Investment Grade Securitized Credit Overview Composite Performance Overview The Investment Grade Securitized Credit strategy pursues high current income and total returns through diversified credit exposure to securitized sectors: asset-backed securities (ABS), collateralized loan obligation securities (CLO), commercial mortgage-backed securities (CMBS), and residential mortgage-backed securities (RMBS) Primary BenchmarkICE BofA ABS & CMBS IndexPortfolio Management Alessandro Pagani Portfolio Manager Read bio Steve LaPlante Portfolio Manager Read bio Jennifer Thomas Portfolio Manager, Senior Analyst, Consumer ABS, Mortgage & Structured Finance Read bio Strategy Highlights Credit focused strategy that seeks to outperform through both security selection and sector allocation within the non-agency securitized asset classes Seeks to maintain an investment grade risk profile but can hold securities if downgraded below investment grade Securitized credit generally results in a portfolio with shorter duration than overall fixed income market Ability to purchase agency mortgage-backed securities (agency MBS) for opportunistic as well as liquidity purposes Strategy Facts as of 6/30/2024Strategy Inception5/1/2009Strategy Assets$1.7 billionComposite Assets$708.3 millionNumber of Composite Accounts1Fact Sheet Performance Primary Benchmark: ICE BofA ABS & CMBS Index Quarter-End Performance as of 6/30/2024CumulativeGrossNetIndex3 month2.36%2.24%1.08% Year-to-date5.62%5.36%2.64%Trailing Performance as of 6/30/2024Average Annualized ReturnGrossNetIndex1 year11.36%10.81%6.56% 3 years2.72%2.30%0.04% 5 years3.55%3.17%1.42% 10 years3.89%3.53%2.04% Since Inception 5/1/20097.03%6.66%3.95% Period PerformanceYearGrossNetIndex20238.46%7.93%5.55% 2022-5.93%-6.22%-7.20% 20212.84%2.53%0.05% 20205.85%5.53%5.20% 20195.72%5.40%5.89% 20183.68%3.35%1.74% 20175.46%5.12%2.84% 20164.14%3.80%2.71% 20152.68%2.35%0.81% 20144.52%4.18%3.09% 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 Currency Distribution @ERROR% Duration Distribution @ERROR% Sector Distribution (Fixed) * 0.0% Country Distribution @ERROR% Maturity Distribution @ERROR% Credit Quality @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 Characteristics Quarterly as of -1/-1/-1 Currency DistributionFundIndex @ERROR%0.0% 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% Credit QualityFundIndex@ERROR%0.0% 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%. Holdings Top Ten Holdingsas of 6/30/2024% Assets @ERROR% Top 10 holdings may not be representative of current or future holdings and will evolve over time. x < Page: / > Download PDF