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 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, 6/30/2019. 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

Craig Russ

Co-director of floating-rate loans, portfolio manager

33 years of industry experience

22 years with Eaton Vance

BA, Middlebury College

Andrew Sveen, CFA

Co-director of floating-rate loans, portfolio manager

24 years of industry experience

20 years with Eaton Vance

BA, Dartmouth College

MBA, University of Rochester

John Redding

Portfolio manager

34 years of industry experience

21 years with Eaton Vance

BS, State University of New York - Albany

Ralph Hinckley, CFA

Portfolio manager, senior research analyst

21 years of industry experience

15 years with Eaton Vance

BA, Bates College

MBA, Boston University Graduate School of Management

 

Benchmark

S&P/LSTA Leveraged Loan Index

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