The investment process is driven by long term value considerations to maximize risk-adjusted returns through yield and capital gains from the recognition of higher intrinsic value over time. We employ a fundamentally driven process supported by quantitative modeling and the analysis of current market conditions. Our process starts with the premise that, over time, yield is the best predictor of total returns. We develop a macro thesis through a top-down assessment of various housing and economic metrics to provide a framework for our portfolio construction. Based on our investment thesis we establish target sector allocations, spread durations and duration targets. Within that portfolio we seek to maximize risk-adjusted returns by focusing on security selection that emphasizes both fundamental and quantitative analysis that provide an opportunity to exploit market inefficiencies while minimizing volatility. Lastly, we actively monitor the investment performance of our positions, fundamentally and otherwise, to ensure fund performance coincides with our investment thesis.
- Intensive, Independent Proprietary Research: Proprietary process resulting in a deep understanding of issuer and industry dynamics
- Team Based Culture: Portfolio managers & analysts work together on investment decision-making and portfolio construction, fostering a collaborative environment that allows the Team's best investment ideas to emerge
- Downside Risk Management: Quantitative risk controls and qualitative risk assessments seek to minimize portfolio relative volatility. Well-diversified portfolios provide the opportunity to generate multiple sources of alpha.
- Excellent historical long term track record
Investment ProcessDevelop Macro Thesis
- Development of a macro thesis through a top-down assessment of various housing and economic metrics to provide a framework for our portfolio contstruction
- Filter Mortgage Backed Securities opportunity set to 300-500 holdings
- Analysts and portfolio managers collaborate on decision-making
- Multiple prepayment models are used to examine the cash flow profile under numerous interest rate, HPA, and policy (HARP) shocks, both instantaneously and over extended time horizons
- Independent proprietary risk rating system and relative value analysis
- Modeled within numerous industry prepayment models and stress tested under various instantaneous and horizon interest rate shock scenarios
- Actively reviewed as valuations and economic inputs change to consider possible purchase or sales candidate