Strategy Description

The short duration taxable portfolio strategy is designed to provide superior return options to traditional money market funds and bank savings accounts. We seek to maximize liquidity with an emphasis on preservation of capital. We achieve this goal by investing in and actively managing a portfolio of highly liquid index-eligible issuers in the investment grade corporate, taxable municipal, U.S. Government and supranational bond sectors.


  • Experienced team
  • Capital preservation emphasis
  • Bottom-up credit analysis
  • Top-down macro economic analysis
  • Relative value focus
  • Strong execution capability

Management Process

Our approach can be characterized as a prudent effort to balance risk and return but weighted to minimizing downside risk. Bottom-up credit research, top down macroeconomic analysis and liquidity management are at the core of the entire process. We closely monitor term structure dynamics as they react to economic, political, monetary policy and other forces to determine the portfolio’s appropriate duration target. We use our extensive trading and execution experience to take advantage of pricing anomalies that enhance our return objectives.

Eligible Securities:

  • Index-eligible domestic investment grade corporate bonds
  • U.S. Treasuries, Agency debt and other U.S. obligations (e.g. AID, Pefco )
  • Yankee and Canadian issues
  • Taxable Municipals
  • ETF’s and GIC’s


  • Rating:                           BBB-or Baa3
  • Maximum maturity:   3 years, 1 month
  • Maximum holding:     5% per issue
  • Benchmark:  Barclay’s Gov’t/Credit 1-3 year


Our portfolio construction process involves the implementation of a constrained optimization routine. Our framework enables us to properly manage the risk of the portfolio in a disciplined manner. Our collective experience has taught us that employing a well-structured risk management discipline together with security selection process will lead us to being able to seek to deliver desirable long-term investment performance to our clients.

Portfolio construction is conceptually similar across all of our fixed income strategies. We start with a universe of bonds that meet our security selection criteria. Each bond will possess various attributes that enable us to measure its contribution to the portfolio in terms of risk adjusted expected return. The attributes will also be used to measure investment characteristics relative to our benchmark thus establishing risk constraints. The optimization will then establish a portfolio that simultaneously maximizes risk adjusted expected return and meets our risk constraints.


The framework allows our portfolio managers and our investment committee to perform risk analysis on candidate bonds or to evaluate different interest rate scenarios. This ability is extraordinarily important in active management. It enables our team to measure the effects of active management decisions on portfolio risk prior to implementation and to subsequently monitor risk in a concise manner.

Successful execution is a critical component of our active management process. While we employ various strategies from credit and yield curve analysis to duration management, and a host of other valuation metrics to help drive returns for our clients, what is not fully understood by many investors is the value-added derived from expert securities execution. We believe that every incremental basis point of return is critical, particularly in the current low interest rate environment. It is important to remember that unlike the equity markets, most bonds are not traded on a consolidated exchange with a best bid and offer system. Bond markets function in an over-the-counter, dealer to dealer marketplace. Inexperienced bond investors are often at a disadvantage by not having access to multiple bid and ask prices at the same time. Simply stated, investors are often unaware of the actual spread and mark-ups they are paying.

Our execution capabilities rely upon decades of extensive professional trading experience. Methodologies we employ in an attempt to enhance returns through better execution:

  • We rely on a relative value approach within and across product sectors.
  • We exhibit patience in an attempt to purchase securities on the bid-side of the market
  • We monitor dealer inventories and product flows in order to assess the impact of supply/demand upon spreads and prices.
  • Experience allows us to identify and take advantage of short-term pricing dislocations
  • We will aggregate as feasible odd lot holdings (bought cheaper) into larger positions, in order to exploit the pricing differential between the odd-lot and round-lot markets.
  • We leverage our years of experience and extensive network of dealer relationships to seek to negotiate better prices for our clients.