SCM's All-Weather Bond Strategy is a multi-sector strategy that uses a best ideas approach to capture a broader opportunity set than traditional Core Plus strategies.
Portfolio Characteristics
Portfolio
Barclays Agg
Weighted Average Price
101.77
104.12
Coupon*
4.34%
4.57%
Yield to Maturity
3.13%
3.47%
Yield to Worst
3.01%
3.47%
Option Adjusted Duration
4.60
4.68
Weighted Average Life
5.74
6.91
Option Adjusted Spread
65.87
50.94
Moody's Rating
Aa2
Aa3
S&P Rating
AA
A
Source: Barclays Capital *Average coupon excludes cash equivalents
Top Credit Issuers in Portfolio
% of Portfolio
General Electric Capital Corp
1.1%
Freeport-McMoRan Copper & Gold Inc
1.1%
Citigroup Inc
1.0%
Shell International Finance BV
0.9%
Kraft Foods Inc
0.9%
Dow Chemical Co/The
0.8%
Morgan Stanley
0.8%
Sprint Capital Corp
0.8%
Barclays Bank PLC
0.8%
Bank of America Corp
0.8%
Percentages reflect only credit issues with maturity of one year or greater
Sector Weightings
% of Portfolio
Barclays Agg
Treasury
39.4%
29.5%
Agency
0.0%
8.4%
Corporate Investment Grade
19.2%
18.5%
Non-Corporate Investment Grade
0.0%
4.4%
High Yield
4.2%
0.0%
Mortgage Backed Securities (MBS)
29.1%
38.9%
Asset-Backed Securities (ABS)
1.4%
0.4%
Collateralized Mortgage Obligations (CMO)
0.8%
0.0%
Cash
6.0%
0.0%
Source: Barclays Capital Totals may not add up to 100% due to rounding.
Sector Weightings
Source: Barclays Capital Totals may not add up to 100% due to rounding.
Quality Breakdown
% of Portfolio
Barclays Agg
Aaa
72.7%
78.2%
Aa
6.3%
4.3%
A
9.1%
9.5%
Baa
8.6%
8.1%
Ba
2.6%
0.0%
B
0.8%
0.0%
<B
0.0%
0.0%
NR
0.0%
0.0%
Source: Barclays Capital SCM Composite Ratings Totals may not add up to 100% due to rounding.
