Portfolio Guidelines

The portfolio 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 asset-backed, mortgage-related, and mortgage-backed securities. The portfolio may invest up to 20% of its assets in below-investment grade securities at the time of purchase and will typically maintain an average portfolio duration one to two, with a maximum of three.

Sector Allocation
As Of December 31, 2019

Short Duration Total Return Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Treasury 6.6% 67.0%
Agency 0.0 2.9
Agency RMBS/CMBS1 3.4 0.0
Asset-Backed Securities 62.6 0.0
Non-Agency RMBS/CMBS1 18.4 0.0
Corporate Credit 4.9 23.1
Non-Corporate Credit 0.0 7.0
Cash & Other2 4.1 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of December 31, 2019

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Number of Holdings 368 1,600
Yield to Maturity (%) 3.58 1.72
Yield to Worst (%) 3.30 1.71
Effective Duration 1.43 1.87
Weighted Average Life (years) 1.80 1.96
Convexity 0.05 0.02
Option-Adjusted Spread 193 11

This is presented as supplemental information.

Since Inception Risk Statistics
As Of December 31, 2019

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Standard Deviation (%) 0.69 0.95
Sharpe Ratio 3.29 0.25
Beta (%)3 0.54 N/A
R-squared (%)3 49.30 N/A
Information Ratio3 3.23 N/A

This is presented as supplemental information.

Credit Quality4
As Of December 31, 2019

Quality Rating % of Portfolio
AAA 23.8%
AA 6.7
A 22.4
BBB 28.7
BB 10.7
B 3.0
CCC & Lower 0.0
Not Rated 4.6

This is presented as supplemental information.

Duration Breakdown
As Of December 31, 2019

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Less than one 49.7% 1.5%
1-3 39.7 98.5
3-5 8.7 0.0
5-7 1.4 0.0
7-10 0.0 0.0
10-20 0.3 0.0
20+ 0.2 0.0

This is presented as supplemental information.

Key Rate Duration5
As Of December 31, 2019

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 Relative to the Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index.

4Security 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.”

5 This is presented as supplemental information. Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

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