Characteristics
Bianco Research Fixed Income Total Return Index
A fixed-income index utilizing market-efficient "fund of funds" strategy. The Bianco Research Fixed Income Total Return Index seeks to outperform a comparable baseline neutral portfolio of fixed income securities.
Bloomberg Ticker: BTRINDX Index
Inception Date: 9/1/23
Benchmark: Baseline Neutral Portfolio
Overview
Index Strategy
Leveraging over two decades of macro and fixed income research, the fund of funds strategy creates a cost-effective mechanism for expressing fixed income exposures. The index is composed of fixed income ETFs that are specifically selected and weighted to achieve specified factor exposures. The fixed income exposure includes government bonds, corporate bonds, mortgage-backed securities, high yield, inflation-protected, municipal, international, and emerging markets-related ETFs.
Portfolio Construction
The portfolio strategy is based on qualitative and quantitative inputs including economic data and interpretations of government policy. The Index is managed both by a top-down fund level approach and by looking through to underlying holding characteristics. Asset allocation guardrails include 50% - 200% allocation relative to the benchmark for credit, duration, and structure/mortgage weight.
A high conviction exposure to more speculative or diversifying positions is constrained to 0% - 20%.
In extraordinary market environments, the Investment Committee can select index constituents that are entirely composed of Treasury components.
Relative Positioning
Duration
Underweight
Yield Curve
Slightly Bulleted
Corporate Credit
Underweight
Securitized
Overweight MBS
Conviction
15% 0-5 IS TIPS
& 5% USD Bullish
Characteristics
Sector Allocation (%)
Corporate
Conviction
Securitized
US Treasuries
Maturity (%)
0 - 1 Years
1 - 3 Years
3 - 5 Years
5 - 7 Years
7 - 10 Years
10+ Years
Credit Rating (%)
Aa
A
Baa
Duration (%)
0 - 1 Years
1 - 3 Years
3 - 5 Years
5 - 7 Years
7 - 10 Years
10+ Years
Allocation
| Name | Market Value (%) |
|---|---|
| iShares MBS ETF | 16.70 |
| Simplify MBS ETF | 16.65 |
| iShares 0-5 Year TIPS Bond ETF | 15.00 |
| iShares 7-10 Year Treasury Bond ETF | 8.85 |
| iShares 3-7 Year Treasury Bond ETF | 8.30 |
| Vanguard Intermediate-Term Corporate Bond ETF | 7.35 |
| Schwab Long-Term U.S. Treasury ETF | 7.30 |
| Wisdom Tree BBG USD Bullish Fund | 5.00 |
| iShares BBB Rated Corporate Bond ETF | 5.00 |
| Vanguard Long-Term Corporate Bond ETF | 4.75 |
| Vanguard Short-Term Corporate Bond ETF | 3.25 |
| Schwab Short-Term U.S. Treasury ETF | 2.20 |
Effective October 1, 2024