Core Plus Bond Strategy

As of 9/30/18

Assets Under Management

  • $436.0 million

Objectives

  • Seeks to outperform the Bloomberg Barclays U.S. Aggregate Bond benchmark while generating consistent excess performance.

Available Vechicles

  • Separately Managed Account

Portfolio Management Team

Photo of Mark Heppenstall

Mark Heppenstall
Chief Investment Officer

Photo of Zhiwei Ren

Zhiwei Ren
Managing Director & Portfolio Manager

Photo of Greg Zappin

Greg Zappin
Managing Director & Portfolio Manager

View Full Team

Characteristics

  • Identify the most attractive relative value opportunities across the yield curve while utilizing derivatives to actively manage portfolio level duration.
  • Duration ±2 years versus benchmark
  • Credit Quality: Investment-grade focused with tactical exposure to high yield (below investment grade)
  • Position Size: Typically 50-100 basis points

     

147 Number of Holdings
A Average Quality
5.6 yrs Duration
13.5 yrs Years to Maturity
4.2% Yield to Maturity

Unless otherwise indicated, all data is reported as of September 30, 2018 and is not a representation of current or future data. Holdings and allocations are subject to change. Data is based on a representative portfolio, which is an account in the composite that PMAM believes most closely reflects portfolio management style for this strategy. 

Asset Class Allocation

ABS 10.1%
CMBS 16.9%
High Yield Corporate 6.0%
Investment-Grade Corporate 43.8%
MBS 11.0%
Municipal 5.3%
Treasury 6.9%
  • 10.1%
    ABS
  • 16.9%
    CMBS
  • 6.0%
    High Yield Corporate
  • 43.8%
    Investment-Grade Corporate
  • 11.0%
    MBS
  • 5.3%
    Municipal
  • 6.9%
    Treasury

Unless otherwise indicated, all data is reported as of September 30, 2018 and is not a representation of current or future data. Holdings and allocations are subject to change. The chart does not include cash and derivatives. Data is based on a representative portfolio, which is an account in the composite that PMAM believes most closely reflects portfolio management style for this strategy. 

Bond Quality Allocation

Unless otherwise indicated, all data is reported as of September 30, 2018 and is not a representation of current or future data. Holdings and allocations are subject to change. Data is based on a representative portfolio, which is an account in the composite that PMAM believes most closely reflects portfolio management style for this strategy. 

Source: Independent Rating Agencies such as Moody’s, S&P, Fitch, etc.

Note: When a security is rated differently by three rating agencies, the median rating is used; when rated differently by two rating agencies, the lower rating is used.

Composite Performance

3 Months YTD 1 Year 3 Years 5 Years Annualized Since PM Inception1
Core Plus Bond - Gross 0.23% -0.53% 0.32% 2.98% 3.23% 2.95%
Core Plus Bond - Net 0.07% -1.02% -0.34% 2.31% 2.55% 2.27%
Bloomberg Barclays U.S. Aggregate Bond Index 0.02% -1.60% -1.22% 1.31% 2.16% 1.65%

Unless otherwise indicated, all data is reported as of September 30, 2018 and is not a representation of current or future data. Holdings and allocations are subject to change. Past performance is no guarantee of future results. 

1Portfolio manager inception 7/1/2014.

Core Plus Bond Composite vs. Bloomberg Barclays Capital U.S. Aggregate Bond Index

Year Composite Return Composite Return Benchmark Return Composite 3 Year Standard Deviation Benchmark 3 Year Standard Deviation Dispersion of Portfolio Returns Number of Portfolios Assets in this Composite Total Firm Assets
(Gross %) (Net %) (%) (%) (%) (%) ($ MM) ($ MM)
2017 Annual 5.25% 4.56% 3.54% 2.55% 2.81% N/A less than 5 501 24,649
2016 Annual 5.01% 4.31% 2.65% 2.65% 3.02% N/A less than 5 500 21,367
2015 Annual 1.06% 0.37% 0.55% 2.90% 2.92% N/A less than 5 525 20,005
2014 Annual 5.77% 5.10% 5.97% 2.83% 2.67% N/A less than 5 556 8,171
2013 Annual -2.43% -2.97% -2.02% N/A N/A N/A less than 5 534 7,578
2012 Annual 3.80% 3.22% 4.21% N/A N/A N/A less than 5 566 6,189
Composite Disclosure

Definition of Firm: Penn Mutual Asset Management, LLC  (“PMAM” or "The Firm") is a registered investment adviser with the U.S. Securities and Exchange Commission in accordance with the Investment Advisers Act of 1940.

