Intermediate Credit Disciplined Alpha
The Intermediate Credit Disciplined Alpha strategy seeks to outperform the Bloomberg US Intermediate Credit Index consistently over time with a comparable level of risk
Primary Benchmark:
Bloomberg US Intermediate Credit Index
Strategy 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, curve and sector risk typically managed within a tight range
- Typical portfolio: 200 to 350 issues
- Currency: US dollar only
Intermediate Credit Disciplined Alpha is part of the Disciplined Alpha suite of products.
The Intermediate Credit Disciplined Alpha Composite includes all discretionary accounts with market values greater than $40 million managed by Loomis Sayles with a focus on security selection, seeking to gain an edge through analysis, market information and minimizing duration, curve, and large sector mismatches. The investment universe is primarily investment grade corporate bonds, with a bias for liquidity, and may allow up to 5% in securities below investment grade. Portfolio duration is tightly constrained and normally managed within 10% of the benchmark. The Composite inception date is October 1, 2022. The Composite was created in 2022.
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Strategy Facts as of 12/31/2022
| Strategy Inception | 10/1/2022 |
| Strategy Assets | $448.8 million |
| Composite Assets | $139.1 million |
| Number of Composite Accounts | 1 |
Primary Benchmark:
Bloomberg US Intermediate Credit Index
|
Month-End Performance as of 12/31/2022 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 2.80% | N/A | 2.52% | | Year-to-date | N/A | N/A | N/A |
Quarter-End Performance as of 12/31/2022 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 2.80% | N/A | 2.52% | | Year-to-date | 2.80% | N/A | 2.52% |
Trailing Performance as of 12/31/2022 | Average Annualized Return | Gross | Net | Index |
|---|
| Since Inception 10/1/2022 | 2.80% | NA | 2.52% |
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Period Performance | Year | Gross | Net | Index |
|---|
| N/A | N/A | N/A | N/A |
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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 as of -1/-1/-1
| Duration Distribution | |
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| @ERROR% |
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| Sector Distribution (Fixed) * | |
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| 0.0% | | Country Distribution | |
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| @ERROR% | | Maturity Distribution | |
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| @ERROR% | |
1
Quarterly as of -1/-1/-1
| Duration Distribution | Fund | Index |
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| @ERROR% | @ERROR% |
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| Sector Distribution (Fixed) * | Fund | Index |
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| 0.0% | 0.0% | | 0.0% | 0.0% | | Country Distribution | Fund | Index |
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| @ERROR% | 0.0% | | Maturity Distribution | Fund | Index |
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| @ERROR% | @ERROR% | |
1