Designed for Above-Benchmark Expected Returns
Our portfolio structuring process is designed with the goal of providing above-benchmark expected returns over a range of interest rate scenarios. We actively manage yield curve structure and sector allocation while maintaining duration close to the benchmark. Our proprietary, quantitative Horizon Analysis Model enables our investment team to analyze various yield curve structures and sector allocations across numerous interest rate and yield curve scenarios.
Establishing Portfolio Duration
We constrain duration within a narrow band around the appropriate benchmark. Operating within such a band affords us the opportunity to potentially enhance portfolio returns by changing durations slightly over a market cycle, while still controlling the risk of interest rate exposure within the portfolio.
Sector Allocation
The allocation process entails over-weighting sectors that offer greater potential opportunity for expected return based on our analysis of yield spreads and current market conditions.
Term Structure
We adjust the placement of investments along the yield curve to emphasize the areas with the greatest potential for excess returns.
Security Selection
The security selection process employs rigorous quantitative and qualitative tools to determine relative value as well as early detection of weak and deteriorating credits. The process leads to issuers that we believe are undervalued and offer the greatest potential for risk-adjusted returns.
