Investment Overview

This strategy provides "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.
Target excess return: 25-75 basis points.
Target tracking error range: 100-200 basis points.
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 in delivering excess return by skewing weightings away from higher credit risk issuers.
We have experienced less output risk, resulting in lower absolute and relative volatility.
Eaton Vance is a leader in floating-rate loans, with one of the longest track records and longest-tenure teams, and largest AUM.*

*eVestment Alliance/Morningstar, 12/31/2017. 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.
Number of loans approximately equal weighted by risk quintile.
Market value incrementally skewed toward lower risk.
Initial position size ranges from 0.1% to 1.5% as determined by risk rank.
Portfolio is perpetually optimized for risk and return.
 

Investment Team

Scott Page, CFA
Co-Director of floating-rate loans, portfolio manager
37 years of industry experience
29 years at Eaton Vance
BA, Williams College
MBA, Amos Tuck School, Dartmouth College
Craig Russ
Co-Director of floating-rate loans, portfolio manager
32 years of industry experience
21 years at Eaton Vance
BA, Middlebury College
John Redding
Portfolio Manager
34 years of industry experience
20 years at Eaton Vance
BS, State University of New York-Albany
Ralph Hinckley, CFA
Senior research analyst, portfolio manager
21 years of industry experience
15 years at Eaton Vance
BA, Bates College
MBA, Boston University Graduate School of Management
Andrew Sveen, CFA
Head of trading
24 years of industry experience
19 years at Eaton Vance
BA, Dartmouth College
MBA, University of Rochester
 

Benchmark

S&P/LSTA Leveraged Loan Index