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 08/31/2015

Not Rated

Portfolio Details as of 08/31/2015

Total Net Assets
$789.84 M
Number of Holdings
Average Coupon
Average Life
2.30 Years
Effective Duration
1.87 Years

Portfolio Positioning as of 06/30/2015

  • 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 aided portfolio performance, as inflation expectations increased over the quarter.
  • For the underlying bond portfolio, we maintain a diversified exposure to various credit-sensitive sectors of the market, compared to the benchmark which is comprised entirely of Treasury Inflation-Protected Securities.  Consistent with the past several years, the portfolio maintained only minor exposures to Treasuries and agency securities over the quarter, primarily holding positions in these sectors for liquidity management purposes.
  • In aggregate, we maintain an up in quality bias, and, accordingly, reduced the portfolio’s risk exposure over the quarter.  The primary shift in the portfolio was a rotation from high-yield corporate bonds, which had performed strongly over the previous several months, into high-grade corporates.  This served to help reduce the overall portfolio risk exposure, while simultaneously adding exposure to a sector, which, in our view, represents more attractive relative value due to recent underperformance. 
  • The portfolio’s significant allocation to commercial mortgage-backed securities was reduced slightly over the quarter, as valuations richened relative to other opportunities; however, we maintain a positive outlook for the commercial real estate sector 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 add to the sector in a diversified manner, focusing on higher-quality securities, which is consistent with the aforementioned up in quality bias.
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