Systematic US High Yield
Overview
Strategy Details
Available Vehicles
- Institutional Separate Account
Portfolio Managers
Harish Sundaresh
Portfolio Manager, Director of Systematic Investing Strategies
Mark LaRochelle, CFA
Associate Portfolio Manager, Investment Strategist
About the Team
A multi-asset investment platform built on the integration of fundamental insight and quantitative innovation.
Investment Strategy
- An actively managed credit strategy that utilizes a multi-factor approach that seeks to capitalize on market inefficiencies and capture issue and issuer-level factor risk premiums
- An “all-weather” strategy that is designed to pursue a better Sharpe ratio than the benchmark with excess return potential that is complementary with other fixed-income strategies
- Manages potential risk through strict portfolio construction rules, promoting diversification and controlling tracking error
- Applies multiple cost reduction methods that seeks to maximize liquidity and reduce portfolio slippage (liquidity filters, incorporating bid-ask into the optimization, restricting turnover and trade execution)
- The strategy is fully invested at all times and can be customized to client-specific risk-return objectives
- Universe: benchmark securities
- Duration: +/- 0.1 yr relative to benchmark duration
- Maximum issuer: +1% relative to benchmark exposure
- Maximum below investment grade: 100%
- Currency: US dollar only
- Leverage: None
Composite Performance
Cumulative Total Return (%)
As of 9/30/2025| Period | Gross | Net | Index |
|---|---|---|---|
| 3 Months | 3.09% | 2.97% | 2.54% |
| Year-To-Date | 7.63% | 7.27% | 7.22% |
Annualized Total Return (%)
As of 9/30/2025| Period | Gross | Net | Index |
|---|---|---|---|
| 1 Year | 7.81% | 7.33% | 7.41% |
| 3 Years | 11.76% | 11.27% | 11.09% |
| Since 10/1/2021 | 5.07% | 4.60% | 4.16% |
Period Performance (%)
As of 9/30/2025| Year | Gross | Net | Index |
|---|---|---|---|
| 2024 | 8.37% | 7.89% | 8.19% |
| 2023 | 14.50% | 13.99% | 13.44% |
| 2022 | -9.45% | -9.86% | -11.18% |
| 2021 | 0.78% | 0.67% | 0.69% |
Documents
Important Disclosures
Performance data shown represents past performance and is no guarantee of future results. Current performance may be lower or higher than quoted. Returns are shown in US dollars and are annualized for one and multi-year periods. Gross returns are net of trading costs. Net returns are gross returns less effective management fees.
KEY RISKS: Credit Risk, Issuer Risk, Interest Rate Risk, Liquidity Risk, Non-US Securities Risk, Currency Risk, Derivatives Risk, Leverage Risk, Counterparty Risk, Prepayment Risk and Extension Risk. Investing involves risk including possible loss of principal.
Commodity, interest and derivative trading involves substantial risk of loss.
There is no guarantee that the investment objective will be realized or that the strategy will generate positive or excess return.
Investment vehicles may not be available to all investors and are subject to eligibility.
The Systematic US High Yield Composite includes all discretionary accounts with market values greater than $2 million managed by Loomis Sayles that adopt a systematic enhanced index approach, seeking to deliver alpha while harvesting US High Yield credit beta in a risk-controlled manner. All composite accounts are eligible to use derivatives. The enhanced index approach may at times use derivatives as an additional alpha source. All composite accounts share the same portfolio construction methodology. All composite accounts share the same performance benchmark. The Composite inception date is October 1, 2021. The Composite was created in 2023.