*This return objective is used for the purpose of portfolio construction, is unofficial, and is provided for informational purposes only. There is no guarantee that the strategy will achieve its excess return objective.
**Although the Investment Manager actively seeks to manage risk for a targeted risk level, there is no guarantee that the portfolio will be able to maintain its targeted risk level.

The Strategic Alpha Composite includes all discretionary separate 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. The Composite inception date is May 1, 2011. The Composite was created in 2011.

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.