A portfolio of high-quality mortgage– and asset-backed securities
A well-defined investment process that seeks to build a diversified portfolio with attractive yield/convexity characteristics
Managed by an experienced portfolio management team based in New York
We believe the US agency mortgage-backed security (MBS) market exhibits inefficiencies. We seek to exploit them by focusing on security selection and the characteristics that drive prepayment differentials: refinancing, relocation, defaults etc.
We think duration is a low-information-ratio trade, and therefore endeavour to keep duration times close to the benchmark in each case.
Risk control is also paramount: risk management and performance attribution serve as important feedback mechanisms
Our US Mortgage strategy follows a disciplined three-step process:
- Portfolio construction: combine top-down and bottom-up views to build a strong foundation of holdings with attractive yield/convexity profiles relative to the benchmark
- Tactical positioning: take advantage of relative value opportunities and off-benchmark positions
- Security selection: scrutinise underlying collateral of MBS pools using proprietary tools
Team and resources
Our US Mortgage team is based in New York. John Carey, who has more than 28 years of industry experience, leads the team.
The team consists of portfolio managers with expertise across different sectors of the US mortgage market including collateralised mortgage obligations (CMOs), non-agency MBS and commercial mortgage-backed securities (CMBS). They benefit from access to our global trading and risk management platform, Sustainability Centre, Quantitative Research Group and Macro Research team.