LIBOR Plus Strategy

As of 6/30/18

Assets Under Management

  • $102.8 million

Objectives

  • The LIBOR Plus strategy aims to generate consistent excess returns over the three-month LIBOR benchmark with limited volatility through relative value strategies in corporate and/or structured credit.
  • The strategy is managed with a disciplined risk management focus and capital preservation bias, while seeking consistent outperformance over money market interest rates.

Available Vechicles

  • Separately Managed Account

Portfolio Management Team

Mark Heppenstall
Chief Investment Officer

Zhiwei Ren
Managing Director & Portfolio Manager

Greg Zappin
Managing Director & Portfolio Manager

View Full Team

Characteristics

  • The average portfolio duration will normally vary from 0-0.5 years
  • Number of Positions: Typically 50-100
  • Position Size: Typically 100-200 basis points
  • Corporate Issuer Limit: 2%
29 Number of Holdings
4.1 yrs Spread Duration
3.9% Yield to Maturity
143 bps Discount Margin
4.7 yrs Weighted Average Life

Unless otherwise indicated, all data is reported as of June 30, 2018 and is not a representation of current or future data. Holdings and allocations are subject to change.

 

Key Asset Classes

Collateralized Loan Obligations (CLO)
Asset-Backed Securities (ABS)
Commercial Mortgage-Backed Securities (CMBS)
Agency Mortgage-Backed Securities (MBS)
Investment-Grade Corporate
High Yield Corporate

Bond Quality Allocation

Unless otherwise indicated, all data is reported as of June 30, 2018 and is not a representation of current or future data. Holdings and allocations are subject to change.

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.

Performance Statistics

3 Months YTD 1 Year Since Inception1
LIBOR Plus Strategy - Gross 0.77% 1.30% 2.75% 2.74%
LIBOR Plus Strategy - Net 0.73% 1.22% 2.54% 2.52%
3-Month LIBOR 0.57% 1.01% 1.67% 1.63%

Unless otherwise indicated, all data is reported as of June 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. 

1Strategy inception date 6/1/17.

LIBOR Plus Composite vs. 3-Month LIBOR Rate 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* 1.65% 1.50% 0.75% N/A N/A N/A less than 5 101 24,649
Composite Disclosure

*Cumulative return for the period is from June 1, 2017 (inception of strategy) to December 31, 2017.

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.

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 incentive 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 LIBOR Plus Composite consists of portfolios managed on a discretionary basis with an investment objective that seeks to generate positive excess returns of +100 bps or more annually versus the 3-Month USD Libor Index. The strategy aims to invest primarily in corporate and/or structured securities with a disciplined risk management focus and capital preservation bias, while seeking consistent outperformance over money market interest rates.

Benchmark Description

The benchmark for this composite is ICE 3-Month USD LIBOR Index. The ICE 3-Month USD LIBOR Index is a benchmark rate produced for five currencies with 3-Month maturities. It provides an indication of the average rate at which a LIBOR contributor bank can obtain unsecured funding in the London interbank market for a given period, in a given currency. The performance results for the ICE 3-Month USD LIBOR Index are net of foreign income tax withholding (composite performance is gross of withholding tax). 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, 2018.

Fee Schedule

The current maximum scheduled investment advisory fee for this strategy is 15 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 results. Investors 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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