Characteristics

Bianco Research Fixed Income Total Return Index

A fixed-income index utilizing market-efficient "fund of funds" strategy. The Bianco Research Fixed Income Total Return Index seeks to outperform a comparable baseline neutral portfolio of fixed income securities.

Index Information

Ticker

BTRINDX Index

Benchmark

U.S. Core Fixed Income Universe

Inception

September 1, 2023

Index Methodology

BTRINDX Methodology PDF

Allocations

Historical Allocations EXCEL

Overview

Index Strategy

Leveraging over two decades of macro and fixed income research, the fund of funds strategy creates a cost-effective mechanism for expressing fixed income exposures. The index is composed of fixed income ETFs that are specifically selected and weighted to achieve specified factor exposures. The fixed income exposure includes government bonds, corporate bonds, mortgage-backed securities, high yield, inflation-protected, municipal, international, and emerging markets-related ETFs.

Portfolio Construction

The portfolio strategy is based on qualitative and quantitative inputs including economic data and interpretations of government policy. The Index is managed both by a top-down fund level approach and by looking through to underlying holding characteristics. Asset allocation guardrails include 50% - 200% allocation relative to the benchmark for credit, duration, and structure/mortgage weight.

A high conviction exposure to more speculative or diversifying positions is constrained to 0% - 20%.

In extraordinary market environments, the Investment Committee can select index constituents that are entirely composed of Treasury components.

The Process

UNIVERSE

Fixed Income ETFs

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Total Return Factor Analysis

Gross (2005) • Dewey & Brown (2019)

Ongoing analysis of total return factors are used to drive positioning decisions

DURATION

Sensitivity to changes in interest rates driven by expected inflation.

arrow_upward INFLATION

CURVE

Relative positioning along the benchmark yield curve. Positioning driven by economic outlook and Fed policy.

arrow_upward OUTLOOK

CREDIT

Quality and relative exposure is an evaluation of economic activity through spreads, equity correlations, and growth metrics.

arrow_upward ACTIVITY

STRUCTURE

Derived mainly from MBS & structured credit. Structure is often driven by liquidity and volatility conditions.

arrow_upward VOLATILITY

CONVICTION

Opportunistic allocations to generate alpha through consideration of macro economic factors.

arrow_upward OPPORTUNITY

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Benchmark Rebalancing

The Benchmark is rebalanced monthly to reflect intra-month market moves.

Active Index Construction

The active index is constructed by tilting relative to the benchmark based on factor decisions.