| Benchmark | Morningstar Category |
|---|---|
| Type | % Net |
% Short |
% Long |
Bench- mark |
Cat Avg |
|
|---|---|---|---|---|---|---|
| As of 06/18/2013 | ||||||
| Cash | 3.32 | 4.72 | 8.04 | — | 5.43 | |
| US Stock | 2.31 | 0.16 | 2.47 | — | 0.55 | |
| Non US Stock | 0.18 | 0.00 | 0.18 | — | 0.08 | |
| Bond | 96.95 | 1.28 | 98.23 | — | 92.90 | |
| Other | -2.76 | 10.00 | 7.24 | — | 1.03 | |
| Year | Style | % Bonds |
|---|---|---|
| As of 07/31/2012 | ||
| 2013 | — | 96.95 |
| 2012 | — | 94.26 |
| Detail | Value | |
|---|---|---|
| As of 07/31/2012, *As of 06/18/2013 | ||
| Average Effective Duration (Years)* | — | |
| Average Effective Maturity (Years)* | — | |
| Average Credit Quality | Not Rated | |
| Average Weighted Coupon* | 5.58 | |
| Average Weighted Price* | 108.73 | |
| Type | % Bonds | Benchmark | Category Avg | Bond Weight | Benchmark Weight | Category Avg Weight | |
|---|---|---|---|---|---|---|---|
| AAA | 8.27 | — | 5.78 |
|
|||
| AA | 1.28 | — | 0.75 | ||||
| A | 3.36 | — | 1.84 | ||||
| BBB | 7.35 | — | 6.38 | ||||
| BB | 31.86 | — | 29.21 | ||||
| B | 34.41 | — | 40.48 | ||||
| Below B | 8.87 | — | 13.14 | ||||
| Not Rated | 4.60 | — | 2.41 | ||||
| As of 07/31/2012 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 | 4.21 | — | 0.98 | ||||||
| Corporate | 74.55 | — | 86.84 | ||||||
|
|
|||||||||
| Corporate Bond | 29.06 | — | 83.41 | ||||||
| Bank Loan | 45.00 | — | 1.81 | ||||||
| Convertible | 0.16 | — | 0.60 | ||||||
| Preferred | 0.34 | — | 1.01 | ||||||
| Securitized | 13.25 | — | 4.28 | ||||||
|
|
|||||||||
| Agency Mortgage-Backed | 5.58 | — | 2.07 | ||||||
| Non-Agency Residential MBS | 3.23 | — | 0.84 | ||||||
| Commercial MBS | 1.66 | — | 0.09 | ||||||
| Asset-Backed | 2.79 | — | 1.29 | ||||||
| Covered Bond | 0.00 | — | 0.00 | ||||||
| Municipal | 0.09 | — | 0.02 | ||||||
| Cash & Equivalents | 5.24 | — | 5.54 | ||||||
| Other | 2.66 | — | 2.34 | ||||||
| As of 06/18/2013 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 | 2.29 | — | 0.10 |
|
|||
| 0% to 4% | 29.70 | — | 3.81 | ||||
| 4% to 6% | 30.99 | — | 16.67 | ||||
| 6% to 8% | 22.53 | — | 43.40 | ||||
| 8% to 10% | 11.13 | — | 31.95 | ||||
| 10% to 12% | 2.68 | — | 3.87 | ||||
| More than 12% | 0.68 | — | 0.19 | ||||
| As of 06/18/2013 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 | 77.13 | — | 84.12 | ||||
| Cayman Islands | 4.24 | — | 1.28 | ||||
| United Kingdom | 2.40 | — | 1.50 | ||||
| Luxembourg | 2.26 | — | 3.61 | ||||
| Canada | 1.99 | — | 2.87 | ||||
| Netherlands | 1.30 | — | 1.26 | ||||
| Australia | 0.84 | — | 0.77 | ||||
| Brazil | 0.79 | — | 0.10 | ||||
| Germany | 0.76 | — | 0.32 | ||||
| Ireland | 0.64 | — | 0.75 | ||||
| As of 06/18/2013 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 | 9.19 | — | 1.65 | ||||
| 3 to 5 Years | 20.08 | — | 11.86 | ||||
| 5 to 7 Years | 32.69 | — | 40.13 | ||||
| 7 to 10 Years | 18.17 | — | 37.94 | ||||
| 10 to 15 Years | 3.07 | — | 1.67 | ||||
| 15 to 20 Years | 2.95 | — | 3.05 | ||||
| 20 to 30 Years | 8.03 | — | 2.57 | ||||
| Over 30 Years | 5.40 | — | 1.03 | ||||
| As of 06/18/2013 | |||||||