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Intermediate Duration Fixed Income
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The objective
of this intermediate duration fixed income strategy is to outperform
the Lehman Brothers Intermediate U.S. Government/Credit Index over the long term
and maintain a competitive position in our peer universe. |
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$86 million as of June 30, 2007 |
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Advantus manages more than $14 billion in fixed
income portfolios. Our bottom-up approach has evolved over 125 years
of managing fixed income assets. This track record stems from an
understanding of risk and how the market prices risk. We believe, our expertise
in risk management helps us identify superior value in the non-Treasury
sectors, which can lead to competitive long-term performance and
risk control. |
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We believe it is extremely difficult to accurately
forecast interest rate changes over the long term; with this in
mind, we allocate most of our time to researching candidate securities
and identifying attractive sectors. We purchase investment-grade
securities that are U.S. dollar denominated. Our goal is to produce
consistent investment results, regardless of the interest rate environment. |
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We apply a bottom-up approach to fixed income portfolio
management. We begin by analyzing the credit quality and cash flow
characteristics of candidate securities and identifying the most
attractive sectors. We look for securities that present the best
relative value based on our yield curve, sector, economic and credit
analysis. We then determine the target duration and maturity strategy
based on our macroeconomic view and the Lehman Intermediate Aggregate
Index.
Bottom Up (80%) |
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Security Selection
Every day, our portfolio managers' primary focus is on security selection.
Advantus portfolio managers and analysts are continuously engaged
in the markets. We discuss individual securities, investment
strategy, market trends and other related issues. We also stay in
close contact with the brokerage community and external research sources.
Our research is reviewed in the context of the marketplace to help
the portfolio managers determine which securities present the best
relative value. |
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Sector Analysis
Incremental yield spreads over Treasuries are then evaluated for the
different sectors. Historical spread relationships are also analyzed
and reviewed in the context of the current market environment. Our
portfolio bias will tend to overweight the spread sectors due to their
proven long-term return advantage. |
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Top Down
(20%) |
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Duration Analysis
Based on our long-term, fundamental outlook for the economy and
interest rates, we set our portfolio duration in a range that is
typically plus or minus 10 percent of the benchmark duration. Key
factors in determining portfolio duration are inflation rates, fiscal
policy, monetary policy, and the business cycle. In addition to
duration, we determine which maturities to own along the yield curve.
Portfolio return simulations are conducted to analyze the benefits
of various yield curve strategies and their effect on the portfolio's
potential total return in different interest rate scenarios.
The portfolio typically holds 100 to 125 issues.
Past performance is not indicative of future results. |
Selected Profiles
Chris Sebald, CFA, Executive Vice President and Chief Investment Officer. Active in the investment industry since 1988.
David Kuplic,
CFA, Executive Vice President. Active in the investment
industry since 1984.
Tom Houghton, CFA, Vice
President and Portfolio Manager. Active in the investment industry since
1993.
David Land, CFA, Vice President
and Portfolio Manager. Active in the investment industry since 1990.
Sean O'Connell, CFA, Vice
President and Director of Real Estate and Structured Finance Research.
Active in the investment industry since 1993.
John Leiviska, CFA, Vice President and Manager of Corporate
Research. Active in the investment industry since 1985.
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