High Grade Core Intermediate 4th Quarter 2010
Samson’s High Grade Core Intermediate strategy is designed for non- taxable investors who value low volatility, high quality, liquidity and transparency. We do not buy BBB corporate bonds, mortgage structured products, asset-backed securities, or commercial mortgage-backed securities; even though all of these sectors are in the Barclays Intermediate Aggregate Index. Within corporate bonds, we only purchase securities that are approved by our own credit team and our analysis focuses on the highest quality issuers and the most liquid issues. As the table to the right shows, the Barclay’s Capital Intermediate Aggregate outperformed our strategy, we believe mainly due to the lower quality, higher volatility securities we do not purchase, and our barbelled portfolio structure. When we compare our performance to that of the benchmark excluding these kinds of securities, we are more in-line, though our barbell yield curve strategy (deemphasizing intermediate maturity bonds) was a drag on performance.