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 of less than three.

Sector Allocation
As Of December 31, 2018

Short Duration Total Return Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Treasury 8.6% 65.2%
Agency 0.0 3.6
Agency RMBS/CMBS1 1.9 0.0
Asset-Backed Securities 58.0 0.0
Non-Agency RMBS/CMBS1 18.6 0.0
Corporate Credit 6.8 23.8
Non-Corporate Credit 0.0 7.4
Cash & Other2 6.1 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of December 31, 2018

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Number of Holdings 312 1,576
Yield to Maturity (%) 4.39 2.75
Yield to Worst (%) 4.33 2.75
Effective Duration 1.40 1.90
Weighted Average Life (years) 1.71 1.98
Convexity 0.02 0.04
Option-Adjusted Spread 189 22

This is presented as supplemental information.

Since Inception Risk Statistics
As Of December 31, 2018

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Standard Deviation (%) 0.63 0.78
Sharpe Ratio 3.10 -0.61
Beta (%)3 0.62 N/A
R-squared (%) 48.89 N/A
Information Ratio 4.61 N/A

This is presented as supplemental information.

Credit Quality4
As Of December 31, 2018

Quality Rating % of Portfolio
AAA 24.6%
AA 6.7
A 19.5
BBB 33.1
BB 8.7
B 2.3
CCC & Lower 0.7
Not Rated 4.5

This is presented as supplemental information.

Duration Breakdown
As Of December 31, 2018

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Less than one 49.4% 0.8%
1-3 39.5 99.2
3-5 10.2 0.0
5-7 0.5 0.0
7-10 0.0 0.0
10-20 0.2 0.0
20+ 0.3 0.0

This is presented as supplemental information.

Key Rate Duration5
As Of December 31, 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. 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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