The Core Fixed Income strategy seeks to outperform the Bloomberg US Aggregate Bond Index while maintaining a benchmark-aware risk return objective
Primary Benchmark:
Bloomberg US Aggregate Index
Strategy Highlights
- Investment flexibility is constrained to the investment grade portion of the US fixed income markets
- Duration bands: +/- 1 year (typically within +/- 0.25 year) relative to the index
- All investments must be US dollar denominated
- 3% issuer limit or the benchmark weight plus 2% (whichever is greater at the time of purchase), Treasurys and GSEs excluded
- 25% industry maximum or benchmark weighting plus 10%, (whichever is greater at the time of purchase)
The Core Fixed Income Composite includes all discretionary separate and commingled accounts with market values greater than $20 million managed by Loomis Sayles with investment guidelines prescribing investment in U.S. dollar denominated bonds that do not allow high yield and with the following characteristics. The portfolio has a total rate of return objective with an annualized tracking error target of 75 to 125 basis points over a full market cycle. Proprietary quantitative models are employed in portfolio construction and risk assessment. Loomis Sayles’s security level research and tactical sector allocation are primary alpha sources for this product. Yield curve and duration management are additional tools utilized by the portfolio management team. Prior to June 1, 2015 the Composite minimum account size requirement was $5 million. The Composite inception date is January 1, 1989. The Composite was created in 1993.
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