Investment Overview

Our team-based approach integrates our relative value philosophy, risk budgeting framework and fundamental security analysis.
Target excess return: 50-100 basis points
Target tracking error range: 100-200 bps
The team includes 25 professionals involved in portfolio management, fundamental research, quantitative analysis, risk management and trading.
We seek to gain from the credit-risk premium while emphasizing loss avoidance.
Our process combines top-down macro assessment with bottom-up fundamental analysis, targeting active risks to sector allocations, security selection and interest rate management.
We believe in using convexity as a tool to limit risk and protect on the downside, but participate on the upside.
The strategy has historically generated competitive relative risk-adjusted performance as well as low excess return correlation with most other core managers.*

*Source: eVestment Alliance

Portfolio Construction

Constantly aware of potential upside/downside capture positioning relative to benchmark
Diversified portfolio of 100 to 140 issues
Credit quality of BBB- or better with average AA+ rating
Duration target: +/-20% vs. index
Maturities of up to 10 years
Historical tracking error range of 50 to 150 basis points of active risk

Investment Team

Thomas H. Luster, CFA
Co-Director of Diversified Fixed Income
26 years of industry experience
21 years at Eaton Vance
BS, George Washington University
MBA, University of Chicago
Bernard Scozzafava, CFA
Director of Diversified Fixed Income Quantitative Research, Portfolio Manager
32 years of industry experience
10 years at Eaton Vance
BA, Hamilton College
MS, Massachusetts Institute of Technology


Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index