The complex nature of the closed-end fund universe requires a specialized approach and detailed analysis to identify relative value.
|Closed-end Fund Risk||Risk Management|
|Higher credit risk than core fixed income strategies, with allocations to sub-investment grade and non-rated issues||Screening at fund constituent holdings level for size, credit, and sector exposures|
|Use of leverage to boost yield can result in higher interest rate sensitivity||
Interest rate sensitivity analysis to determine what we believe to be true effective duration, optional interest rate hedge strategy
|Low average daily trading volumes call for sophisticated trade execution||Trade execution strategy designed to source liquidity and minimize market impact|
COMPOSITE PERFORMANCE (%) – INVESTMENT COMPANY STRATEGY (“ICS”)
Annualized Returns – of March 31, 2021
|QTD||YTD||1 YR||3 YRS||5 YRS||SI¹|
|Municipal ICS, gross||0.54||0.54||13.88||7.61||3.72||6.49|
|Municipal ICS, net||0.38||0.38||13.15||6.92||3.05||5.80|
|Bloomberg Barclays Municipal Bond Index||-0.35||-0.35||5.51||4.91||3.49||4.23|
|Added value, net||0.73||0.73||7.64||2.01||-0.44||1.57|
|QTD||YTD||1 YR||3 YRS||5 YRS||SI¹|
|Taxable ICS, gross||1.43||1.43||33.51||8.95||8.89||8.89|
|Bloomberg Barclays U.S. Aggregate Bond Index||-3.37||-3.37||0.71||4.66||3.10||3.10|
|Added value, net||4.63||4.63||31.95||3.59||5.08||5.08|
|Municipal ICS, gross||17.88||7.76||0.78||5.81||-6.32||17.67||6.99|
|Municipal ICS, net||17.13||7.07||0.13||5.13||-6.93||16.91||6.30|
|Bloomberg Municipal Bond Index||9.05||3.30||0.24||5.45||1.28||7.54||5.21|
|Added value, net||8.08||3.77||-0.11||-0.32||-8.21||9.37||1.09|
|Taxable ICS, gross||9.33||10.74||-8.00||25.52||7.93|
|Taxable ICS, net||8.81||10.03||-8.60||24.72||7.23|
|Bloomberg U.S. Aggregate Bond Index||-0.37||3.54||0.01||8.72||7.51|
|Added value, net||9.18||6.49||-8.61||16.00||-0.28|
¹ Municipal ICS Inception date: November 30, 2013; Taxable ICS Inception date: March 31, 2016.
*Partial year returns. The figures shown are from 3/3/16-12/31/16.
Past performance is not a guarantee of future results. Inherent in any investment is the potential for loss. Gross performance results do not reflect the deduction of management fees or other expenses. Net performance results, when shown, are calculated using the highest total fees and expenses currently charged to any US account, fund, or other investment vehicle using this strategy (collectively, the “accounts”), including management fees and all other expenses, but excluding custody fees. The actual management fee and expenses paid by an account may be higher or lower. Net performance results are calculated using the highest total fees and expenses currently charged to any account in this this strategy, including management fees and all other expenses but excluding custody fees. The actual management fee and expenses paid by an account may be higher or lower. Performance results reflect the reinvestment of dividends. The fees for each strategy are as follows: Municipal Investment Company Strategy: 0.65%, Taxable Investment Company Strategy: 0.65%.
Composite Descriptions: The Municipal Investment Company Strategy Composite, (the “ICS Composite”), was created December 31, 2013. The ICS Composite consists of all fully discretionary, fee paying separately managed accounts in the ICS style. The ICS strategy is a tactical, absolute return focused mandate appropriate for investors with seeking income and capital appreciation from municipal closed-end funds. Portfolios are invested a risk-managed selection of municipal closed-end funds. Composite returns are expressed in U.S. dollars. There is no minimum account size for this composite. For comparison purposes, the ICS Composite is measured against the Bloomberg Barclays Municipal Bond Index. The Taxable Investment Company Strategy Composite, (the “TICS Composite”), was created May 1, 2016. The TICS Composite consists of all fully discretionary, fee paying separately managed accounts in the TICS style. The TICS strategy is a tactical, absolute return focused mandate appropriate for investors with seeking income and capital appreciation from taxable closed-end funds. Portfolios are invested in a risk-managed selection of taxable closed-end funds. Composite returns are expressed in U.S. dollars. There is no minimum account size for this composite. For comparison purposes, the ICS Composite is measured against the Bloomberg Barclays U.S. Aggregate Bond Index.
Index Definitions: The Bloomberg Barclays Municipal Bond Index is a rules-based and market value weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from maturity date. Re-marketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark. The Bloomberg Barclays U.S. Aggregate Index is a rules-based, market value-weighted index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. In order to be considered investment grade, securities must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. To be included in the index, securities must have at least one year to final maturity regardless of call features, must have at least $250 million par amount outstanding. Asset-backed securities must have at least $500 million deal size and $25 million tranche size. For commercial mortgage-backed securities, the original transaction must have a minimum deal size of $500 million, and a minimum tranche size of $25 million; the current outstanding transaction size must be at least $300 million to remain in the index. Securities must be non-convertible and fixed rate, although they can carry a coupon that steps up or changes according to a predetermined schedule, and must be publicly issued. However, 144A securities with Registration Rights and Reg-S issues are included.