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

Credit Quality Distribution as of 05/29/2015

Not Rated

Portfolio Details as of 05/29/2015

Total Net Assets
$856.72 M
Number of Holdings
Average Coupon
Average Life
2.39 Years
Effective Duration
1.95 Years

Portfolio Positioning as of 03/31/2015

  • 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 continued to drag on portfolio performance as inflation expectations remain low around the globe.
  • In keeping with the portfolio’s strategic design, we continue to find relative value opportunities within various credit-sensitive sectors of the market, and maintained only minor exposures to Treasuries and agency securities over the quarter.  Further, given expectations for near-term volatility and less attractive valuations, the portfolio managers modestly lowered the portfolio’s aggregate risk exposure.
  • The bulk of the up-in-quality theme was implemented via the corporate bond sector, as portfolio managers increased the portfolio’s exposure to high grade debt, while modestly reducing high yield corporates.  Additionally, after emerging markets corporate debt outperformed other segments of the fixed income market in the first quarter following a dovish interpretation of Federal Reserve comments by the market, the portfolio’s exposure to this sector was reduced.
  • Also in line with the up-in-quality theme, the portfolio managers continue to find value in AAA rated highly liquid asset-backed securities (ABS), particularly collateralized loan obligations (CLO), which represent attractive risk-adjusted yields in their view.
  • The portfolio’s significant allocation to commercial mortgage-backed securities (CMBS) was reduced slightly over the quarter as valuations continued to tighten.  We maintain a positive outlook for the commercial real estate sector and the yield advantage presented therein.
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