This strategy specifies a duration target that matches a pool of investment assets with the liability stream of a specific line of business. Our investment strategists work with a client's internal or consulting actuary to identify the duration and convexity characteristics of a liability to construct a customized portfolio that should exhibit price movements similar to the liability. Typical clients in this strategy would be Life, Annuity and Long-Term Care companies.

To maintain the targeted duration, the strategy tends to underweight sectors with imbedded prepayment risk, such as mortgage-backed collateral and callable bonds. As a result, there is a greater focus on longer duration corporate (public and private) bonds, taxable municipals, and structured products. Similar to the Core Bond Strategy, our sector specialists, along with our internal investment committee, meet bi-weekly to determine sector over/under weighting. However, special consideration is given to the duration target of each individual portfolio.