Core Plus Bond

Overview

The Strategy typically invests in U.S. investment-grade fixed income instruments.

Strategy Inception Date
April 15, 1998
Composite Inception Date
December 31, 2007
Composite AUM
(as of 07/31/2019)
$2.20 BN
Composite Benchmark
Bloomberg Barclays US Aggregate Bond Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Calendar Year Returns
as of 07/31/2019
as of 06/30/2019

Cumulative
Annualized
ytd as of 2019-06-30
1 yr 3 yr 5 yr 10 yr since inception
Core Plus Bond (gross of fees)
7.39% 8.94% 3.53% 3.86% 6.90% 1.72%
Core Plus Bond (net of fees)
7.27% 8.68% 3.28% 3.61% 6.65% 1.48%
Bloomberg Barclays US Aggregate Bond Index
6.11% 7.87% 2.31% 2.95% 3.90% 4.01%
Cumulative
Annualized
ytd as of 2019-07-31
1 yr 3 yr 5 yr 10 yr since inception
Core Plus Bond (gross of fees)
7.73% 8.73% 3.20% 3.97% 6.53% 1.74%
Core Plus Bond (net of fees)
7.58% 8.47% 2.96% 3.72% 6.28% 1.49%
Bloomberg Barclays US Aggregate Bond Index
6.35% 8.08% 2.17% 3.05% 3.75% 4.00%

Year Core Plus Bond (gross of fees) Core Plus Bond (net of fees) Bloomberg Barclays US Aggregate Bond Index
2008 -35.93% -36.09% 5.24%
2009 8.98% 8.72% 5.93%
2010 12.28% 12.01% 6.54%
2011 8.66% 8.40% 7.84%
2012 10.95% 10.69% 4.21%
2013 0.71% 0.47% -2.02%
2014 7.86% 7.60% 5.97%
2015 1.50% 1.26% 0.55%
2016 3.76% 3.51% 2.65%
2017 5.19% 4.94% 3.54%
2018 -0.37% -0.61% 0.01%
Portfolio

Top Fixed Income Sectors

(100.0% of assets as of 07/31/2019)


Portfolio Holdings Breakdown

Country
Developed Markets
Credit Rating Allocation
Country Core Plus Bond Bloomberg Barclays US Aggregate Bond Index Overweight / Underweight
United States 82.6% 91.9% -9.3%
United Kingdom 3.0% 1.2% 1.9%
Canada 1.4% 1.1% 0.2%
France 1.1% 0.2% 0.9%
Germany 1.1% 0.6% 0.5%
Switzerland 0.8% 0.1% 0.6%
Netherlands 0.7% 0.4% 0.3%
Ireland 0.4% 0.0% 0.3%
Australia 0.4% 0.2% 0.2%
Japan 0.4% 0.7% -0.3%
Portugal 0.2% - -
Spain 0.2% 0.1% 0.1%
Belgium 0.2% 0.0% 0.2%
Italy 0.2% 0.0% 0.2%
Hong Kong 0.2% - -
Sweden 0.1% 0.1% 0.0%
Guernsey 0.1% 0.0% 0.1%
Luxembourg 0.1% 0.0% 0.1%
Bermuda 0.1% 0.0% 0.1%
Norway 0.1% 0.1% 0.1%
Developed Markets Core Plus Bond Bloomberg Barclays US Aggregate Bond Index Overweight / Underweight
Americas 84.1% 93.1% -9.0%
Europe 8.3% 2.9% 5.4%
Asia Pacific 1.1% 0.9% 0.2%
Credit Rating Allocation Core Plus Bond Bloomberg Barclays US Aggregate Bond Index Overweight / Underweight
Agency 25.1% 28.4% -3.3%
AAA 10.6% 4.5% 6.1%
AA 6.6% 4.9% 1.7%
A 19.2% 12.6% 6.6%
BBB 33.2% 9.7% 23.5%
BB 1.9% - -
B 0.1% - -
CCC 0.3% - -
D 0.3% - -
Unrated 0.5% 0.3% 0.2%
Other -4.3% - -
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
1.06
1.08
Beta
0.91
0.91
Information Ratio
1.11
1.00
R-Squared
90.07
89.77
Sharpe Ratio
0.60
1.07
Standard Deviation
2.90
2.82
Sortino Ratio
0.92
1.87
Tracking Error
0.93
0.93
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Maturity
2.82%
2.52%
Yield to Worst
2.59%
2.51%
Average Effective Maturity
5.13 yrs
2.51 yrs
Current Duration
5.64 yrs
5.66 yrs
Average Coupon
3.78%
-
Convexity
-0.1
0.1
Option Adjusted Spread
81 bps
41 bps
Turnover Ratio
64%
-
Team

    The Composite gross-of-fee returns reflect the reinvestment of income and the impact of transaction costs, but do not include the deduction of investment advisory fees, distribution expenses or any other account expenses, such as custodial fees. Composite net-of-fee returns are calculated by deducting a model investment advisory fee (using the maximum investment advisory fee as determined by the product's fee schedule) from the Composite gross-of-fee returns. Annual fees for the Core Plus Bond product are 0.25% on the first $250 million under management, 0.23% on the next $250 million, and 0.20% on any additional amount. Actual fees may vary depending on, among other things, the vehicle type, applicable fee schedule and portfolio size. While actual portfolios incur transaction expenses, pay investment advisory fees, and may incur other account expenses, the benchmark index is shown without the impact of such charges.

  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
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