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Ultra Short Duration Strategy

The strategy seeks maximum total return consistent with the preservation of capital. Interest rate risk is managed by maintaining an effective duration of one year or less under normal market conditions.

  • 25+ year track record
  • Higher-quality (Investment Grade), high cash flow bonds with an emphasis on complexity premium
  • Buy and hold approach with an emphasis on structured securities
  • Seeks to keep duration less than a year, which reduces duration risk compared to longer duration portfolios
  • Competitive performance versus peers and benchmark1

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Securitized

STYLE

ICE BofA 3-Month US Treasury Bill

BENCHMARK

January 1, 1995

INCEPTION

$852 Million

ASSETS UNDER MANAGEMENT

As of 9/30/2024

US Enhanced Cash Management

EVESTMENT UNIVERSE

Separate Account

Mutual Fund

ETF

INVESTMENT VEHICLES

Philosophy

The team views the Ultra Short Duration strategy as an extension of the money market sector, offering the potential for additional returns in exchange for a modest degree of price volatility. Its buy and hold approach produces a portfolio with significant first-year cash flows, and an overriding goal to maximize reinvestment opportunities and reduce price volatility. The strategy's multi-sector approach emphasizes structured products, which historically have produced high alpha and Sharpe ratios through interest rate and credit cycles. The strategy leverages the firm's sector specialists as well as advanced evaluation and risk management capabilities in these increasingly complex markets.

Portfolio Construction

  • Invests primarily in investment grade cash bonds and cash 
  • U.S. dollar-denominated securities with Yankee bond exposure typically below 10%
  • Maximum of 5% in any one issuer
  • Maximum of 25% in any one industry 
  • Duration must be less than 1 year

Management Team

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
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
photo of Laura Mayfield

Laura L. Mayfield

Assistant Vice President, Senior Portfolio Manager

Career Summary
Western & Southern Life Assurance Company

Education
BA - Olivet Nazarene University
MBA - Xavier University

Meet Laura Mayfield
Richard Schneider

Richard V. Schneider

Vice President, Senior Portfolio Manager Structured Products

Career Summary
Mesirow Financial
Loop Capital Markets
Lehman Brothers Asset Management
Lincoln Capital Management

Education
MBA - University of Notre Dame
BS - University of Notre Dame

Meet Richard Schneider

Connect with Fort Washington

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Related Insights

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At the core of Fort Washington's risk management framework is the use of a risk budget. Our risk budgeting process is made more efficient and consistent through our measure of credit risk, Index Equivalent Spread Duration.

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The significance of risk management at Fort Washington drove the development of our proprietary credit risk metric, Index Equivalent Spread Duration (IESD). This piece explores how Fort Washington integrates IESD into its risk management framework to enhance portfolio performance and mitigate credit risk effectively.

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An Innovative Approach to Measuring Spread Risk
Index Equivalent Spread Duration adjusts for two effects not addressed by spread duration—the tendency of riskier bonds to experience larger spread moves and the tendency of short maturity bonds to demonstrate more spread volatility than long maturity bonds. This piece explores how Fort Washington captures these effects by applying a spread and maturity beta to a bond’s spread duration.

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IMPORTANT DISCLOSURES
Past performance is not indicative of future results.