Mount Vernon Associates, Inc.
Fixed Income Management
Formulation of our strategy:
Monitor and analyze market conditions as well as economic and political environment to establish a mid-term view on the direction of interest rates and on the evolution of the credit cycle
Determine from this view a desired position on the yield curve and set a target duration range
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+/- 10% of index duration
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+/- 20% of the index duration in case of a very strong opinion on the direction of interest rates.
Implementation/Investment Selection:
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Establish a list of industries/companies that should outperform in the expected investment environment
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Conduct a thorough credit analysis for those securities whose duration matches the target and rank them on a duration/risk contribution basis
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Select those whose spread is two standard deviations higher than the mean but has strong potential to tighten and whose creditworthiness will be, in our opinion, maintained or restored
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Invest in special situations where our ability to capture trends early allows us to benefit from complex credit events that larger investors bypass
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All investment decisions are jointly reviewed by the investment committee.
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Execution/ Monitoring
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Partner with top-tier Wall Street firms to work orders and get best execution
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Monitor each position on a daily basis
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Exit position when spread compresses less than the mean