Portfolio Guidelines

The Fund generally invests at least 80% of its assets in a diversified portfolio of investment grade, fixed income securities and may invest a significant portion or all of its assets in mortgage-related and mortgage-backed securities. The Fund will typically maintain an average portfolio duration within 20% of the duration of the Bloomberg Barclays U.S. Aggregate Index.

Sector Allocation
As Of March 31, 2017

Core Bond Fund Bloomberg Barclays
U.S. Aggregate Index
Treasury 17.6% 36.6%
Agency 2.0 3.7
Agency RMBS/CMBS1 27.7 29.2
Asset-Backed Securities 17.3 0.5
Non-Agency RMBS/CMBS1 11.9 1.1
Corporate Credit 20.2 25.1
Non-Corporate Credit 0.0 3.8
Cash & Other2 3.2 0.0

Duration Breakdown
As Of March 31, 2017

Core Bond
Fund
Bloomberg Barclays
U.S. Aggregate Index
Less than one 13.7% 0.2%
1-3 17.5 21.9
3-5 15.7 31.6
5-7 21.0 24.0
7-10 22.0 8.8
10-20 9.1 12.6
20+ 0.7 0.9
Not applicable 0.2 0.0

Credit Quality3
As Of March 31, 2017

QUALITY RATING Core Bond
Fund
 
AAA 59.4%  
AA 6.5  
A 12.4  
BBB 19.5  
BB 0.0  
B 0.0  
CCC & Below 0.0  
Not Rated 2.1  

The value of fixed-income securities varies inversely with interest rates; as interest rates rise, the market value of fixed-income securities will decline. Lower quality debt (ie: “High Yield”) securities involve greater risk of default or price changes due to potential changes in the issuer’s credit quality. The value of investments in mortgage-related and asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. The securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. They are also subject to prepayment risk, which occurs when mortgage holders refinance or otherwise repay their loans sooner than expected, creating an early return of principal to holders of the loans.

1 Residential Mortgage-Backed Securities/Commercial Mortgage-Backed Securities.

2 Cash & Other may include cash, money market funds, and short duration fixed income funds.

3 Security quality ratings are derived from underlying portfolio securities by using the middle rating of Standard & Poor’s, Moody’s, and Fitch. If only two of Standard & Poor’s, Moody’s, and Fitch rates a security the higher of the two is selected. If only one of Standard & Poor’s, Moody’s, and Fitch rates a security the available rating is used. For securities that are not rated by Standard & Poor’s, Moody’s, or Fitch a rating from a secondary Nationally Recognized Statistical Rating Organization (“NRSRO”) may be used. Ratings by any agency represent an opinion only, not a recommendation to buy or sell. Securities that are not rated by any agencies are reflected as Not Rated “NR”.

4 Distribution yield is the current dividend rate (annualized) received by a shareholder relative to the current value of the investment.

The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index representing the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through, and asset-backed securities. This index does not incur fees and expenses (which would lower the return) and is not available for direct investment.

5 Definitions: Effective Duration measures the interest rate risk of the Fund. It is an estimate of the approximate percentage change in the Fund’s net asset value resulting from a one percentage point change in interest rates. Weighted Average Life is the average number of years each dollar of unpaid principal remains outstanding. Convexity is an estimate of the approximate change in the Fund’s effective duration resulting from a one percentage point change in interest rates. Option-Adjusted Spread is the difference between the portfolio yield and the risk-free rate, accounting for embedded options. Source: The Yield Book. Standard Deviation measures the volatility of the Fund’s returns. Sharpe Ratio uses the Fund’s standard deviation and average excess return over the risk-free ratio to determine reward per unit of risk. Beta measures the Fund’s sensitivity to market movements. R-squared represents the percentage of the portfolio’s movements that can be explained by general market movements. Information Ratio uses the Fund’s standard deviation and excess return over a benchmark to determine excess return per unit of risk. Statistics for less than one year are not annualized.

Since inception risk statistics are calculated using monthly returns beginning on the first day of the Fund’s first full month of performance.
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