Alternative Risk Premia Overview Composite Performance Overview The Alternative Risk Premia strategy seeks to identify and capture risk premia across a broad range of asset classes and both academic and non-traditional investment factors. The strategy employs advanced portfolio construction through machine learning and state-of-the-art optimization techniques to target consistent return potential across varying market environments.Alternative Risk Premia Strategy Highlights True multi-asset, multi-factor strategy seeking stable returns of 5%-6% per annum with 4%-6% volatility and expected lower correlation to traditional asset classes Invests across multiple asset classes and strategies with diversified exposure to greater than 35 underlying factors currently All research and premia development is performed in-house and is proprietary to the Systematic Investment Strategies team at Loomis Sayles Adopts non-consensus approach in the active management of premia Utilizes distinctive portfolio construction and optimization techniques including machine learning and Artificial Intelligence Strategy Facts as of 9/30/2023Strategy Inception10/31/2020Strategy Assets$25.9 millionComposite Assets$25.9 millionNumber of Composite Accounts1Fact Sheet Learn More About the Team Explore more about the team’s philosophy, offerings, and insights.Learn More Portfolio ManagementHarish SundareshKevin Kearns The Composite is not managed against a benchmark. Because the Composite’s strategy is absolute return where investments are permitted in all asset classes, no benchmark is presented. The Alternative Risk Premia Composite includes all discretionary accounts with market values greater than $25 million managed by Loomis Sayles that adopt a systematic, total-return approach to identify and capture risk premia across a broad range of asset classes and both academic and non-traditional investment factors. The Composite inception date is December 1, 2020. The Composite was created in 2020. Performance Quarter-End Performance as of 9/30/2023CumulativeGrossNetIndex3 month2.35%2.09%N/A Year-to-date7.45%6.65%N/ATrailing Performance as of 9/30/2023Average Annualized ReturnGrossNetIndex1 year9.33%8.25%NA Since Inception 12/1/20204.49%3.46%NA Performance data shown represents past performance and is no guarantee of, and not necessarily indicative 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.There is no guarantee that the investment objective will be realized or that the strategy will generate positive or excess return. Monthly Characteristics Monthly as of -1/-1/-1 Currency Distribution @ERROR% Duration Distribution @ERROR% Sector Distribution (Fixed) * 0.0% Country Distribution @ERROR% Maturity Distribution @ERROR% Credit Quality @ERROR% Portfolio composition statistics are from the adviser’s internal system and may not match the fund’s regulatory documents. 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. Bond credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities. Due to rounding, Sector, Currency, Country, Duration, Maturity and Quality distribution totals may not equal 100%. Quarterly Characteristics Quarterly as of -1/-1/-1 Currency DistributionFundIndex @ERROR%0.0% Duration DistributionFundIndex @ERROR%@ERROR% Sector Distribution (Fixed) *FundIndex 0.0%0.0% 0.0%0.0% Country DistributionFundIndex @ERROR%0.0% Maturity DistributionFundIndex @ERROR%@ERROR% Credit QualityFundIndex@ERROR%0.0% Portfolio composition statistics are from the adviser’s internal system and may not match the fund’s regulatory documents. 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. Bond credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities. Due to rounding, Sector, Currency, Country, Duration, Maturity and Quality distribution totals may not equal 100%. Holdings Top Ten Holdingsas of 9/30/2023% Assets @ERROR% Top 10 holdings may not be representative of current or future holdings and will evolve over time.