Strategic Alpha Opportunistic
The Strategic Alpha Opportunistic strategy seeks to provide absolute returns in excess of ICE BofA US 3-Month Treasury Bill Index
Primary Benchmark:
ICE BofA ML 3 Month US Treasury Bill Index
Goal:
- 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 6-8% over a market cycle**
- Historically low correlation with traditional fixed income with the ability to actively managed interest rate risk
1 Strategy assets are comprised of Loomis Sayles Strategic Alpha style accounts including Strategic Alpha and Strategic Alpha Opportunistic.
Effective April 1, 2022 the benchmark for the Strategic Alpha Opportunistic 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 Opportunistic 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, 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 and the following additional requirements. Composite accounts have a target volatility range of up to 8% over a full market cycle and allow investment in equities to be over 10% of the portfolio as well as emerging markets debt and high yield to have a concentration over 50% each. Potential primary alpha sources are expected to fall in the credit, interest rate and currency categories. The Composite inception date is December 1, 2011. The Composite was created in 2016.
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Strategy Facts as of 12/31/2022
| Strategy Inception | 10/1/2011 |
| Strategy Assets 1 | $4.9 billion |
| Composite Assets | $311.4 million |
| Number of Composite Accounts | 3 |
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Primary Benchmark:
ICE BofA ML 3 Month US Treasury Bill Index
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Quarter-End Performance as of 12/31/2022 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 2.95% | 2.84% | 0.84% | | Year-to-date | -9.31% | -9.72% | 1.46% |
Trailing Performance as of 12/31/2022 | Average Annualized Return | Gross | Net | Index |
|---|
| 1 year | -9.31% | -9.72% | 1.46% | | 3 years | 2.22% | 1.77% | 0.72% | | 5 years | 2.15% | 1.70% | 1.26% | | 10 years | 3.03% | 2.58% | 0.76% | | Since Inception 12/1/2011 | 3.69% | 3.23% | 0.70% |
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Period Performance | Year | Gross | Net | Index |
|---|
| 2022 | -9.31% | -9.72% | 1.46% | | 2021 | 3.69% | 3.24% | 0.05% | | 2020 | 13.57% | 13.08% | 0.67% | | 2019 | 3.91% | 3.46% | 2.28% | | 2018 | 0.22% | -0.21% | 1.87% | | 2017 | 4.15% | 3.70% | 0.86% | | 2016 | 12.72% | 12.23% | 0.33% | | 2015 | -1.97% | -2.40% | 0.05% | | 2014 | 3.45% | 3.01% | 0.03% | | 2013 | 1.76% | 1.30% | 0.07% |
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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 website includes a correction of the information provided for the Composite. The calendar year 2020 gross and net returns for the Composite were originally presented as 15.15% and 14.65% respectively. The correct returns are 13.57% and 13.08% respectively, as shown above.
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%.