High Grade Core Intermediate 4th Quarter 2011
4th Quarter 2011 Review and Outlook
The Samson High Grade Core Intermediate strategy entered 2011 with a material underweight to Treasuries (which we viewed as overvalued), and considerable non-benchmark allocations to undervalued tax-exempt municipals and Build America Bonds. We also had a modest overweight to corporate bonds, with our emphasis on high quality, transparent industrials. As we explained in our January 2011 commentary, the Treasury curve slope at that time was statistically very steep: at nearly 2 standard deviations away from the mean of the prior 3 decades, it was an appropriate time to employ a barbell curve strategy that would benefit from the flattening we anticipated.