies, thereby allowing clients to integrate them into portfolios of traditional asset classes using standard risk-budgeting techniques.
Dr. Lo is one of the originators of the cutting edge discipline of beta-replication for absolute-return strategies. His research on risk management for alternative investments, measures of illiquidity exposure, and the systemic risks posed by alternative investments has become required reading for sophisticated investors and portfolio managers. He is widely published in academic journals and quoted regularly in the popular business press. He is the author most recently of A Non-Random Walk Down Wall Street (with A. Craig MacKinlay, Princeton University Press, 2001). He founded AlphaSimplex in 1999.
“Andrew Lo is an original thinker whose unique perspective allows him to see solutions not yet recognized by others. His work on alternative beta replication should be of great interest to institutional investors who are looking for non-correlated returns in vehicles that are transparent, liquid, and have enough capacity to impact their portfolios,” said Jeremiah Chafkin, president of Natixis Global Asset Management alternatives group.
“Natixis Global Asset Management is an ideal platform for AlphaSimplex,” said Dr. Lo. “It provides us with the autonomy and incentives that are essential to attract and retain top talent, and the formidable Natixis distribution network will give us a much larger audience for our products and services. I’m particularly excited by the intellectual leverage that our partnership with Natixis will bring—by tapping into their substantial marketing, distribution, and structured solutions resources, I’m now able to devote most of my time and energy to that part of the business I love best: the investment process.”
Terms of the transaction were not disclosed.
About Natixis Global Asset Management
Natixis Global Asset Management is the primary asset management subsidiary of NATIXIS, a global financial services organization. The firm’s multi-boutique approach brings together the expertise of a line-up of specialized investment management firms based in Europe, the United States and Asia to offer a full spectrum of equity, fixed income and alternative investment strategies.
Headquartered in Paris and Boston, the organization’s assets under management totaled $835 billion at June 30, 2007, placing the firm among the top 15 asset management firms globally. The group’s U.S. holdings include a diverse line-up of independent investment affiliates including Harris Associates, managers of the Oakmark Funds, and Loomis, Sayles & Company.
Natixis, the “investments and projects bank” is the jointly held bank of Caisse d’Epargne and Banque Populaire in corporate and investment banking, asset management, private equity and private banking, financial services and receivables management. Backed by nearly 23,000 employees, with a net banking income of €7.3bn, it is a major player in its sector in Europe.
Natixis enjoys expertise worldwide acknowledged in credit insurance (ranked third worldwide) and structured financing (real estate, commodities, asset-backed finance and leverage finance).