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.
| Inception Date | January 1, 1996 |
| Assets Under Management (in millions) | $725.20 |
| Investment Style | Core |
| Maturity | Intermediate (5 to 10 years) |
| Decision Making | Sector/Spread Analysis |
| Benchmark | Barclays Capital U.S. Aggregate Bond Index |
| Core Investment Grade Fixed Income | Barclays Capital U.S. Aggregate Bond Index | |
|---|---|---|
| Average Credit Quality | Aa3 | Aa1 |
| Duration | 6.0 yrs | 6.1 yrs |
| Current Yield | 2.8% | 2.6% |
| Number of Holdings | 128 | 11912 |
| Average Turnover | 57.2% | N/A |
| Sharpe Ratio | 1.5 | N/A |
| 10 Yr Annualized Standard Deviation | 2.6% | 3.0% |
| Alpha | 1.1% | N/A |
| Beta | 0.8 | 1.00 |
| Core Investment Grade Fixed Income | Barclays Capital U.S. Aggregate Bond Index | |
|---|---|---|
| Governments | 15.70 | 39.00 |
| Asset-Backed | 6.10 | 0.40 |
| Mortgage-Backed | 19.20 | 29.10 |
| Corporates | 35.90 | 30.70 |
| Taxable Municipals | 19.60 | 0.90 |
| Cash | 2.50 | 0.00 |