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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-Investment Grade
STYLE
Bloomberg U.S. Mortgage Backed Securities Index
BENCHMARK
Dec. 31, 2004
INCEPTION

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.

Portfolio Construction

  • Emphasize non-index, investment grade securities
  • Focus on income component of return
  • Emphasize risk premium relative to default risk
  • Model securities using proprietary and industry standard resources
  • Number of issues: Typically 100-200
  • Duration: Typically Benchmark +/- 1.0 years
  • Below IG: Typically <5%
  • Non-U.S.: Typically <5%
     

Strategy Facts

As of 3/31/2022
 Assets Under Management
$10.7 billion
 eVestment Universe U.S. Securitized Fixed Income - Mortgage
 Investment Vehicles Separate Account

Management

Brent Miller

Brent A. Miller, CFA

Vice President, Senior Portfolio Manager Structured Products

Career Summary
Integrity Companies

Education 
BS - University of Evansville

Meet Brent Miller
Scott Weston

Scott D. Weston

Managing Director, Senior Portfolio Manager

Career Summary
Countrywide Investments
Midwest Group of Funds

Education 
BA - University of Utah
MBA - University of Cincinnati

Meet Scott Weston

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IMPORTANT DISCLOSURES
Past performance is not indicative of future results.