The Strategic Alpha strategy seeks to provide absolute returns in excess of ICE BofA US 3-Month Treasury Bill Index
ICE BofA ML 3 Month US Treasury Bill Index
- Seeks alpha and seeks to manage beta through long/short positions in global credit, currency and interest rate markets*
- Focuses on absolute volatility and drawdown rather than managing risk relative to a traditional market benchmark. Attempts an annualized standard deviation investment objective of 4-6% over a market cycle**
- Historically low correlation with traditional fixed income with the ability to actively managed interest rate risk
Effective April 1, 2022 the benchmark for the Strategic Alpha Composite has been changed from ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index to the ICE BofA US 3-Month Treasury Bill Index.
*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 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.