Portfolio Construction

Portfolios are constructed with high-quality; U.S. dollar-denominated securities rated investment grade or better at time of purchase. Primary consideration is given to numerous and diverse value-adding opportunities using duration management, yield curve positioning, sector allocation and security selection. We can and do make major shifts in our sector allocations to take advantage of short-term market conditions.

Duration is closely managed to 75-125 percent of the benchmark, which allows us to take advantage of opportunities while managing volatility. No single, non-government security will be more than 5 percent of the portfolio value at the time of purchase.

Portfolio Characteristics

Inception DateJanuary 1, 1996
Assets Under Management (in millions)$725.20
Investment StyleCore
MaturityIntermediate (5 to 10 years)
Decision MakingSector/Spread Analysis
BenchmarkBarclays Capital U.S. Aggregate Bond Index

Portfolio Statistics as of 6/30/21

Core Investment Grade Fixed IncomeBarclays Capital U.S. Aggregate Bond Index
Average Credit QualityAa3Aa1
Duration6.0 yrs6.1 yrs
Current Yield2.8%2.6%
Number of Holdings12811912
Average Turnover57.2%N/A
Sharpe Ratio1.5N/A
10 Yr Annualized Standard Deviation2.6%3.0%
Alpha1.1%N/A
Beta0.81.00

Sector Diversification as of 6/30/21

Core Investment Grade Fixed IncomeBarclays Capital U.S. Aggregate Bond Index
Governments15.7039.00
Asset-Backed6.100.40
Mortgage-Backed19.2029.10
Corporates35.9030.70
Taxable Municipals19.600.90
Cash2.500.00