Investment Grade Corporate
High Yield Corporate
Government Related
Less than 1 yr
1-3 yrs
3-5 yrs
5-7 yrs
7-10 yrs
10-20 yrs

Credit Quality Distribution as of 10/30/2015

Not Rated

Portfolio Details as of 10/30/2015

Total Net Assets
$742.29 M
Number of Holdings
Average Coupon
Average Life
2.42 Years
Effective Duration
1.81 Years

Portfolio Positioning as of 09/30/2015

  • The portfolio combines a short-term bond strategy with an overlay of Consumer Price Index (CPI) swaps in order to hedge against inflation over a full market cycle. CPI swaps, however, detracted from portfolio performance, as inflation expectations declined over the quarter.
  • The portfolio maintains its diversified exposure to various credit-sensitive sectors of the market, above and beyond the corporate bonds represented in the benchmark, the BofA Merrill Lynch 1-3 Year U.S. Corporate Index.  Consistent with the past several years, the portfolio maintained only minor exposures to Treasury and agency securities over the quarter, primarily holding positions in these sectors for liquidity management purposes.
  • Although we broadly maintained our up-in-quality bias, we slightly increased the portfolio’s risk exposure as valuations cheapened early in the quarter.  This adjustment was made primarily in the portfolio’s high-yield positions, where we found attractive valuations as a result of widening spreads.
  • The portfolio’s allocation to commercial mortgage-backed securities was reduced slightly over the quarter, as the sector outperformed relative to other opportunities, particularly in the high-grade corporate sector. We do, however, maintain a positive outlook for the commercial real estate sector, particularly within single-borrower assets, and the yield advantage presented therein.
  • The asset-backed securities sector continues to present unique opportunities for us to find pockets of relative value and attractive risk-adjusted spread.  We continue to focus on higher-quality securities owing to their more liquid nature and have opportunistically added to slightly longer maturities as spreads have become more attractive. 
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