Strategy Overview
The US Fallen Angels Beta Plus strategy is dedicated to fallen angels, bonds that have been downgraded from investment grade to high yield. Historically, fallen angels have better total and risk-adjusted returns, lower drawdowns and favorable risk characteristics versus the broad high yield universe.
Objective
The strategy seeks annualized excess returns of 100 basis points versus the Bloomberg Barclays US HY Fallen Angel 3% Cap Index.
Approach
The strategy focuses on harvesting structural alpha utilizing a disciplined and systematic portfolio construction process. There are three foundations to the strategy:
- Seek to systematically harvest structural inefficiencies by overweighting recently downgraded fallen angels
- Employ a proprietary multi-factor credit model to underweight bonds that appear overpriced
- Apply innovative techniques to minimize the trading cost and illiquidity hurdle
Please note that all investment strategies involve risk.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.