Unconstrained Bond Strategy

As of 9/30/18

Assets Under Management

  • $248.8 million

Objectives

  • Seeks to maximize total return by investing in a diversified portfolio of fixed income instruments of varying maturities.
  • Attractive risk adjusted return while providing reduced correlation to broader fixed income and equity markets.

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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

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Characteristics

  • Opportunistically invest across various fixed income sectors and asset classes to create a diversified portfolio of high conviction ideas.
  • Identify the most attractive relative value opportunities across the yield curve while utilizing derivatives to actively manage portfolio level duration.
  • The average portfolio duration will normally vary from 0 years to positive 4 years.
  • Number of Positions: Typically 40-80.
  • Corporate Issuer Limit: 5%
66 Number of Holdings
1.0 yrs Duration
4.3% 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. 

Key Asset Classes

Treasury/Agency 0-50%
Investment-Grade Corporate 0-40%
Agency Mortgage-Backed Securities (MBS) 0-30%
High Yield Corporate 0-25%
Commercial Mortgage-Backed Securities (CMBS) 0-25%
Asset-Backed Securities (ABS) 0-25%
Equity, Preferred Stock and related 0-20%
Foreign Debt, including Emerging Market 0-15%

Percentages are subject to change based on market conditions.

Asset Class Allocation

ABS 23.3%
CMBS 9.3%
High Yield Corporate 26.5%
Investment-Grade Corporate 30.7%
Municipal 4.6%
Treasury 5.0%
Other 0.6%
  • 23.3%
    ABS
  • 9.3%
    CMBS
  • 26.5%
    High Yield Corporate
  • 30.7%
    Investment-Grade Corporate
  • 4.6%
    Municipal
  • 5.0%
    Treasury
  • 0.6%
    Other

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 Annualized Since Inception1
Unconstrained Bond Strategy - Gross 1.08% 2.34% 3.75% 6.67%
Unconstrained Bond Strategy - Net 0.93% 2.00% 3.17% 5.73%
3-Month LIBOR 0.59% 1.60% 1.93% 1.27%

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. 

1 Inception date 1/4/16

Unconstrained Bond 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 Non-Fee Paying Total Firm Assets
(Gross %) (Net %) (%) (%) (%) (%) ($MM) ($MM)
2017 Annual 7.07% 6.17% 1.18% N/A N/A N/A less than 5 137 less than 1% 24,649
2016 Annual 8.99% 7.63% 0.71% N/A N/A N/A less than 5 129 less than 1% 21,367
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.

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 Unconstrained Bond Composite seeks attractive risk-adjusted total return through a combination of income and capital appreciation by investing in a diversified portfolio of fixed income instruments of varying maturities. The strategy may invest in investment-grade and below investment-grade corporate and structured securities, syndicated bank loans, closed-end funds, exchange traded funds, common stock, preferred stock, convertible bonds and foreign debt securities including emerging market debt and derivatives. The strategy may also invest in securities denominated in foreign currencies issued by both domestic and foreign issuers. The strategy may invest in derivatives, which are instruments that have a value derived from, or directly linked to, an underlying asset, such as equity securities, fixed income securities, commodities, currencies, interest rates or market indices. The strategy may implement short positions through derivatives such as options, futures or swaps.

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, 2017.

Fee Schedule: The current maximum scheduled investment advisory fee for this strategy is 25 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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