High Grade Core Intermediate 3rd Quarter 2011
In previous commentaries, we expressed our concern that certain sectors of the market, such as Treasuries, were overvalued. We also noted that we would maintain a fully invested posture and seek to generate returns consistent with our comparative index, but with less credit and interest rate risk. Thus, we targeted a shorter duration than the benchmark, and an underweight Treasury allocation. As it turned out, Treasuries were the best performing sector of the market in the 3rd quarter. And yet, despite our stance on Treasuries, the 3rd quarter and the year-to-date returns of our strategy were mainly in line with the benchmark.
We will discuss our sector allocation strategy and how we generated a benchmark-like return with a carefully risk managed approach in greater detail.