Loomis Sayles Asset Selector Equity Rotation Index

Overview

The Loomis Sayles Asset Selector Equity Rotation Index ^TM (the "LASER index") is designed to provide a dynamic and rules-based exposure to US equities and fixed income, with a volatility target of 6%. The LASER Index is provided in three versions, excess return, net excess return and net excess return JPY.

Highlights

Index Objective

The LASER Index is a rules-based index designed to provide dynamic exposure to US equity value (VStk) and momentum (MStk) and fixed income (UST) factors within a quantitative volatility controlled framework. The LASER Index utilizes a proprietary algorithmic regime classification approach to actively rotate between two equity index components, momentum and value, while also being exposed to a fixed income index component which aims to track 10-year U.S. treasuries futures (US Treasurys). This allocation is conditional upon the degree of market stress, as indicated by regime classification. By combining US Treasurys with the equity factors, the LASER Index seeks to provide a stable risk profile and smoother ride during all types of markets.

Key Features

Systematic and rules-based approach derived from Loomis Sayles renowned investment expertise
Pragmatic asset allocation - Exposure to either fixed income assets or a combination of fixed income and US large and mid-cap equity
Dynamic rebalancing – index portfolio adjusts as often as daily with the aim of capturing market opportunities in various environments while also aiming to provide a stable risk profile
No embedded leverage

Key Considerations

There is a risk that the rules-based methodology of the index does not meet its stated objectives, including meeting its target volatility of 6%, which may result in underperformance
The index will include a deduction from the aggregate levels of its components of a maintenance fee equal to 0.50% per annum as well as a notional interest rate equal to 3-month USD LIBOR
The volatility control mechanism might limit overall levels of the index in rising markets and may provide imperfect, limited protection in falling markets, particularly against sudden, large market losses
Any exposure to the hypothetical cash position will earn no return
The index has limited historical data and public information

For additional risk factors and important information, please see the rule book links below.

Index Rebalancing Process

Diverse Components

The LASER Index contains three component indices, which cover two asset classes.

Dynamic Rotation

As often as daily, the LASER Index dynamically rebalances the component weights according to a proprietary rules-based methodology. In a normal regime, asset returns can be typically explained by a large and diverse set of drivers. However in a fragile market, asset returns may be explained by just a few drivers; a shock in even one driver could potentially negatively impact all assets resulting in a possible systemic crisis. Our proprietary algorithm aims to make this determination and seeks to categorize regimes into three classes based on degrees of market stress: resilient, stable and fragile. Asset allocation is different in each of the regimes. The index allocates to MStk and UST in resilient regimes, VStk and UST in stable regimes and UST in fragile regimes.

Daily Volatility Control

On a daily basis, the LASER Index analyzes the three components and targets an annualized realized volatility of 6%. If realized volatility exceeds the 6% target volatility on any day, the LASER Index will reduce the weight of the component(s) and allocate to a non-remunerable hypothetical cash position.

Past market experience is no guarantee of future results.

Please see the links below for additional risk factors and important information.

View the Loomis Sayles Asset Selector Equity Rotation Excess Returns Index (LASER6) Rule Book
View the Loomis Sayles Asset Selector Equity Rotation Net Excess Returns Index (LASER6N) Rule Book
View the Loomis Sayles Asset Selector Equity Rotation Net Excess Returns JPY Hedged Index (LASER6J) Rule Book

LS, LS Loomis | Sayles, Loomis Sayles, and the Loomis Sayles Asset Selector Equity Rotation Index are trademarks of Loomis, Sayles & Company, L.P.

Index Start Date	8/3/2006
Launch Date	7/18/2019
Bloomberg Ticker	LASER6
Calculating Agent	Solactive AG
Team	Systematic Investing Strategies Team

Index Start Date	8/3/2006
Launch Date	7/18/2019
Bloomberg Ticker	LASER6N
Calculating Agent	Solactive AG
Team	Systematic Investing Strategies Team

Index Start Date	8/3/2006
Launch Date	3/16/2020
Bloomberg Ticker	LASER6J
Calculating Agent	Solactive AG
Team	Systematic Investing Strategies Team

Click version above for additional information.

Excess Return: The index is calculated on an excess return basis over the sum of (i) a notional interest rate of 3-month LIBOR and (ii) a daily index maintenance fee of 0.50% per annum, with gross dividends reinvested.
The LASER6 Index is intended for accounts based in the United States.

Net Excess Return: The index is calculated on a net excess return basis over the sum of (i) a notional interest rate of 3-month LIBOR and (ii) a daily index maintenance fee of 0.50% per annum, with gross dividends reinvested, net of certain withholding taxes.
The LASER6N Index is intended for use by accounts based outside of the United States.

Net Excess Return JPY: The index is calculated on a net excess return basis in YEN over the sum of (i) a notional interest rate of 3-month LIBOR and (ii) a daily index maintenance fee of 0.50% per annum, with gross dividends reinvested, net of certain withholding taxes and transaction costs. The LASER6J Index is intended for use by accounts based outside of the United States.

Performance

Trailing Performance as of 12/31/2022

Average Annualized Return	Index

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.

The Loomis Sayles Asset Selector Equity Rotation Index (the “LASER Index”) is the exclusive property of Loomis, Sayles & Company, L.P. (Loomis Sayles). Loomis Sayles has contracted with Solactive AG (“Solactive”) to maintain and calculate the LASER Index and to license the underlying component indices to Loomis Sayles. The index is not sponsored, promoted, sold, or supported in any other manner by Solactive, nor does Solactive offer any express or implicit guarantee or assurance either with regard to the results of using the index and/or trademarks of the LASER Index or the levels of the LASER Index at any time or in any other respect. Loomis Sayles and the Loomis Sayles Asset Selector Equity Rotation Index are trademarks or service marks of Loomis Sayles.

Neither Loomis Sayles nor its affiliates make any recommendation as to the suitability of investment in the index or any products or strategies based partly or wholly on the index. Loomis Sayles reserves the right to amend or adjust the index methodology from time to time and accepts no liability for any such amendment or adjustment. Loomis Sayles is not under any obligation to continue the calculation, publication or dissemination of the index and accepts no liability for any suspension or interruption in the calculation thereof. Neither Loomis Sayles nor any of its affiliates accepts any liability in connection with the publication or use of the level of the index at any given time. This is neither an offer to sell securities or other instruments nor a solicitation of an offer to buy securities or other instruments, nor shall it be deemed to provide investment, tax, accounting or other advice. Please consult with your investment and tax advisors before making any investment. You cannot invest directly in an index. Past performance is not indicative of future results.

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Loomis Sayles Asset Selector Equity Rotation Index

Overview

Highlights

Index Objective

Key Features

Key Considerations

Index Rebalancing Process

Diverse Components

Dynamic Rotation

Daily Volatility Control

Index Facts as of 12/31/2022

Performance

Monthly Characteristics

Quarterly Characteristics

Holdings