Investment Overview

This strategy seeks to provide "intelligent exposure" to the floating-rate loan market, thoughtfully diversifying while assuming a higher-quality bias that seeks lower volatility and better risk-adjusted performance over time. Fundamental credit analysis integrates proprietary environmental, social and governance (ESG) research powered by Calvert with the aim of managing downside risk.
We aim to maximize risk-adjusted performance through fundamental credit research and risk-weighted portfolio optimization.
Loans are analyzed through Eaton Vance's proprietary credit research process, and position sizes are guided by credit analyst risk rankings.
We take less input risk by skewing weightings away from higher credit risk issuers.
Modest and prudent use of leverage allows for attractive yield enhancement potential over the long term
Eaton Vance is a leader in floating-rate loans, with one of the longest track records and longest-tenured teams, and largest AUM**.
**eVestment Alliance/Morningstar, 12/31/2021 Based on combined eVestment Alliance Floating-Rate Bank Loan Fixed Income universe and Morningstar Bank Loan category using AUM and oldest investment offering for each firm.
 

Portfolio Construction

Analysts assign relative risk rankings to each loan
Quintile ranking structure: 1 = lower risk, 5 = higher risk
Number of loans approximately equal weighted by risk quintile
Market value incrementally skewed toward lower risk
Initial position sizes range from 0.1% to 1.5% as determined by risk rank

Investment Team

Andrew Sveen, CFA

Managing Director, Head of Floating-Rate Loans

Joined investment management industry in 1995

Managed Strategy Since 2020

BA, Dartmouth College, MBA, University of Rochester

Catherine McDermott

Managing Director, Portfolio Manager

Joined investment management industry in 1988

Managed Strategy Since 2018

BA, Boston College

 

Benchmark

Morningstar LSTA US Leveraged Loan TR USD Index*
*Prior to August 29, 2022, the index name S&P/LSTA Leveraged Loan Index
 

Disclosure

Calvert Research and Management is an SEC registered investment adviser and wholly owned subsidiary of Eaton Vance Management.

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