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.

Bloomberg Ticker: BTRINDX Index

Inception Date:  9/1/23

Benchmark: Baseline Neutral Portfolio

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.

  Relative Positioning  
schedule

Duration

Neutral

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Yield Curve

Neutral

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Corporate Credit

Underweight

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Securitized

Neutral MBS

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Conviction

5% USD Bullish

Characteristics





Sector Allocation (%)



Corporate

Conviction

Securitized

US Treasuries

Maturity (%)



0 - 1 Years

1 - 3 Years

3 - 5 Years

5 - 7 Years

7 - 10 Years

10+ Years

Credit Rating (%)



Aa

A

Baa

Duration (%)



0 - 1 Years

1 - 3 Years

3 - 5 Years

5 - 7 Years

7 - 10 Years

10+ Years



Allocation



Name Market Value (%)
iShares MBS ETF 28.20
iShares 3-7 Year Treasury Bond ETF 17.00
Schwab Short-Term U.S. Treasury ETF 9.65
Schwab Long-Term U.S. Treasury ETF 8.50
Vanguard Short-Term Corporate Bond ETF 8.39
Vanguard Long-Term Corporate Bond ETF 7.30
Vanguard Intermediate-Term Corporate Bond ETF 6.10
iShares BBB Rated Corporate Bond ETF 5.00
WisdomTree BBG USD Bullish Fund 5.00
iShares 7-10 Year Treasury Bond ETF 4.86

 

Effective June 3, 2024

 

Historical Allocations (Excel)