Securitized Total Return Strategy

The strategy emphasizes moderate risk opportunities in non-index sectors. Management employs a fundamental, relative-value approach that seeks alpha by strategically allocating between two sources: sector allocation and security selection. A focus on non-index sectors typically provides for more stable duration and higher yield than traditional MBS-oriented strategies. Management favors longer holding periods, which can enable the realization of the yield advantage over the benchmark.

Relative value focus emphasizing moderate risk opportunities in non-index sectors
More stable duration and higher yield than traditional MBS-oriented strategies
Longer holding periods enable realization of yield advantage

Securitized Total Return Commentary (PDF)

Securitized Total Return Fact Sheet (PDF)

Securitized, Investment Grade

STYLE

Bloomberg US Mortgage Backed Securities Index

BENCHMARK

January 1, 2005

INCEPTION DATE

$1.2 Billion

ASSETS UNDER MANAGEMENT

As of 09/30/2025

US Securitized Fixed Income – Mortgage

EVESTMENT UNIVERSE

Separate Account

INVESTMENT VEHICLE

Philosophy

We believe Securitized products offer a superior risk/return profile versus competing fixed income assets. Securitized products tend to have complex structures and uncertain cash flows, offering potential for inefficient markets and attractive risk-adjusted returns. Strong front-end due diligence and back-end surveillance processes are necessary to navigate markets and manage risk. Sector complexity fosters a smaller yet sophisticated investor base, resulting in a favorable market dynamic and volatility profile over time. Emphasizing the income component of return and focusing on high spread/shorter spread duration securities supports fundamental investing with a longer-term horizon.