Insights


Insights   •   Fixed Income

Five Ways to Customize Your Fixed Income Core


Matthew J. Bartolini, CFA
Head of SPDR Americas Research, State Street Global Advisors

Treasury

33.3%

Corporate Credit

33.3%

Mortgages

33.3%

Intermediate Treasury

33.3%

Intermediate Corporate Credit

33.3%

Mortgages

33.3%

Treasuries

Short Term

14.0%

 

Intermediate

3.0%

 

Long Term

3.0%

Corporates

Short Term

7.7%

 

Intermediate

29.3%

 

Long Term

3.0%

Mortgages

 

40%

Constraints

Agg sector weight cannot exceed 40% or be less than 20%

 

Each duration bucket weight must be between 3–30%

 

Similar yield but with a portfolio, option-adjusted spread cannot exceed the Agg by 20%

Treasuries

Short Term

9.8%

 

Intermediate

2.1%

 

Long Term

2.1%

Corporates

Short Term

5.4%

 

Intermediate

20.5%

 

Long Term

2.1%

Mortgages

 

28.0%

Non-Agg

EM Debt

2.0%

 

US High Yield

2.0%

 

IG International Corporates

2.0%

 

Senior Loans

10.0%

 

IG Floating Rate Notes

9.8%

 

Pan-European High Yield

4.2%

 

70% in optimized Agg

 

No more than 10% in one of the non-Agg sectors

 

No less than 2% in one of the non-Agg sectors

 

Credit spread less than 150 (spread of IG Corporates)

 

Yield more than the Agg

Weight

Risk

 

 

 

32.5%

Currency

Developed Ex-US IG Corp

Developed Ex-US Sovereigns

 EM Local Debt

32.5%

Defensive Rates

Treasuries

TIPS

 

15.0% Credit/Growth

Mortgage-Backed Securities

IG Corporates

 

20.0%

Credit/Growth Short-Duration High Yield

Bank Loans

Convertibles

Short Term

45%

Intermediate

40%

High Yield

15%

Share
Footnotes
Glossary
Disclosures