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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
