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 September 30, 2018

Short Duration Total Return Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Treasury 6.1% 63.9%
Agency 0.0 4.0
Agency RMBS/CMBS1 2.3 0.0
Asset-Backed Securities 60.6 0.0
Non-Agency RMBS/CMBS1 22.1 0.0
Corporate Credit 6.8 24.5
Non-Corporate Credit 0.0 7.7
Cash & Other2 2.1 0.0

Portfolio Characteristics
As Of September 30, 2018

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Number of Holdings 294 1,545
Yield to Maturity (%) 4.26 2.94
Yield to Worst (%) 4.02 2.94
Effective Duration 1.57 1.92
Weighted Average Life (years) 1.91 2
Convexity 0.03 0.05
Option-Adjusted Spread 155 13

Since Inception Risk Statistics
As Of September 30, 2018

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Standard Deviation (%) 0.63 0.64
Sharpe Ratio 3.31 -1.20
Beta (%)3 0.85 N/A
R-squared (%) 69.72 N/A
Information Ratio 7.99 N/A

Credit Quality4
As Of September 30, 2018

Quality Rating % of Portfolio
AAA 20.0%
AA 5.4
A 15.3
BBB 43.0
BB 8.6
B 1.5
CCC & Lower 1.1
Not Rated 5.0

Duration Breakdown
As Of September 30, 2018

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Less than one 43.8% 0.7%
1-3 45.1 99.3
3-5 9.4 0.0
5-7 0.6 0.0
7-10 0.7 0.0
10-20 0.3 0.0
20+ 0.0 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. 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 Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

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