Portfolio Construction

Portfolios are constructed with U.S. Government securities. 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.

Portfolio Characteristics

Inception DateOctober 1, 2003
Assets Under Management (in millions)$496.60
Investment StyleCore
MaturityShort-Intermediate (3 to 7 years)
Decision MakingSector/Spread Analysis
BenchmarkBarclays U.S. Int. Govt. Bond Index

Portfolio Statistics as of 3/31/20

Short Intermediate GovernmentBarclays U.S. Int. Govt. Bond Index
Duration3.0 yrs3.8 yrs
Current Yield2.0%2.0%
Number of Holdings65525
Sharpe Ratio1.0N/A
10 Yr Annualized Standard Deviation1.8%2.3%
Alpha0.4%N/A
Beta0.71.00

Sector Diversification as of 3/31/20

Short Intermediate Government
Corporates0.70
Treasury45.00
Agency MBS31.50
Agency Debentures18.50
Cash5.00