JPMIM as A Sub-Advisor

• SPGBX and SPUBX both took positions in JPMIM’s JAGG ETF (3/2022)
  • JAGG was a unique multi-factor core US fixed income strategy
• JAGG became BBAG on 2/1/2023
  • Essentially, JAGG became a US Agg index tracker like Vanguard’s BND/ iShares AGG
• We approached JPMIM about sub-advising the entirety of SPUBX (~$210 million AUM) and SPGBX (~$330 million AUM)
• Worked extensively with JPMIM since to develop a unique, customized US and Global fixed income strategy
  • JPMIM GFICC Group - Niels Schuehle, Ph.D.

Resolutions approved at October 2023 Panoramic Funds Meeting...

• Approve JPM Strategy for SPGBX and SPUBX
• Approve changes to ERs/ Op Exp Caps for SPGBX and SPUBX
  • SPUBX ER rises 7 bps to 52 bps (Median Category/Peer ER = 49/53 bps)
  • SPGBX ER rises 8 bps to 57 bps (Median Category/Peer ER = 70/70 bps)
• Approve fund name changes to …
  • Symmetry Panoramic US Systematic Fixed Income Fund
  • Symmetry Panoramic Global Systematic Fixed Income Fund
• Approve benchmark change for SPUBX
  • From: Bloomberg Barclays US Government/Credit 1-5 Year Index
  • To: Bloomberg US Aggregate Bond Index
• All changes effective December 29, 2023.

Strategy Overview

• Core Fixed Income Strategy tracking US and Global Agg (USD hedged) with 1% TE budget, plus ….
• Implement Factors (i.e., Value, Momentum, Quality) in corporate bonds
  • Overweight corporates by 10% relative to benchmark
• Short Maturity Anomaly
  • Duration neutral overlay (long shorter maturities and short longer maturities)
  • Implemented with cash bonds and 10-year CDX futures (sell short-maturity and buy long-maturity default protection)
• High Yield
  • Overweight high yield by 10% relative to benchmark
    • High quality, short-maturity BB
    • Event Driven Carry (Fallen Angels)
• Global Rates Strategy
  • Consider both Value (high real yield) and Carry (yield + roll-down)
  • Long/short implementation using 10-year interest rate swaps in 10 foreign currencies (USD, EUR, JPY, CAD,GBP, AUD, NZD, DKK, NOK, CHF)

Academic Evidence

• Asness, Moskowitz, and Pedersen, “Value and Momentum Everywhere,” Journal of Finance, 2013.
• Brooks, Palhares, and Richardson, ”Style Investing in Fixed Income,” Journal of Portfolio Management, 2018.
• de Carvalho, Dugnolle, Lu, and Moulin, “Low-Risk Anomalies in Global Fixed Income,” Journal of Fixed Income, 2014.
• Dor and Xu, “Fallen Angels: Characteristics, Performance, and Implications for Investors” Journal of Fixed Income, 2011.
• Koijin, Moskowitz, Pedersen, and Vrught, “Carry,” Journal of Financial Economics (2018)
• Soe and Xie, “Factor-Based Fixed Income,” S&P Dow Jones Indices Research, (2016)

Benefits

• Recognized World Class Investment Manager as Sub-Advisor
• Unique/Compelling Investment Offering in Fixed Income
  • Systematic and Based in Academic Evidence
  • Potential for Outperformance
  • Reduced Risk in Simulation
  • Improved Return-Risk Characteristics in Simulation
• Improved Drawdown and Up/Down Capture in Simulation
• Current: Expensive Market-based Fund of Funds -> Future: Competitively priced evidence-based active strategies