Structured Product Levered

Investment Objective

Maximize total return consistent with prudent investment management.

Investment Style

Construct a diversified portfolio that can opportunistically invest across all sectors of the structured product market including residential and commercial mortgage-backed securities, asset-backed securities, residual, defaulted and unrated securities, collateralized debt and whole loans. These portfolios can also use leverage.

Investment Vehicles

Commingled Vehicle Available

Performance as of December 31, 2017

The Structured Product Levered Composite is not measured against a benchmark. There is no benchmark available which appropriately reflects the strategy of this Composite.

Returns for periods greater than one year are annualized. Please see the Performance Disclosure for more information.

Snapshot

Strategy AUM: Total Structured Product Levered Assets:
US$375.1 million (as of December 31, 2017)
Benchmark: No Benchmark*
Inception Date: 01 Mar 10

Sector Allocation as of December 31, 2017

Structured Product Levered | Sector Allocation as of December 31, 2017
Note: Sector allocation includes look-through to any underlying commingled vehicles if held. All weightings are a percentage of total market value. A negative cash position may be reported, which is primarily due to the portfolio's unsettled trade activity. Data may not sum to 100% due to rounding.

Portfolio Characteristics as of December 31, 2017

Structured Product Levered | Portfolio Characteristics as of December 31, 2017
IMPORTANT INFORMATION: All investments involve risk including loss of principal. Past performance is not indicative of future investment results. This information is only for use by professional clients, eligible counterparties or qualified investors. It is not aimed at, or for use by, retail clients.
* The Structured Product Levered Composite is not measured against a benchmark.There is no benchmark available which appropriately reflects the strategy.