Strategic Alpha
Effective 9/28/12, the Composite, formerly known as Absolute Strategies, changed its name.
The Strategic Alpha strategy seeks to provide the greater of: 3-month US LIBOR + 2-4% or 7% over market cycles*
Primary Benchmark:
3-Month US LIBOR
Strategy Highlights
The strategy is global and multisector
in nature, drawing on Loomis Sayles’
knowledge and investment strengths
across a wide range of fixed income
sectors. We believe that investing
across multiple fixed income markets
can provide opportunities for strong
results. The strategy draws on the firm’s
security selection capability and global
research coverage to seek to identify
and implement alpha opportunities via:
- Capital appreciation from bottom-up
selection of mispriced securities
- Opportunistic allocation to a
broad range of sectors across the
global fixed income markets
- Interest rate decisions and term
structure positioning
*There is no guarantee that any return objective will be realized or that the strategy will be able to generate any positive or excess return.
The Strategic Alpha Composite, which includes all accounts managed by Loomis Sayles with assets over $25 million, invests long and short, up to a maximum of 100% gross on a notional basis, primarily in the corporate, sovereign, asset-backed, currency and interest rate markets and employs the use
of derivatives that may include interest rate futures and swaps, credit default swaps, commodity futures, options, and currency futures and forwards. Potential primary alpha sources are expected to fall in the credit, interest rate and currency categories. The Composite was created in 2011.
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Primary Benchmark: 3-Month US LIBOR
|
Month-End Performance as of 4/30/2013 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 1.48% | 1.37% | 0.08% | | Year-to-date | 3.28% | 3.14% | 0.10% |
Quarter-End Performance as of 3/31/2013 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 1.98% | 1.88% | 0.08% | | Year-to-date | 1.98% | 1.88% | 0.08% |
| Average Annual Total Return | Gross | Net | Index |
|---|
| 1 year | 8.41% | 7.97% | 0.43% | | Since Inception (4/30/2011) | 4.25% | 3.82% | 0.39% |
|
Calendar Year Performance | Year | Gross | Net | Index |
|---|
| 2012 | 10.66% | 10.21% | 0.51% |
|
Past performance does not guarantee future results. Gross returns are net of trading costs. Net returns are gross returns less effective management fees. Returns for multi-year periods are annualized.
Monthly as of 4/30/2013
| Characteristics | |
|---|
| Number of Issues | | | Average Maturity | | | Weighted Average Duration | @ERROR | | Annual Turnover (-1/-1/-1) | % |
| Currency Distribution | |
|---|
| @ERROR% |
| Duration Distribution | |
|---|
| @ERROR% |
Top Ten Holdings
as of 4/30/2013 | % Assets |
|---|
| @ERROR% | |
| Sector Distribution * | |
|---|
| 0.00% | | 0.00% |
| Country Distribution | |
|---|
| @ERROR% |
| Maturity Distribution | |
|---|
| @ERROR% |
|
Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody's, S&P or Fitch ratings are subject to change. The Fund's shares are not rated by any rating agency and no credit rating for Fund shares is implied.
Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. In the Sector, Duration and Maturity distributions, the calculations are based on the specific traits of each security related to that distribution, which can result in variations of the Cash & Equivalents weightings.
Due to rounding, quality, maturity, sector, currency, country and duration totals may not equal 100.00%.
Quarterly as of 3/31/2013
| Characteristics | Fund | Index |
|---|
| Number of Issues | | | | Average Maturity | | | | Weighted Average Duration | | | | Annual Turnover (-1/-1/-1) | % | |
| Currency Distribution | Fund | Index |
|---|
| @ERROR% | 0.00% |
| Duration Distribution | Fund | Index |
|---|
| @ERROR% | @ERROR% |
Top Ten Holdings
as of 3/31/2013 | % Assets |
|---|
| @ERROR% | |
| Sector Distribution * | Fund | Index |
|---|
| 0.00% | 0.00% | | 0.00% | 0.00% |
| Country Distribution | Fund | Index |
|---|
| @ERROR% | 0.00% |
| Maturity Distribution | Fund | Index |
|---|
| @ERROR% | @ERROR% |
| Credit Quality | Fund | Index |
|---|
| @ERROR% | @ERROR% |
|
Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody's, S&P or Fitch ratings are subject to change. The Fund's shares are not rated by any rating agency and no credit rating for Fund shares is implied.
Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. In the Sector, Duration and Maturity distributions, the calculations are based on the specific traits of each security related to that distribution, which can result in variations of the Cash & Equivalents weightings.
Due to rounding, quality, maturity, sector, currency, country and duration totals may not equal 100.00%.