null Efficient Beta Fallen Angels

Efficient Beta Fallen Angels

Active Fixed Income Efficient Beta US
  • Benchmark Bloomberg Barclays Fallen Angel 3% Cap Index
  • Inception Date December 2019

Strategy Overview

The Fallen Angel Efficient 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

 

Explore our efficiency-driven approach >>

 

Please note that all investment strategies involve risk.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.