Long Corporate Disciplined Alpha
The Long Corporate Disciplined Alpha strategy seeks to outperform the Bloomberg US Long Corporate Index consistently over time with a comparable level of risk
Primary Benchmark:
Bloomberg US Long Corporate 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 300 issues
- Currency: US dollar only
Long Corporate Disciplined Alpha is part of the Disciplined Alpha suite of products.
The Long Corporate Disciplined Alpha Composite includes all discretionary accounts with market values greater than $40 million managed by Loomis Sayles with investment guidelines that may allow for up to 10% in securities below investment grade with the following additional considerations. The Composite seeks 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. The investment universe is primarily investment grade corporate bonds, with a bias for liquidity. Portfolio duration is tightly constrained and normally managed within 10% of the benchmark. The Composite inception date is August 1, 2013. The Composite was created in 2013.
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Strategy Facts as of 12/31/2022
| Strategy Inception | 6/30/2013 |
| Strategy Assets | $2.3 billion |
| Composite Assets | $2.3 billion |
| Number of Composite Accounts | 8 |
Primary Benchmark:
Bloomberg US Long Corporate Index
|
Quarter-End Performance as of 12/31/2022 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 5.20% | 5.14% | 5.40% | | Year-to-date | -25.40% | -25.57% | -25.62% |
Trailing Performance as of 12/31/2022 | Average Annualized Return | Gross | Net | Index |
|---|
| 1 year | -25.40% | -25.57% | -25.62% | | 3 years | -4.96% | -5.16% | -5.72% | | 5 years | -0.05% | -0.25% | -0.75% | | Since Inception 8/1/2013 | 4.01% | 3.80% | 3.10% |
|
Period Performance | Year | Gross | Net | Index |
|---|
| 2022 | -25.40% | -25.57% | -25.62% | | 2021 | -0.57% | -0.78% | -1.13% | | 2020 | 15.75% | 15.53% | 13.94% | | 2019 | 24.73% | 24.50% | 23.89% | | 2018 | -6.86% | -7.03% | -7.24% | | 2017 | 12.88% | 12.67% | 12.09% | | 2016 | 12.46% | 12.24% | 10.97% | | 2015 | -3.46% | -3.65% | -4.61% | | 2014 | 16.92% | 16.68% | 15.73% | | 2013* | 1.28% | 1.20% | 0.82% |
* Since Inception 8/1/2013 |
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
| Currency Distribution | |
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| @ERROR% | | 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% | |
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 as of -1/-1/-1
| Currency Distribution | Fund | Index |
|---|
| @ERROR% | 0.0% | | 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% | | Credit Quality | Fund | Index |
|---|
| @ERROR% | 0.0% |
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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%.