| Benchmark | Morningstar Category |
|---|---|
Asset Distribution
| Type | % Net |
% Short |
% Long |
Bench- mark |
Cat Avg |
|
|---|---|---|---|---|---|---|
| As of 03/31/2013 | ||||||
| Cash | -1.62 | 5.56 | 3.93 | — | 2.08 | |
| US Stock | 0.00 | 0.00 | 0.00 | — | -0.29 | |
| Non US Stock | 0.00 | 0.00 | 0.00 | — | 0.06 | |
| Bond | 99.79 | 15.76 | 115.56 | — | 94.41 | |
| Other | 1.83 | 0.01 | 1.84 | — | 3.74 | |
Fixed-Income Style
| Year | Style | % Bonds |
|---|---|---|
| As of 12/31/2011 | ||
| 2013 | — | 99.79 |
| 2012 | — | 90.73 |
| 2011 | 117.00 | |
| 2010 | — | 76.98 |
| Detail | Value | |
|---|---|---|
| As of 12/31/2011, *As of 03/31/2013 | ||
| Average Effective Duration (Years)* | 4.63 | |
| Average Effective Maturity (Years)* | 5.64 | |
| Average Credit Quality | Not Rated | |
| Average Weighted Coupon* | 2.99 | |
| Average Weighted Price* | 107.88 | |
| Type | % Bonds | Benchmark | Category Avg | Bond Weight | Benchmark Weight | Category Avg Weight | |
|---|---|---|---|---|---|---|---|
| AAA | — | — | 48.73 |
|
|||
| AA | — | — | 7.78 | ||||
| A | — | — | 17.10 | ||||
| BBB | — | — | 20.14 | ||||
| BB | — | — | 3.24 | ||||
| B | — | — | 1.41 | ||||
| Below B | — | — | 0.73 | ||||
| Not Rated | — | — | 0.89 | ||||
| As of 12/31/2011 Credit Quality is calculated only using the long position holdings of the portfolio. |
|||||||
| Type | % Bonds | Benchmark | Category Avg | Fund Weight | Benchmark Weight | Category Avg Weight | |||
|---|---|---|---|---|---|---|---|---|---|
| Government | 54.80 | — | 29.33 | ||||||
|
|
|||||||||
| U.S. Treasury | 17.42 | — | 16.48 | ||||||
| U.S. Treasury Inflation-Protected | 3.67 | — | 1.65 | ||||||
| U.S. Agency | 4.00 | — | 2.39 | ||||||
| Non-U.S. Government | 4.89 | — | 2.14 | ||||||
| Other Government Related | 24.82 | — | 6.67 | ||||||
| Corporate | 12.03 | — | 29.60 | ||||||
|
|
|||||||||
| Corporate Bond | 12.03 | — | 28.31 | ||||||
| Bank Loan | 0.00 | — | 0.02 | ||||||
| Convertible | 0.00 | — | 0.07 | ||||||
| Preferred | 0.00 | — | 1.19 | ||||||
| Securitized | 25.00 | — | 29.82 | ||||||
|
|
|||||||||
| Agency MBS Pass-Through | 11.16 | — | 13.38 | ||||||
| Agency MBS ARM | 0.00 | — | 0.09 | ||||||
| Agency MBS CMO | 6.73 | — | 7.13 | ||||||
| Non-Agency Residential MBS | 5.97 | — | 3.22 | ||||||
| Commercial MBS | 0.09 | — | 3.02 | ||||||
| Asset-Backed | 1.05 | — | 2.97 | ||||||
| Covered Bond | 0.00 | — | 0.00 | ||||||
| Municipal | 1.90 | — | 1.17 | ||||||
| Cash & Equivalents | 3.29 | — | 8.91 | ||||||
| Other | 2.98 | — | 1.17 | ||||||
| As of 03/31/2013 Sector data is calculated only using the long position holdings of the portfolio. |
|||||||||
| Type | % Bonds | Benchmark | Category Avg | Fund Weight | Benchmark Weight | Category Avg Weight | |
|---|---|---|---|---|---|---|---|
| 0% PIK | 16.14 | — | 4.43 |
|
|||
| 0% to 4% | 57.62 | — | 56.33 | ||||
| 4% to 6% | 18.44 | — | 18.57 | ||||
| 6% to 8% | 6.76 | — | 14.32 | ||||
| 8% to 10% | 0.59 | — | 5.55 | ||||
| 10% to 12% | 0.45 | — | 0.31 | ||||
| More than 12% | 0.00 | — | 0.48 | ||||
| As of 03/31/2013 Sector data is calculated only using the long position holdings of the portfolio. |
|||||||
| % Bonds | Benchmark | Category Avg | Fund Weight | Benchmark Weight | Category Avg Weight | ||
|---|---|---|---|---|---|---|---|
|
|
|||||||
| United States | 78.39 | — | 89.46 | ||||
| Spain | 3.79 | — | 0.30 | ||||
| Canada | 2.99 | — | 1.71 | ||||
| United Kingdom | 2.66 | — | 1.56 | ||||
| France | 2.59 | — | 0.48 | ||||
| Italy | 2.15 | — | 0.42 | ||||
| Cayman Islands | 1.21 | — | 1.05 | ||||
| Mexico | 1.20 | — | 0.63 | ||||
| Australia | 1.06 | — | 0.61 | ||||
| Ireland | 1.03 | — | 0.16 | ||||
| As of 03/31/2013 Country breakdown data is calculated only using the long position holdings of the portfolio. |
|||||||
| % Bonds | Benchmark | Category Avg | Fund Weight | Benchmark Weight | Category Avg Weight | ||
|---|---|---|---|---|---|---|---|
|
|
|||||||
| 1 to 3 Years | 35.77 | — | 9.77 | ||||
| 3 to 5 Years | 15.32 | — | 23.86 | ||||
| 5 to 7 Years | 7.99 | — | 8.30 | ||||
| 7 to 10 Years | 8.28 | — | 15.98 | ||||
| 10 to 15 Years | 5.74 | — | 11.66 | ||||
| 15 to 20 Years | 6.99 | — | 1.18 | ||||
| 20 to 30 Years | 7.83 | — | 21.57 | ||||
| Over 30 Years | 12.07 | — | 6.56 | ||||
| As of 03/31/2013 | |||||||
Certain information included herein is derived by Morningstar in part from MSCI’s Index Constituents (the “Index Data”). However, MSCI has not reviewed any information contained herein and does not endorse or express any opinion such information or analysis. Neither MSCI nor any third party involved in or related to the computing or compiling of the Index Data makes any express or implied warranties, representations or guarantees concerning the Index Data or any information or data derived therefrom, and in no event will MSCI or any third party have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) relating to any use of this information. None of the Index Data is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. All Index Data and any information derived therefrom is for your internal use only and may not be further redistributed or used to create any financial instruments or products or indices.
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