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Enhanced Cash
Product Description
An actively-managed portfolio constructed using the full range of high quality, domestic, short-maturity securities including U.S. Treasuries, Federal Agencies, asset-backed securities, corporates, and cash equivalents. The portfolio is designed to extract the term and liquidity premium that is inherent in the short-maturity yield curve. Portfolio duration is typically 9-15 months.
Objective
Seeks to outperform the Merrill Lynch 1 Year Treasury Bill Index or equivalent by 35 basis points over full market cycles, with a tracking error of approximately 35 basis points.
| Target Return: |
Exceed the benchmark by 35 basis points,
measured over a 2 year period |
Projected Tracking
Error: |
35 basis points |
Benchmark: |
ML 1-year T-Note |
Average Credit Quality: |
AAA |
Duration: |
9–15 months |
Risk Management
Portfolio risk is systematically measured and budgeted across all portfolio decisions (credit, yield curve, duration, liquidity, etc.) based on our forecast confidence, return and risk expectations, and our experience. No single decision dominates the contribution to risk or return. To maintain liquidity, we invest in the deepest and most liquid sectors of the short-maturity fixed income markets.
Factsheet
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Copyright ©2008 Brown Brothers Harriman & Co.
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