Senior Loans

Overview

The Strategy typically invests in senior loans.

Strategy Inception Date
September 8, 1999
Composite Inception Date
December 31, 2007
Composite AUM
(as of 07/31/2019)
$11.90 BN
Composite Benchmark
J.P. Morgan Leveraged Loan 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
Senior Loans (gross of fees)
4.71% 2.70% 5.92% 4.23% 7.28% 5.35%
Senior Loans (net of fees)
4.46% 2.21% 5.42% 3.73% 6.77% 4.84%
J.P. Morgan Leveraged Loan Index
5.58% 4.29% 5.40% 4.13% 6.40% 4.97%
Cumulative
Annualized
ytd as of 2019-07-31
1 yr 3 yr 5 yr 10 yr since inception
Senior Loans (gross of fees)
4.59% 1.62% 5.33% 4.16% 6.89% 5.29%
Senior Loans (net of fees)
4.30% 1.13% 4.83% 3.66% 6.38% 4.79%
J.P. Morgan Leveraged Loan Index
6.47% 4.34% 5.21% 4.29% 6.02% 5.00%

Year Senior Loans (gross of fees) Senior Loans (net of fees) J.P. Morgan Leveraged Loan Index
2008 -28.41% -28.77% -29.51%
2009 44.31% 43.64% 51.78%
2010 13.82% 13.28% 10.12%
2011 3.59% 3.09% 1.81%
2012 9.85% 9.33% 9.96%
2013 7.78% 7.26% 5.60%
2014 1.66% 1.17% 2.05%
2015 -0.95% -1.42% 0.54%
2016 13.88% 13.34% 9.78%
2017 4.89% 4.39% 4.25%
2018 0.20% -0.28% 1.08%
Portfolio

Top Industries

(93.7% of assets as of 07/31/2019)


Portfolio Holdings Breakdown

Asset Allocation
Credit Rating Allocation
Asset Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
Senior Loans 88.2% 100.0% -11.8%
Equity 4.1% - -
Corporate Bonds 2.5% - -
Credit Rating Allocation Senior Loans J.P. Morgan Leveraged Loan Index Overweight / Underweight
BBB 1.9% 8.7% -6.8%
BB 30.6% 29.7% 1.0%
B 49.5% 50.5% -1.0%
CCC 4.0% 1.8% 2.2%
CC 0.2% 0.0% 0.2%
D 0.2% - -
Unrated 4.2% 9.4% -5.2%
Other 4.1% - -
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
-0.34
-0.68
Beta
1.13
1.17
Information Ratio
0.10
-0.12
R-Squared
86.77
91.13
Sharpe Ratio
1.18
0.92
Standard Deviation
3.10
3.46
Sortino Ratio
1.94
1.64
Tracking Error
1.21
1.15
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Worst
8.13%
6.39%
Average Effective Maturity
4.35 yrs
5.10 yrs
Current Duration
0.27 yrs
-
Average Coupon
5.53%
-
Effective Coupon
5.53%
-
Effective Discount Margin
550 bps
387 bps
Loan Average Price
$95.87
$97.32
Turnover Ratio
66%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
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