The Strategic Alpha Fund seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital. The secondary goal of the Fund is to achieve these returns with relatively low volatility

Primary Benchmark:

ICE BofA ML 3 Month US Treasury Bill Index

Portfolio Management

Matt Eagan, CFA
Brian Kennedy
Todd Vandam, CFA
Elaine Stokes

Total Fund Assets (as of 5/31/2023):

$762.1 million

Strategy Highlights

• The strategy combines the features of a traditional bond fund and an alternative investment to create an all-weather solution.
• Unconstrained by market benchmarks, this absolute return oriented strategy has the flexibility to invest in opportunities across the global fixed income landscape, as well as use derivative instruments. This mobility enables the team to respond tactically to shifting economic environments and market events.
• The strategy targets risk levels between 4% and 6%* to help dampen volatility and to help hedge against global events that influence fixed-income markets.
• Portfolio average duration may range between -2 to 5 years

*Although the fund actively manages risk for a 4% to 6% standard deviation level, there is no guarantee that the fund will always maintain its targeted risk level.

Investment Strategy

• Total long or short exposure will not exceed 100% short & 100% long on a notional basis*
• May invest up to 50% of net exposure in non-dollar currency
• May invest up to 20% of net exposure in emerging markets currency
• May invest up to 50% of net exposure in below investment grade, fixed income securities

*Limits shown are net long or short as a % of total long exposure and exclude the use of futures and related options.

About Risk

• Fixed income securities may carry one or more of the following risks: credit, interest rate (as interest rates rise bond prices usually fall), inflation and liquidity.
• Below investment grade fixed income securities may be subject to greater risks (including the risk of default) than other fixed income securities.
• Currency exchange rates between the US dollar and foreign currencies may cause the value of the fund’s investments to decline.
• Derivatives involve risk of loss and may entail additional risks. Because derivatives depend on the performance of an underlying asset, they can be highly volatile and are subject to market and credit risks.
• Foreign and emerging market securities may be subject to greater political, economic, environmental, credit, currency and information risks. Foreign securities may be subject to higher volatility than US securities due to varying degrees of regulation and limited liquidity. These risks are magnified in emerging markets.
• Mortgage-related and asset-backed securities are subject to the risks of the mortgages and assets underlying the securities. Other related risks include prepayment risk, which is the risk that the securities may be prepaid, potentially resulting in the reinvestment of the prepaid amounts into securities with lower yields.
• Commodity-related investments, including derivatives, may be affected by a number of factors including commodity prices, world events, import controls and economic conditions, and therefore may involve substantial risk of loss.
• Non-diversified funds invest a greater portion of assets in fewer securities and therefore may be more vulnerable to adverse changes in the market.
• Short exposures using derivatives may present various risks. If the value of the asset, asset class or index on which the Fund holds short investment exposure increases, the Fund will incur a loss. The potential risk of loss from a short exposure is theoretically unlimited, and there can be no assurance that securities necessary to cover a short position will be available for purchase.
• Agency Securities Risk Certain debt securities issued or guaranteed by agencies of the U.S. government are guaranteed as to the payment of principal and interest by the relevant entity but have not been backed by the full faith and credit of the U.S. government. Instead, they have been supported only by the discretionary authority of the U.S. government to purchase the agency’s obligations. An event affecting the guaranteeing entity could adversely affect the payment of principal or interest or both on the security and, therefore, these types of securities should be considered to be riskier than U.S. government securities.