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Investment Approach

Intermediate Aggregate Fixed Income offers a multi-sector portfolio of high-quality securities that strives to take advantage of opportunities within the general risk parameters of the benchmark. The team emphasizes assessing risk at the portfolio level: this holistic approach focuses on correlations between sectors, positioning within the capital structure, and overall interest rate sensitivity. We combine this philosophy with bottom-up independent research of each opportunity and diversification with the goal of reducing risk and cushioning volatility.

Distinguishing Features

  • Experienced investment team, with key managers averaging more than 20 years in the industry, focused on long-term, risk-adjusted total return
  • High-quality portfolios focused on capturing relative value opportunities by emphasizing sector rotation and security selection based on experienced research and trading professionals
  • Clear focus on evaluating potential returns against risk — incorporating detailed deconstruction of benchmark risks is part of our integrated risk management across asset classes

Investment Process

The Intermediate Aggregate Fixed Income team constructs its portfolio using the following approach

Deconstruct portfolio benchmark

Break benchmark into return components and characteristics

Identify relative value

Utilize proprietary and outside analytics to apply quantitative and fundamental approaches to relative value

Multiple levers to generate alpha:

  • Sector rotation
  • Security selection
  • Yield curve & duration management
  • Capital structure positioning
Construct portfolio

Through proprietary modelling, we measure portfolio risk across sectors and down to the security level. Investment strategies are implemented according to each client’s guidelines.

Monitor portfolio and manage risk

Monitor adherence to portfolio risk limits relative to benchmark and client guidelines.

  • Monthly surveillance of collateral on structured credits
  • Relative credit exposure monitored to subsector and issuers by yield and quality
  • Rebalance as necessary