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PROCESS
Screening and Analysis
We screen the investment grade universe for corporate bonds, taxable municipal bonds, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities that meet our standards. We also conduct labor-friendly screening and socially responsible screening of securities as well. In our security analysis, corporate bonds are subjected to a fundamental analysis of financial statements and an in-depth proprietary analysis. We also conduct a valuation of the entire capital structure for corporate bonds, as well as a credit review in our weekly research meetings. Structured securities are subjected to model cash flows and stress-test prepayment assumptions under multiple scenarios.
Security selection
Our Core Fixed Income strategy security selection includes: |
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• Higher current yield than benchmark
• Shorter maturities
• Stable fundamentals
• Long holding period
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10-30% Expected Ratings Upgrades
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• Rapidly improving fundamentals
• Identifiable catalysts
• Intermediate holding period
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• Special situations
• Industry consolidations
• Intermediate holding period
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• Mispriced security
• Liquidity imbalance
• Short holding period
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Acquisition and Disposition
The relative value analysis for the Core Fixed Income strategy is based on our proprietary spread data, and a robust fixed income analytic infrastructure. Our investment committee oversees the portfolio strategy, and reviews portfolio structure. The portfolio manager makes the final decision for security acquisition.
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