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Phases
Duration Decision
To determine the portfolio's duration we analyze:
- Top-down market fundamentals (e.g., inflation outlook and Federal Reserve Policy)
- Valuation and momentum via our proprietary models
Segment Decision
To determine the proper weightings we evaluate the market segments (e.g., corporate, mortgage, agency, and government) on a risk-adjusted income basis. Value is added via statistical valuation and momentum models.
Fundamental Issue Selection
We apply screens to evaluate each security on the basis of:
- Free cash flow
- Event risk
- Credit ratings trends
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