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 mortgage-related and mortgage-backed securities. The portfolio will typically maintain an average portfolio duration within 20% of the duration of the Bloomberg Barclays U.S. Aggregate Bond Index.

Sector Allocation
As Of September 30, 2018

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Treasury 19.3% 38.0%
Agency 1.2 1.5
Agency RMBS/CMBS1 27.9 28.8
Asset-Backed Securities 23.6 0.5
Non-Agency RMBS/CMBS1 9.4 1.2
Corporate Credit 17.0 25.1
Non-Corporate Credit 0.0 4.9
Cash & Other2 1.6 0.0

Portfolio Characteristics
As Of September 30, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 349 10,112
Yield to Maturity (%) 3.84 3.46
Yield to Worst (%) 3.75 3.46
Effective Duration 5.42 6.03
Weighted Average Life (years) 6.98 8.42
Convexity 0.38 0.36
Option-Adjusted Spread 92 39

Since Inception Risk Statistics
As Of September 30, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Standard Deviation (%) 2.50 2.58
Sharpe Ratio -0.30 -0.68
Beta (%)3 0.96 N/A
R-squared (%) 97.69 N/A
Information Ratio 2.55 N/A

Credit Quality4
As Of September 30, 2018

Quality Rating % of Portfolio
AAA 57.4%
AA 5.2
A 14.7
BBB 21.5
Not Rated 1.2

Duration Breakdown
As Of September 30, 2018

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 17.3% 0.2%
1-3 18.2 23.4
3-5 17.8 25.4
5-7 18.7 28.9
7-10 14.7 7.7
10-20 12.6 14.4
20+ 0.7 0.0

Key Rate Duration5
As Of September 30, 2018

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. Aggregate 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 Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

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