Insurance & Target Duration
These strategies specify a duration target that matches a liability stream of a specific line of business. We work with our clients’ actuarial and accounting resources to identify the duration and convexity characteristics to construct a customized portfolio.
These portfolios are carefully constructed, placing an emphasis on both top-down macroeconomic and bottom-up fundamental assessment, and leveraging a strong risk framework. The portfolios produce stable income and predictable cash flows.
In order to maintain the targeted duration, the strategy places a greater emphasis on corporate bonds, both taxable and tax-exempt municipals (determined based on lines of business and tax impact), and call-protected structured products. These meet the objectives of quality and yield advantage. We include smaller allocations to sectors with prepayment risk. The Fixed Income Team meets daily, weekly, and monthly to assess the impact and relative value offered by the various sectors.
For more information on any of our strategies, please contact Michael Hanniford.