Fixed Income Management
|Asset Class||U.S. Fixed Income|
|Investment Style||Bottom-Up Security Selection|
|Portfolio Benchmark:||Bloomberg Barclays US TIPS Index|
When the "Real Yield," as reflected in TIPS is higher than that implied in the Treasury Coupon market, valuations suggest an opportunity to overweight longer maturity TIPS holdings versus shorter maturities. In such instances, BHMS may consider positioning the TIPS portfolio duration marginally longer than that of the Index.
When the "Real Yield" is below that implied in the Treasury Coupon market, valuations suggest a strategy to overweight shorter maturity issues. In such instances, BHMS may position the TIPS portfolio duration marginally shorter than that of the Index.
The "Yield Beta" (volatility of yield) is lower for TIPS versus the Treasury Coupon market, creating the basis for arbitrage opportunities among various TIPS issues. BHMS utilizes its "value" disciplines to exploit these opportunities through active management and individual security selection decisions to add incremental total return.
Portfolio Characteristics as of 9/30/2019
|Average Credit Quality||AA+||AA+|
|Average Weighted Coupon||1.75||0.75|
|Effective Duration (yrs)||4.26||4.95|
|Yield to Maturity||2.13||2.05|
|Performance as of 9/30/2019|
|Annualized Portfolio Returns (%)|
*3 Month returns are not annualized.
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. Net-of-fee returns are calculated using a model fee. The model fee is based on a $100 million portfolio using our standard fee schedule.
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