We seek to exploit market opportunities that exist within the structured product bond market, focusing on issue selection within our macro sector outlook. We believe that the mortgage-backed and asset-backed securities market is inherently inefficient, and that the degree of inefficiency changes with the broader market conditions. The complexity and diversity of the instruments, combined with the different objectives and goals of the participants, tends to create persistent market inefficiencies and attractive investment opportunities. These inefficiencies can be opportunistically exploited through an investment process that focuses on relative value within the investable universe.
- Deep and stable team averaging 16 years of industry experience
- Intensive, independent proprietary research: proprietary process resulting in a deep understanding of issuer and industry dynamics
- Portfolio managers & analysts work together on decision-making and portfolio construction, fostering a collaborative environment that allows the Team’s best investment ideas to emerge.
- Downside Risk Management: Quantitative risk controls and qualitative risk assessments seek to minimize portfolio relative volatility.
- Excellent historical long term track record
Investment ProcessDevelop Macro Thesis
- Development of a macro thesis through a top-down assessment of various housing and economic metrics to provide a framework for our portfolio contstruction
- Filter Mortgage Backed Securities opportunity set to 300-500 holdings
- Analysts and portfolio managers collaborate on decision-making
- Multiple prepayment models are used to examine the cash flow profile under numerous interest rate, HPA, and policy (HARP) shocks, both instantaneously and over extended time horizons
- Independent proprietary risk rating system and relative value analysis
- Modeled within numerous industry prepayment models and stress tested under various instantaneous and horizon interest rate shock scenarios
- Actively reviewed as valuations and economic inputs change to consider possible purchase or sales candidate