Benchmark Morningstar Category
Multisector Bond

Asset Allocation

 

PTY


Asset Distribution
 
  Type %
Long
%
Short
%
Net
Bench-
mark
Cat
Avg
As of 06/30/2014
Cash 2.74 1.24 1.51 -2.43
US Stock 0.00 0.00 0.00 0.83
Non US Stock 0.00 0.00 0.00 0.06
Bond 91.62 0.00 91.62 98.70
Other 8.34 1.47 6.87 2.84
 
 

Style Details

 

PTY

Fixed-Income Style
 
Fixed-Income Style History
Year Style % Bonds
As of 06/30/2014
2014 92
2013 79
2012 77
2011 93
2010 72
 
Bond Statistics
Detail Value
As of 05/31/2014
Weighted Average Credit Rating BB-
Average Weighted Coupon 7
Average Weighted Price 100
Credit Quality
Type % Bonds Benchmark Category Avg Bond Weight Benchmark Weight Category Avg Weight
AAA 19
AA 4
A 8
BBB 16
BB 8
B 1
Below B 24
Not Rated 20
As of 06/30/2014
Credit Quality is calculated only using the long position holdings of the portfolio.

Sector Weightings

 

PTY

Fixed-Income Sectors
Type % Bonds Benchmark Category Avg Fund Weight Benchmark Weight Category Avg Weight
Government 0.00 41.31
U.S. Treasury 0.00 13.75
U.S. Treasury Inflation-Protected 0.00 3.14
U.S. Agency 0.00 0.51
Non-U.S. Government 0.00 11.42
Other Government Related 0.00 12.48
       
Corporate 21.18 24.38
Corporate Bond 14.00 22.65
Bank Loan 0.00 0.50
Convertible 0.00 0.30
Preferred 7.18 0.94
       
Securitized 52.90 23.15
Agency MBS Pass-Through 0.15 1.58
Agency MBS ARM 0.00 0.06
Agency MBS CMO 7.46 3.26
Non-Agency Residential MBS 40.53 4.75
Commercial MBS 0.15 10.03
Asset-Backed 4.60 3.47
Covered Bond 0.00 0.00
       
Municipal 22.78 1.57
       
Cash & Equivalents 2.70 9.54
       
Other 0.44 0.05
As of 06/30/2014
Sector data is calculated only using the rescaled long position holdings of the portfolio.
Coupon Range
Type % Bonds Benchmark Category Avg   Fund Weight Benchmark Weight Category Avg Weight
0% PIK 0.00 13.60
0% to 4% 4.47 31.29
4% to 6% 42.41 19.26
6% to 8% 36.15 13.93
8% to 10% 8.32 17.98
10% to 12% 3.97 3.74
More than 12% 4.68 0.20
As of 06/30/2014
Sector data is calculated only using the long position holdings of the portfolio.

Top 10 Country Breakdown

 

PTY

% Bonds Benchmark Category Avg Fund Weight Benchmark Weight Category Avg Weight
United States 95.16 73.39
United Kingdom 4.84 1.84
As of 06/30/2014
Country breakdown data is calculated only using the long position holdings of the portfolio.

Bond Maturity Breakdown

 

PTY

% Bonds Benchmark Category Avg Fund Weight Benchmark Weight Category Avg Weight
1 to 3 Years 0.06 16.02
3 to 5 Years 1.65 18.12
5 to 7 Years 1.60 16.50
7 to 10 Years 1.86 13.04
10 to 15 Years 1.95 4.20
15 to 20 Years 6.34 1.64
20 to 30 Years 63.09 24.34
Over 30 Years 23.46 6.14
As of 05/31/2014

Bond Duration

 

PTY

Unadjusted for Leverage Leverage Adjusted
Average Weighted Duration
Effective Duration
Modified Duration
As of 05/31/2014
 
Detail Value
Average Weighted Maturity
Effective Maturity 24.63

Bond Call Profile

 

PTY

% Bonds Benchmark Category Avg Fund Weight Benchmark Weight Category Avg Weight
2014
2015
2016
2017
2018
5 Year +
Non-Callable
As of date not available

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