UAT Corporate Disciplined Alpha Overview Composite Performance Overview The Corporate Disciplined Alpha strategy seeks to outperform the Bloomberg US Corporate Investment Grade Index consistently over time with a comparable level of risk Primary BenchmarkBloomberg US Corporate Investment Grade IndexPortfolio Management Lynne Royer Co-Head of Disciplined Alpha Fixed Income Read bio Seth Timen Co-Head of Disciplined Alpha Fixed Income Read bio Timi Ajibola Securitized Products Portfolio Manager Read bio Sudhir Bhat Mortgage Portfolio Manager Read bio Matthew Boynton Portfolio Manager Read bio Mirsada Durakovic Credit Portfolio Manager Read bio Marc Frank Senior Credit Trader Read bio Brian Gibbs Senior Credit Trader Read bio Andrew Henwood Credit Portfolio Manager Read bio Jonathan Kimbro Investment Director Read bio Bruce Saldinger Quantitative Analyst Read bio Gabriela Servin-Cendejas Senior Investment Associate Read bio Brad Stevens Credit Portfolio Manager Read bio Camden Wang Quantitative Associate Read bio Strategy Highlights Investment philosophy is intensely focused on relative value investing on a risk-adjusted basis Real-time risk management helps support entire process from security selection to sector, curve, and duration positioning Portfolio Construction Duration, curve and sector risk typically managed within a tight range Typical portfolio: 200 to 350 issues Currency: US dollar only Strategy Facts as of 9/30/2024Strategy Inception5/31/2013Strategy Assets$2.0 billionComposite Assets$753.4 millionNumber of Composite Accounts3Fact Sheet Additional ContentDisciplined Alpha: Building Consistent Alpha, Bond by Bond Corporate Disciplined Alpha is part of the Disciplined Alpha suite of products. The Composite includes all discretionary accounts with market values greater than $40 million managed by Loomis Sayles with a focus on security selection, seeking to gain an edge through analysis, market information and minimizing duration, curve, and large sector mismatches. The investment universe is primarily investment grade corporate bonds, with a bias for liquidity, and may allow up to 10% in securities below investment grade. Portfolio duration is tightly constrained and normally managed within 10% of the benchmark. The Composite inception date is July 1, 2013. The Composite was created in 2013. Performance Primary Benchmark: Bloomberg US Corporate Investment Grade Index Quarter-End Performance as of 9/30/2024CumulativeGrossNetIndex3 month5.90%5.82%5.84% Year-to-date5.72%5.49%5.32%Trailing Performance as of 9/30/2024Annualized Total ReturnGrossNetIndex1 year14.60%14.26%14.28% 3 years-0.58%-0.84%-1.18% 5 years2.09%1.85%1.16% 10 years3.77%3.55%2.93% Since Inception 7/1/20134.13%3.91%3.27% Period PerformanceYearGrossNetIndex20239.32%8.99%8.52% 2022-15.26%-15.44%-15.76% 2021-0.44%-0.65%-1.04% 202012.35%12.14%9.89% 201915.05%14.83%14.54% 2018-2.00%-2.19%-2.51% 20176.86%6.66%6.42% 20167.27%7.07%6.11% 20150.29%0.11%-0.68% 20148.15%8.00%7.46% 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 9/30/2024% Assets @ERROR% Top 10 holdings may not be representative of current or future holdings and will evolve over time. x < Page: / > Download PDF