Core Disciplined Alpha Overview Composite Performance Overview The Core Disciplined Alpha strategy seeks to outperform the Bloomberg US Aggregate Index consistently over time with a comparable level of risk Primary BenchmarkBloomberg US Aggregate IndexStrategy Highlights Investment philosophy is intensely focused on relative value investing on a risk-adjusted basis Real-time risk management helps support entire process from security selection to sector, curve, and duration positioning Portfolio Construction Duration typically managed within a tight range Typical portfolio: 150 to 350 issues Currency: US dollar only Strategy Facts as of 3/31/2025Strategy Inception7/28/2010Strategy Assets$14.6 billionComposite Assets$7.8 billionNumber of Composite Accounts12Fact Sheet Additional ContentDisciplined Alpha: Building Consistent Alpha, Bond by Bond Portfolio ManagementLynne Royer Seth Timen Timi Ajibola Sudhir Bhat Matthew Boynton Mirsada Durakovic Marc Frank Brian Gibbs Andrew Henwood Jonathan Kimbro Bruce Saldinger Gabriela Servin-Cendejas Brad Stevens Camden Wang Core Disciplined Alpha is part of the Disciplined Alpha suite of products. The Composite includes all discretionary accounts with market values of at least $40 million managed by Loomis Sayles that seek to add value for clients primarily through security selection, intending to gain an edge through analysis and market information and minimizing duration, curve, and large sector mismatches with the following additional considerations. The investment universe is primarily investment grade bonds, with a bias for liquidity. Accounts may allow up to 5% in securities below investment grade. Portfolio duration is tightly constrained and normally managed within 10% of the benchmark. Prior to May 1, 2018 the Composite minimum account size requirement was $30 million. The Composite inception date is September 1, 2010. The Composite was created in September 2010. Performance Primary Benchmark: Bloomberg US Aggregate Index Quarter-End Performance as of 3/31/2025CumulativeGrossNetIndex3 month2.78%2.71%2.78% Year-to-date2.78%2.71%2.78%Trailing Performance as of 3/31/2025Annualized Total ReturnGrossNetIndex1 year5.28%4.98%4.88% 3 years0.97%0.70%0.52% 5 years0.31%0.07%-0.40% 10 years2.03%1.80%1.46% Since Inception 9/1/20102.86%2.66%2.10% Period PerformanceYearGrossNetIndex20241.80%1.50%1.25% 20236.13%5.83%5.53% 2022-12.91%-13.09%-13.01% 2021-1.14%-1.34%-1.54% 20209.29%9.07%7.51% 20199.17%8.95%8.72% 20180.18%-0.02%0.01% 20173.93%3.71%3.54% 20163.68%3.46%2.65% 20151.12%0.93%0.55% 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. 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 -1/-1/-1% Assets @ERROR% Top 10 holdings may not be representative of current or future holdings and will evolve over time. x < Page: / > Download PDF