Change in Management: Effective June 2014, the co-portfolio managers for this strategy were replaced. The investment philosophy and process for the strategy remained consistent.

Important Performance Disclosure: PMAM claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. PMAM has been independently verified for the periods January 1, 2012 through December 31, 2017. A copy of the verification report is available upon request. Verification assesses whether (1) the firm has complied with all of the composite requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Registration with the U.S. Securities and Exchange Commission by the investment adviser does not imply any level of skill or training.

Methodology: Total returns are presented in U.S. dollars both gross and net of investment advisory fees, are inclusive of commissions and transaction costs, and assume reinvestment of any dividends, interest income, capital gains, or other earnings. Periods greater than one year are shown as average annual total returns. Gross composite returns do not reflect the reduction of investment advisory, administrative or custodial fees but do include trading expenses. Net composite returns are reduced by the actual investment management fee and any administrative, custodial, or other fees and expenses incurred. “Dispersion of Portfolio Returns” presented for each annual period is calculated using the asset-weighted standard deviation of the annual returns of all portfolios that were included in the composite for the entire year. If during a particular year the composite does not contain more than 5 accounts for the entire year, then "N/A" will be displayed. "Composite 3-Yr St Dev" and "Benchmark 3-Yr St Dev" are rolling 3-year standard deviation calculations, which measure the variability of the monthly performance returns for the composite and benchmark index return over the preceding 36-month period on an annualized basis. If the composite has not been in existence for at least 3 years as of a particular year-end, then “N/A” will be displayed. Performance data is shown rounded to the nearest hundredth.

A complete list and description of composites and performance results is available upon request. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Past performance is not indicative of future results and no investment is guaranteed for return of principal and/or return on investments.  All information provided and used in calculations is believed to be correct, but accuracy cannot be guaranteed.

Composite Description: The Core Plus Composite seeks to maximize total return over long-term consistent with preservation of capital. Under normal circumstances, the strategy invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in marketable investment grade debt securities, which are those securities rated BBB- or higher by S&P, Baa3 or higher by Moody’s, or the equivalent by any other nationally recognized statistical rating organization (“NRSRO”), or, if unrated, determined by the Adviser to be of comparably quality. The remaining assets are generally invested in other securities, including high yield securities (“junk bonds”) rated below investment grade by a NRSRO, or, if unrated, determined by the Adviser to be below investment grade, preferred and convertible securities, closed-end funds, exchange traded funds, money market securities or equities. While most assets will typically be invested in U.S. dollar-denominated bonds, the strategy may also invest in debt securities of foreign issuers, securities that are economically tied to emerging markets, and securities denominated in foreign currencies. The strategy may invest in derivative instruments, such as options, futures contracts, swap agreements, mortgage dollar rolls or forward commitments in keeping with the strategy’s objective.

Benchmark Description: The benchmark for this composite is the Bloomberg Barclays Capital U.S. Aggregate Bond Index. The Bloomberg Barclays Capital U.S. Aggregate Bond Index provides a measure of the performance of the U.S. investment grades bonds market. This includes investment grade U.S. Government bonds, investment grade corporate bonds, mortgage pass‐through securities and asset‐backed securities that are publicly offered for sale in the United States. The securities in the index must have at least one year remaining to maturity. In addition, the securities must be denominated in U.S. dollars and must be fixed rate, nonconvertible and taxable. Further information is available upon request. Benchmark return information is provided for comparative and referential purposes only. Benchmark information is provided by third party sources, and is considered to be accurate.

Composite Creation Date: This composite was created on January 1, 2017.

Fee Schedule: The current maximum scheduled investment advisory fee for this strategy is 46 basis points. The investment advisory fee applicable to a portfolio depends on a variety of factors, including but not limited to portfolio size, the level of committed assets, service levels, the use of a performance fee or minimum fee arrangement, and other factors.

 

Disclosure Statement

Past performance is not indicative of future resultsInvestors should be aware of the additional risks associated with investments in non-diversification, undervalued or overlooked companies and investments in specific industries. In addition, investors should be aware of the additional risks associated with investments in non-investment grade (high yield) debt securities and structured securities, which are subject to greater fluctuations in value and risk of loss of income and principal as a result of interest rate risk and economic risk. Additional risks may include those associated with investing in foreign securities, emerging markets, currencies and derivatives.

Risks associated with derivatives include the risks of the underlying instruments, substantially greater gains and losses than the derivatives’ costs due to the leverage. Short sales are speculative transactions with potentially unlimited losses, and the use of leverage can magnify the effect of losses. Diversification neither assures a profit nor eliminates the risk of loss.

 The information herein does not constitute investment advice and the strategy described may not be available to, or suitable for, all investors.

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