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Extended Duration Fixed Income

In our Extended Duration strategy, we invest in U.S government bonds, primarily U.S. Treasury strips.

Strategy Summary
Asset Class U.S. Fixed Income
Investment Style Bottom-Up Security Selection
Portfolio Benchmark: Barclays US Treasury Strips 20+
Portfolio Assets $271 MM as of 12/31/2016
Separate Account Open

Investment Process

BHMS' Extended Duration Fixed Income strategy seeks to provide maximum long-term total return, consistent with prudent risk of principal, by investing primarily in U.S. government bonds. The strategy seeks to outperform the Barclays Capital U.S. Treasury Strips 20+ Index over complete market cycles. We believe that by investing in undervalued securities, as determined by quantitative models, the strategy will generate above-average returns over the long term.

BHMS' investment process begins with an analysis of the relative returns available in long duration U.S. government bonds. BHMS utilizes a Relative Value Model to identify specific opportunities by comparing the potential return of all long duration U.S. government bonds should their current yield to maturity reach equilibrium to a fitted yield curve. We also employ a Horizon Return Analysis that quantifies the potential return from "rolling" down the yield curve.

We do not attempt to time the direction of interest rates through active duration management strategies, as it is our contention that to do so assumes an undue level of risk and volatility that is not consistently rewarded. Our duration target is maintained within plus or minus 5% of the benchmark index.

BHMS optimizes portfolios using quantitative tools including scenario forecasting and "stress-testing" to determine the probability that a given portfolio structure will produce superior returns over a broad range of potential market environments.

Portfolio Characteristics as of 12/31/2016

  Portfolio Benchmark1
Average Credit Quality AA+ AA+
Average Weighted Coupon 0.00 0.00
Average Maturity 25.40 25.49
Effective Duration (yrs) 26.74 26.53
Yield to Maturity 3.17 3.14
Current Yield 0.00 0.00
1Barclays US Treasury Strips 20+
Performance as of 12/31/2016
Annualized Portfolio Returns (%)

*3 Month returns are not annualized.
**Inception Date: 10/1/2007

Disclosure

Barrow Hanley's returns are shown before investment management fees and custody expenses. Index returns do not reflect transaction costs, management fees, and other expenses. Performance is expressed in U.S. currency. Characteristics are presented as supplemental information to the BHMS Extended Duration Fixed Income composite. A full disclosure presentation may be accessed from the link above. Barrow, Hanley, Mewhinney & Strauss, LLC claims compliance with the Global Investment Performance Standards (GIPS®).

All institutional product information has been provided by Barrow, Hanley, Mewhinney & Strauss, LLC. Any questions about this material or requests for additional information may be made directly to the firm from the "Contact Us" link above.

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