Strategic Alpha Overview Composite Performance Overview The Strategic Alpha strategy seeks to provide absolute returns in excess of ICE BofA 3-Month Treasury Bill Index +2-4% while mitigating drawdowns Primary BenchmarkICE BofA 3-Month Treasury Bill IndexSecondary Benchmark Bloomberg US Aggregate IndexPortfolio ManagementPortfolio Managers Matt Eagan Portfolio Manager, Head of Full Discretion Read bio Brian Kennedy Portfolio Manager Read bio Associate Portfolio Manager 1 Scott Darci Associate Portfolio Manager & Strategist Read bio Strategy Highlights High conviction, active credit manager Benchmark unconstrained, multisector fixed income strategy that seeks to provide a favorable absolute total return with a low correlation to traditional fixed income Flexible investment framework with the capability to invest across global fixed income markets while seeking to provide consistent investment results throughout market cycles Keen focus on risk and drawdown consistent with capital preservation Duration: -2 to +5 years Maximum/Minimum net exposure Below investment grade: +/- 50% Non-US dollar currency: +/- 50% Emerging markets currency: +/- 20% Strategy Facts as of 3/31/2025Strategy Inception5/1/2011Strategy Assets$5.2 billionComposite Assets$2.6 billionNumber of Composite Accounts5Fact Sheet Learn More About the Team Explore more about the team’s philosophy, offerings, and insights.Learn More The Composite includes all discretionary accounts with market values greater than $25 million, managed by Loomis Sayles with guidelines that allow it to invest long and short, and employ up to a maximum of 100% gross on a notional basis, primarily in the corporate, sovereign, asset-backed, currency and interest rate markets and employs the use of derivatives that may include interest rate futures and swaps, credit default swaps, commodity futures, options, and currency futures and forwards. Potential primary alpha sources are expected to fall in the credit, interest rate and currency categories. As of 1/1/2021 the Composite was redefined to include commingled vehicles, previously only separate accounts were included. The Composite inception date is May 1, 2011. The Composite was created in 2011. 1Associate Portfolio Managers do not have discretion over the strategy. Performance Primary BenchmarkICE BofA 3-Month Treasury Bill Index Secondary BenchmarkBloomberg US Aggregate Index Quarter-End Performance as of 3/31/2025CumulativeGrossNetIndex3 month1.96%1.84%1.02% Year-to-date1.96%1.84%1.02%Trailing Performance as of 3/31/2025Annualized Total ReturnGrossNetIndex1 year9.27%8.76%4.97% 3 years5.28%4.80%4.23% 5 years6.10%5.65%2.56% 10 years3.89%3.46%1.87% Since Inception 5/1/20113.63%3.20%1.36% Period PerformanceYearGrossNetIndex20248.58%8.08%5.25% 20238.93%8.42%5.01% 2022-7.44%-7.82%1.46% 20211.76%1.35%0.05% 202012.27%11.82%0.67% 20194.87%4.44%2.28% 20181.10%0.69%1.87% 20173.86%3.44%0.86% 20166.65%6.22%0.33% 2015-0.52%-0.92%0.05% Effective May 1, 2024, the strategy will add the Bloomberg US Aggregate Index as the secondary benchmark. The primary benchmark will remain as the ICE BofA 3-Month Treasury Bill Index. 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) *FundIndex0.0%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 Holdings as 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