Strategy

The overall investment objective is to match the return versus the desired index. We seek to accomplish this investment objective by investing in U.S. Treasury securities and U.S. Government Agencies, while remaining duration-neutral to the benchmark. We expect return and risk (standard volatility of returns) to track that of the benchmark when measured over 3 to 5-year periods. We will seek anomalies within the universe and historically have provided  similar  volatility as the index.

Philosophy

In consideration of the objective, we first look to construct a portfolio that best matches the beta, term structure, and duration of the benchmark. In parallel, we seek to identify Treasuries and Agencies that provide relative value due to mispricing that occurs along the curve. We achieve this by analyzing historical z-spreads and identifying those CUSIPS that are trading rich/cheap relative to the benchmark’s yield curve. Trades are executed at 3 p.m. EST when official index closing prices are posted in order to reduce tracking error.

Investment Team

Richard Familetti,
CIO, U.S. Total Return Fixed Income

Michael Donelan,
Managing Director and Portfolio Manager

Daniel Lucey,
Managing Director and Portfolio Manager

Philip Mendonca,
Managing Director and Portfolio Manager

Matthew Salzillo,
Managing Director and Portfolio Manager

Annette Serrao,
Senior Director and Portfolio Manager

Annette Serrao,
Senior Director and Portfolio Manager


Please note that Sun Life Capital Management (U.S.) LLC advises on this strategy. Sun Life Capital Management (U.S.) LLC is registered with the U.S. Securities and Exchange Commission as an investment adviser and is also a Commodity Trading Advisor and Commodity Pool Operator registered with the Commodity Futures Trading Commission under the Commodity Exchange Act and Members of the National Futures Association.

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