The Credit Asset strategy seeks to maximize return potential by investing in what we consider to be attractive issuers in the investment grade credit, high yield credit, bank loan, and securitized markets based on the current phase of the credit cycle
Primary Benchmark:
50% Bloomberg Corporate Index, 25% Bloomberg Barclays 2% Capped High Yield Issuer Index and 25% Morningstar LSTA Leveraged Loan Index
Strategy Highlights
- Multi asset credit (MAC) strategy that seeks to capture credit risk premiums in markets that we believe can offer strong risk-adjusted return potential over a full market cycle
- Asset allocation determined by evaluating the current stage of the credit cycle and the attractiveness of the various sectors
- Top-down analysis driven by real-time market data, economic releases, and market technicals, coupled with our quantitative models
- Bottom-up analysis is driven by the portfolio management team’s daily interaction with sector teams and the insights the teams generate
Portfolio Construction
- Duration: 0-7 years
- Max industry: 25% (excluding Government or Agencies)
- Max issuer: 5% (excluding Government or Agencies)
- Quality Range: Aaa-Caa
- Maximum below investment grade: 100%
- Currency: US dollar only; allows 10% non-USD denominated investments hedged back to USD*
- Leverage: None; not including use of futures for duration and interest rate management
*Non-US Dollar-denominated investments may not exceed 10% of the Composite, excluding the Senior Loan Fund, LLC, which allows for up to 5% of its total assets in senior loans denominated in currencies other than USD
The Credit Asset Composite includes all discretionary accounts with market values greater than $75 million managed by Loomis Sayles that seek to maximize return potential by investing in what we consider to be attractive issuers in the investment grade credit, high yield credit, bank loan and securitized markets based on the current phase of the credit cycle. Asset allocation is determined by evaluating the current stage of the credit cycle and the attractiveness of the various sectors. Interest rate duration is managed from zero to seven years. Exposure to non-USD denominated investments is permitted up to 10% and is hedged back to USD. The Composite inception date is May 1, 2009. The Composite was created in 2010.
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