Core Stable Value Fixed Income Overview Overview The Core Stable Value Fixed Income strategy seeks to outperform the Bloomberg US Aggregate Index while maintaining a benchmark-aware risk return objective Primary BenchmarkBloomberg US Aggregate IndexPortfolio Management Chris Harms Portfolio Manager Read bio Cliff Rowe Portfolio Manager Read bio Dan Conklin Portfolio Manager Read bio Strategy Highlights Stable value portfolios can be customized based on a provider's restrictions, enabling us to adhere to a mandate's specific guidelines while providing the same philosophy and process as our Core Fixed Income strategy Individual investment ideas are evaluated on the basis of their investment return potential and contribution to portfolio risk Top-down macroeconomic analysis combined with bottom-up security selection drives portfolio construction 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 Typical portfolio: approximately 150 to 200 issuers, 250 to 300 issues All investments must be US dollar denominated Issuer maximum is 3% or the benchmark weight plus 2%( whichever is greater at the time of purchase), Treasurys and GSEs excluded Industry maximum of 25% of the benchmark weight plus 10%, (whichever is greater at the time of purchase) Investment universe typically includes US Treasurys, agencies, asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), investment grade corporate bonds, mortgage-backed securities (MBS), and Yankee bonds Strategy Facts as of 9/30/2024Strategy Inception3/1/2016Strategy Assets$13.7 billionComposite Assets$2.3 billionNumber of Composite Accounts2Fact Sheet The Composite includes all discretionary accounts with market values greater than $20 million managed by Loomis Sayles with stable value 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. The Composite inception date is March 1, 2016. The Composite was created in 2022. Performance Primary Benchmark: Bloomberg US Aggregate Index Quarter-End Performance as of 9/30/2024CumulativeGrossNetIndex3 month5.00%4.92%5.20% Year-to-date5.41%5.18%4.45%Trailing Performance as of 9/30/2024Annualized Total ReturnGrossNetIndex1 year12.06%11.74%11.57% 3 years-0.23%-0.48%-1.39% 5 years1.37%1.14%0.33% Since Inception Since 8/1/2019**2.11%1.86%1.63% Period PerformanceYearGrossNetIndex20236.26%5.96%5.53% 2022-11.17%-11.34%-13.01% 2021-0.92%-1.11%-1.54% 20207.85%7.65%7.51% 20195.69%5.50%8.72% 20180.51%0.23%0.01% 20173.88%3.60%3.54% 2016*1.91%1.68%0.54%* Since Inception 3/1/2016** (NEW DISCLOSURE WILL NEED TO LINK TO PERIOD PERF TABLE)^There was a break in the performance record 5/1/2019-7/31/2019. (THIS IS LINKED TO TRAILING PERF TABLE SINCE 8/1/2019) **Due to a break in the track record we cannot calculate since inception performance. Data shown since 8/1/19, the date the continuous track record begins. 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. Monthly Characteristics Monthly as of -1/-1/-1 Duration Distribution @ERROR% Sector Distribution (Fixed) 0.0% Country Distribution @ERROR% Maturity Distribution @ERROR% 0 Quarterly Characteristics Quarterly as of -1/-1/-1 Duration DistributionFundIndex @ERROR%@ERROR% Sector Distribution (Fixed)FundIndex 0.0%0.0% 0.0%0.0% Country DistributionFundIndex @ERROR%0.0% Maturity DistributionFundIndex @ERROR%@ERROR% 0 Holdings Top 10 holdings may not be representative of current or future holdings and will evolve over time. x < Page: / > Download PDF