UAT Systematic US High Yield Overview Composite Performance Overview The Systematic US High Yield strategy seeks to maximize risk-adjusted returns relative to the benchmark over a full market cycle. This approach is designed to focus on individual security selection that seeks to outperform the benchmark while using portfolio construction techniques which help to control deviation of risk factors such as beta, yield curve, credit rating, and sector exposure. Primary BenchmarkBloomberg US Corporate High Yield - 2% Issuer Capped IndexPortfolio Management Harish Sundaresh Portfolio Manager, Director of Systematic Investing Strategies Read bio David Liu Investment Strategist, Alpha Strategies Read bio Mark LaRochelle Associate Portfolio Manager & Strategist Read bio Kai Huo Senior Investment Analyst, Alpha Strategies Read bio Strategy Highlights An actively managed credit strategy that utilizes a multi-factor approach that seeks to capitalize on market inefficiencies and capture issue and issuer-level factor risk premiums An “all-weather” strategy that is designed to pursue a better Sharpe ratio than the benchmark with excess return potential that is complementary with other fixed-income strategies Manages potential risk through strict portfolio construction rules, promoting diversification and controlling tracking error Applies multiple cost reduction methods that seeks to maximize liquidity and reduce portfolio slippage (liquidity filters, incorporating bid-ask into the optimization, restricting turnover and trade execution) The strategy is fully invested at all times and can be customized to client-specific risk-return objectives Portfolio Construction Universe: benchmark securities Duration: +/- 0.1 yr relative to benchmark duration Maximum issuer: +1% relative to benchmark exposure Maximum below investment grade: 100% Currency: US dollar only Leverage: None Strategy Facts as of 9/30/2024Strategy Inception3/31/2021Strategy Assets$191.6 millionComposite Assets$143.1 millionNumber of Composite Accounts4Fact Sheet The Systematic US High Yield Composite includes all discretionary accounts with market values greater than $2 million managed by Loomis Sayles that adopt a systematic enhanced index approach, seeking to deliver alpha while harvesting US High Yield credit beta in a risk-controlled manner. All composite accounts are eligible to use derivatives. The enhanced index approach may at times use derivatives as an additional alpha source. All composite accounts share the same portfolio construction methodology. All composite accounts share the same performance benchmark. The Composite inception date is October 1, 2021. The Composite was created in 2023. For additional information on this and other Loomis Sayles strategies, please visit our web site at www.loomissayles.com. Performance Primary Benchmark: Bloomberg US Corporate High Yield - 2% Issuer Capped Index Quarter-End Performance as of 9/30/2024CumulativeGrossNetIndex3 month4.90%4.78%5.28% Year-to-date8.19%7.83%8.00%Trailing Performance as of 9/30/2024Annualized Total ReturnGrossNetIndex1 year15.99%15.48%15.73% 3 years4.17%3.71%3.09% Since Inception 10/1/20214.17%3.71%3.09% Period PerformanceYearGrossNetIndex202314.50%13.99%13.44% 2022-9.45%-9.86%-11.18% 2021*0.78%0.67%0.69%* Since Inception 10/1/2021 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