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Short Duration

Our short-duration strategy aims to provide strong risk-adjusted returns and consistent outperformance versus the benchmark by allocating across fixed income securities and sectors, including Treasuries, Treasury Inflation-Protected Securities (TIPS), credit, municipals, asset backed securities (ABS), mortgage-backed securities (MBS) and agency bonds.

Our approach to short duration

Consistency is the hallmark of our short-duration investment process, which is driven by fundamental bottom-up analysis of sectors and securities by a team of seasoned fixed income investment specialists.

At the sector level, we look to identify attractive sectors that offer a clear risk-reward advantage based on scenario analysis, historical and projected spread analysis and macroeconomic trends. Sector allocations are kept within defined guidelines, with MBS and agency bonds between 10%-60%, credit and ABS between 10%-35%, and Treasuries between 20%-75%.

Security selection is focused on finding securities that are undervalued, with an emphasis on high-quality issuers and inexpensive cash flows.

Finally, we seek to optimize our yield-curve positioning by emphasizing portions of the yield curve that are attractively priced, while we also actively manage duration within each sector and on an overall portfolio basis, typically within +/- 10% of the index.

The result is a short-duration strategy that aims to deliver strong risk-adjusted returns versus the benchmark and peer group in various rate and credit cycles. This strategy may therefore be suitable for investors who have investment horizons of two years or longer, and who are seeking higher total returns that result from credit risk management and/or lengthening duration.

years with
J.P. Morgan