Shorter Duration

Cash Enhancement

Portfolio Managers

Peter Kaplan Structured Products Portfolio Manager Principal Merganser
Peter S. Kaplan, CFA

Industry: 1986
Merganser: 1986

Adam M. Ware, CFA

Industry: 1996
Merganser: 2007

Strategy Overview

Investment Objective

  • To exceed the returns of the ICE BAML 1 Year T-Bill Index over a market cycle
  •  Emphasize low volatility, high quality and portfolio liquidity

Investment Strategy

  • Through sector rotation and security selection decisions, we seek to generate consistent excess returns in all market environments
  • Use the index as a proxy for duration, not market weightings, and opportunistically position the portfolio based on cross sector relative value
  • Leverage our boutique size by focusing on less crowded areas of the fixed income market, including those not included in the index
  • Control for risk at the security, sector and portfolio level

Product Inception Date April 1986
Primary Benchmark ICE BAML 1 Year T-Bill
Vehicle(s) Separate Account
Strategy Type Active Fixed Income
Typical Sector Ranges
Treasuries & Cash* 10% - 20%
Agencies 0% - 5%
Credit 30% - 40%
RMBS 0% - 5%
CMBS 5% - 15%
ABS 20% - 40%

*Includes cash, receivables and payables.