Short Duration Credit | Institutional Strategies | Lord Abbett
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Short Duration Credit

Summary

Summary

HIGHLIGHTS


  • Managed by a deep and experienced team
  • Investment process combines top down macro views with bottom-up security selection
  • Focused on identifying relative value opportunities through quantitative analysis and fundamental research
  • Collaborative portfolio construction leverages collective firm-wide insights
  • Rigorous, multi-dimensional risk management is an integral part of the process

Key Facts as of 08/31/2020


Strategy Inception Date
Dec 2007
Strategy AUM
$63.5 B
Benchmark
ICE BofA 1-3 Year U.S. Corporate Index
eVestment Universe
US Short Duration Fixed Income

PORTFOLIO PARAMETERS


  • A flexible approach emphasizing short maturity credit sectors that have historically outperformed government-related securities.

  • A true short maturity strategy that has historically maintained an effective duration of approximately 2 years and a spread duration of approximately 2-3 years1

  • Investment universe typically includes short maturity investment grade corporate debt, CMBS, high yield corporate debt, ABS, U.S. Treasuries, agencies and U.S.-dollar denominated bonds of non-U.S. issuers.

  • 35% maximum allocation to below investment grade securities.2 Allocation to below investment grade has generally ranged between 10-20%1

  • Maximum of 25% in any one industry3

Vehicles


  • This strategy is available as a:
  • Separate Account
  • ERISA CIT
  • Commingled Trust
  • Mutual Fund
  • Series Fund
  • UCITS

PORTFOLIO MANAGERS

Andrew H. O'Brien
Andrew H. O'Brien, CFA

Partner & Lead Portfolio Manager

22 Years of Industry Experience

Kewjin Yuoh
Kewjin Yuoh

Partner & Portfolio Manager

26 Years of Industry Experience

Steven F. Rocco
Steven F. Rocco, CFA

Partner & Co-Director of Taxable Fixed Income

19 Years of Industry Experience

Robert A. Lee
Robert A. Lee

Partner & Co-Director of Taxable Fixed Income

29 Years of Industry Experience

Collaborating with 23 Additional Portfolio Managers 25 Credit Research Analysts & 9 Fixed Income Traders

SHORT CREDIT INSIGHTS


Short-Term Bonds: A History of Opportunity

Portfolios of short maturity bonds historically have had greater risk-adjusted returns than portfolios with greater term risk. What are the implications for investment portfolios?

The Limits of Duration Risk: An Argument for Diversification in Fixed Income

Many traditional risk premiums are compressed, and investors likely will need diversifiers beyond duration and equity beta to achieve their risk and return goals.

The Appeal of Short Duration Credit in Strategic Cash Management

Yields more than compensate cash managers for taking on minimal credit risk.

How Active Management Can Make a Difference in Short Duration Credit

The potential benefits of a thoughtfully designed strategic focus on short credit are documented here for a variety of portfolio applications in the institutional space.

Portfolio

Portfolio

Portfolio Breakdownas of 08/31/2020

Type Portfolio
Type Portfolio
Investment Grade Corporate
ABS
CMBS
U.S. Government Related
High Yield Corporate
Bank Loans
MBS
Sovereign
Other
Cash

Credit Quality Distributionas of 08/31/2020

Type Portfolio
U.S. Treasury 10.1%
Agency 0.8%
AAA 24.7%
AA 6.2%
A 9.4%
BBB 35.5%
<BBB 11.9%
Not Rated 1.5%

CHARACTERISTICS as of 08/31/2020

Portfolio Index
Portfolio Index
Number of Issues 1593 1655
Average Coupon 2.95% 3.2%
Average Life 2.48 Years 2.03 Years
Average Effective Duration 1.96 Years 1.86 Years
Average Yield to Worst 2.17% 0.77%

Performance

Performance

Short Duration Credit Institutional Composite

Average Annual Returns as of 08/31/2020

YTD 1-YR 3-YR 5-YR 10-YR Since Inception
Gross of Fees 1.72% 2.83% 3.34% 3.35% 3.50% 4.53%
Net of Fees 1.59% 2.62% 3.14% 3.13% 3.27% 4.29%
ICE BofA 1-3 Year U.S. Corporate Index 3.41% 4.44% 3.47% 2.97% 2.57% 3.23%

Calendar Year Returnsas of 08/31/2020

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Gross of Fees 6.05% 1.84% 2.91% 4.64% 1.03% 2.33% 2.23% 7.25% 3.77% 7.10%
Net of Fees 5.84% 1.64% 2.70% 4.39% 0.79% 2.08% 1.99% 7.00% 3.53% 6.84%
ICE BofA 1-3 Year U.S. Corporate Index 5.43% 1.62% 1.91% 2.39% 1.01% 1.19% 1.78% 4.49% 1.76% 4.86%

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