Investment Grade Corporate
ABS
High Yield Corporate
Currency
MBS
U.S. Government Related
CMBS
Bank Loans
Other
Cash
Less than 1 year
1-2.99 years
3-4.99 years
5-6.99 years
7-9.99 years
Greater than 10 years

Credit Quality Distribution as of 03/31/2016

U.S. Treasury
Agency
AAA
AA
A
BBB
<BBB
Not Rated

Portfolio Details as of 03/31/2016

Total Net Assets
$1.79 B
Number of Issues
554
Average Coupon
5.23%
Average Life
9.3 Years
Average Effective Duration
5.65 Years

Portfolio Positioning as of 03/31/2016

  • The portfolio maintains its diversified exposure to various credit-sensitive sectors of the market, with only minor exposures to Treasury and agency securities over the quarter, primarily holding positions in these sectors for liquidity-management purposes.
  • Although most fixed-income sectors posted positive returns over the quarter, heightened levels of volatility provided opportunities to rotate tactically during the period. Specifically, as spreads widened through the first half of the period, we increased the portfolio’s allocation to credit-sensitive sectors. As risk assets rallied in late February and March, we reduced risk within the portfolio primarily by reducing the allocation to investment grade corporates.
  • Similarly, within high yield corporates, we increased the portfolio’s overweight allocation in the first half of the period, as valuations become increasingly attractive. We reduced the overweight allocation in the latter half of the period, as spreads tightened in March.
  • As we reduced the portfolio’s corporate exposure, we increased allocations in commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS), given their U.S. focus, strong fundamentals, and favorable valuations.
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $11,638,165
Argentine Peso Long 05/31/2016 $3,196,203
Argentine Peso Long 03/17/2016 $3,227,848
Argentine Peso Long 03/17/2016 $3,461,139
Argentine Peso Short 03/17/2016 $-1,189,873
Argentine Peso Short 03/17/2016 $-746,835
Argentine Peso Long 03/10/2016 $2,472,848
Argentine Peso Long 03/10/2016 $1,216,835
Argentine Peso Long 03/02/2016 $2,444,241
Argentine Peso Long 03/02/2016 $1,244,873
Argentine Peso Short 03/02/2016 $-3,689,114
Australian Dollar Total Contracts: $-1,762,964
Australian Dollar Short 03/10/2016 $-1,905,714
Australian Dollar Long 03/10/2016 $142,750
Baht Total Contracts: $9,679,765
Baht Long 04/12/2016 $4,883,526
Baht Long 03/10/2016 $5,955,375
Baht Long 03/10/2016 $4,195,903
Baht Short 03/10/2016 $-4,771,261
Baht Short 03/10/2016 $-583,778
Brazilian Real Total Contracts: $8,443,426
Brazilian Real Long 04/13/2016 $6,021,591
Brazilian Real Long 03/10/2016 $3,031,963
Brazilian Real Short 03/10/2016 $-280,161
Brazilian Real Short 03/10/2016 $-329,967
Chilean Peso Total Contracts: $11,938,803
Chilean Peso Short 03/10/2016 $-294,171
Chilean Peso Short 03/10/2016 $-402,024
Chilean Peso Long 03/10/2016 $5,510,323
Chilean Peso Long 03/10/2016 $1,614,352
Chilean Peso Long 03/10/2016 $5,510,323
Colombian Peso Total Contracts: $12,707,235
Colombian Peso Long 05/12/2016 $4,132,632
Colombian Peso Long 03/10/2016 $1,965,431
Colombian Peso Long 03/10/2016 $6,609,172
Euro Total Contracts: $-3,670,424
Euro Short 05/16/2016 $-1,255,385
Euro Short 04/13/2016 $-2,415,039
Forint Total Contracts: $12,740,475
Forint Long 05/12/2016 $3,139,517
Forint Long 04/13/2016 $9,085,306
Forint Long 03/10/2016 $515,652
Indian Rupee Total Contracts: $15,546,948
Indian Rupee Long 05/12/2016 $5,626,598
Indian Rupee Long 04/13/2016 $4,004,384
Indian Rupee Long 03/10/2016 $5,915,966
Malaysian Ringgit Total Contracts: $-2,211,653
Malaysian Ringgit Short 04/13/2016 $-2,387,634
Malaysian Ringgit Long 04/13/2016 $175,981
Mexican Peso Total Contracts: $12,663,265
Mexican Peso Long 05/12/2016 $141,202
Mexican Peso Long 05/12/2016 $6,602,317
Mexican Peso Long 04/13/2016 $4,412,576
Mexican Peso Long 03/10/2016 $1,806,674
Mexican Peso Short 03/10/2016 $-299,504
New Taiwan Dollar Total Contracts: $-3,966,057
New Taiwan Dollar Short 03/10/2016 $-4,176,697
New Taiwan Dollar Long 03/10/2016 $210,640
Philippine Peso Total Contracts: $16,719,240
Philippine Peso Long 05/12/2016 $1,451,104
Philippine Peso Long 04/13/2016 $4,542,586
Philippine Peso Long 04/13/2016 $8,895,897
Philippine Peso Short 03/10/2016 $-389,064
Philippine Peso Long 03/10/2016 $2,218,717
Pound Sterling Total Contracts: $-7,147,132
Pound Sterling Short 04/19/2016 $-2,387,017
Pound Sterling Long 03/11/2016 $194,859
Pound Sterling Short 03/11/2016 $-4,954,974
Rand Total Contracts: $10,358,898
Rand Long 04/13/2016 $6,711,620
Rand Short 03/10/2016 $-371,817
Rand Long 03/10/2016 $4,474,414
Rand Short 03/10/2016 $-455,319
Rupiah Total Contracts: $13,764,755
Rupiah Long 05/12/2016 $2,774,338
Rupiah Long 05/12/2016 $195,176
Rupiah Long 04/13/2016 $2,078,884
Rupiah Short 03/10/2016 $-406,803
Rupiah Long 03/10/2016 $9,123,160
Russian Ruble Total Contracts: $13,031,470
Russian Ruble Long 05/12/2016 $1,420,794
Russian Ruble Long 05/12/2016 $159,341
Russian Ruble Long 04/13/2016 $4,541,230
Russian Ruble Short 03/10/2016 $-406,321
Russian Ruble Long 03/10/2016 $7,316,426
Singapore Dollar Total Contracts: $-2,631,579
Singapore Dollar Short 05/12/2016 $-2,631,579
Turkish Lira Total Contracts: $14,053,253
Turkish Lira Long 05/12/2016 $5,446,605
Turkish Lira Long 04/13/2016 $6,846,197
Turkish Lira Long 03/10/2016 $1,760,451
Won Total Contracts: $15,405,876
Won Long 05/12/2016 $123,336
Won Long 05/12/2016 $3,048,422
Won Long 05/12/2016 $2,409,628
Won Long 04/14/2016 $2,692,638
Won Long 03/10/2016 $3,396,120
Won Long 03/10/2016 $3,735,732
Yen Total Contracts: $-1,762,229
Yen Short 05/12/2016 $-1,762,229
Zloty Total Contracts: $13,893,756
Zloty Long 05/12/2016 $1,702,298
Zloty Long 05/12/2016 $4,380,914
Zloty Long 04/13/2016 $7,097,081
Zloty Long 03/10/2016 $713,463
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