Mortgage Related Securities
Strategy
- Actively managed, high quality funds seek relative value in the MBS, ABS, CMBS and derivatives markets
- Extensive application of derivatives to hedge duration, manage gamma and vega exposures, and add return
- Flexible use of leverage through repo and mortgage TBA markets
- Target effective duration of 0.1 years
Strengths
- Extensive experience in MBS, mortgage derivatives, ABS, and CMBS markets
- Risk management expertise and presence in derivatives markets
- State-of-the-art proprietary systems for identifying relative value, optimizing portfolios, and controlling risks - built, tested and applied over past 15 years
- Breadth of investment opportunities across Babson Capital Management, including private ABS and real estate structures
Investment Philosophy
- Favor risk control vs. achieving the highest possible return at the expense of exposure to hidden or untested risks.
- Typically offset negative convexity in cash assets via derivative positions
- portfolios designed to benefit from interest rate volatility
- purchase out of the money protection against uncertainty
- Control leverage carefully, and expand only when it can be managed against potential loss with a high level of confidence
- Avoid purchasing assets with high yields when they are overpriced and require stable valuations in order to achieve a high return.
- Operate at a level of risk commensurate with values in the market
Questions?
If you have questions or would like more information about our products, please contact us by email or by phone at 1-877-766-0014