Objective

Current income and long-term capital appreciation

Strategy

Uses top down macroeconomic analysis, along with fundamental industry and company research, to capture inefficiencies in the valuation of sectors and individual securities; this is combined with duration management (+/– 20% of the benchmark) in pursuit of above-benchmark returns over a full market cycle.

Fund Facts
Asset Manager
  • Brandywine Global Investment Management(Since 2/28/19)
  • Dodge & Cox, Inc.(Since 1/1/95)
  • SLC Management(Since 2/28/19)
Benchmark Barclays Capital Aggregate Bond Index
Fund Inception Date Class A: January 1, 1995; Class B: January 1, 2003
Mimimum Investment Class A: No minimum; Class B: $5 million
Expense Ratio Class A: 0.54%; Class B: 0.34%

Annual Average Total Returns
(%) as of 06/30/2020

Trailing 3 Months 1 Year 3 Years 5 Years 10 Years
CUIT Intermediate Diversified Bond Fund Class A 5.63 8.62 5.24 4.23 4.00
CUIT Intermediate Diversified Bond Fund Class B 5.69 8.83 5.41 4.40 4.15
Barclays Capital Aggregate Bond Index 2.90 8.74 5.32 4.30 3.82
Calendar Year 2019 2018 2017 2016 2015 2014
CUIT Intermediate Diversified Bond Fund Class A 8.78 0.00 3.38 3.53 -0.13 5.65
CUIT Intermediate Diversified Bond Fund Class B 8.93 0.14 3.54 3.69 -0.05 5.81
Barclays Capital Aggregate Bond Index 8.72 0.01 3.54 2.65 0.55 5.97

 

Source: BNY Mellon, SS&C

Characteristics as of 06/30/2020

Statistics Fund Index
Average Maturity (Yrs) 9.2 8.0
Effective Duration (Yrs) 6.1 6.0
Average Quality A+ AA
Yield-to-Maturity 2.4% 1.3%
Current Yield 3.2% 2.2%
# of Securities 804 11,609
Effective Duration Fund Index
< 1 Year 16.1 7.1
1 - 3 Years 28.0 33.9
3 - 5 Years 16.2 22.7
5 - 7 Years 8.2 10.5
7 - 10 Years 11.5 7.4
10 - 20 Years 18.2 13.8
> 20 Years 1.8 4.5
Market Sector Analysis Fund Index
Treasury and Gov't Related 25.0 43.2
Corporate 42.0 27.3
MBS 15.7 26.8
ABS 6.6 0.4
Cash 3.3 0.0
Credit Quality Fund Index
AAA 43.4 69.8
AA 4.5 3.6
A 18.6 12.4
BBB 27.0 14.3
Below BBB 6.5 0.0
Risk Metrics Fund
(5 YR)
Index
(5 YR)
Standard Deviation 3.4 3.1
Tracking Error 1.5 N/A
Sharpe Ratio 1.1 1.0
Information Ratio 0.4 N/A
Upside Capture 110.7 100.0
Downside Capture 104.6 100.0

 

 

Source: FactSet, eVestment
Credit Quality: Cash is included in AAA
Effective Duration: Cash is included in <1 Year

  • Q2 2020 Performance Review

    12-Month Review

    • The Fund started the year with a shorter duration which detracted from relative results during the first quarter’s dramatic decline in interest rates. For the year, duration strategies cost the Fund relative to performance.
    • Curve positioning had a modest positive impact on results.
    • Sector allocation added to relative performance. Overweight allocation to Corporate credit (particularly Industrials) contributed.  Corporate credit spreads narrowed meaningfully during the second quarter helping valuations.
    • Security selection detracted from relative performance for the one-year period due in part to the first quarter’s lingering negative impact from selection decisions within the non-agency CMBS and ABS sectors.

    3-Month Review

    • Duration and curve positioning had a roughly neutral impact.
    • Sector allocation contributed to relative performance. The Fund’s overweight allocation to Corporate credit and underweight to US Treasuries and Agency MBS contributed. Corporate spreads narrowed considerably during the second quarter as it became clear the Federal Reserve Bank and the US Treasury will continue to support economic stabilization / growth programs.
    • Security selection added to relative results. The allocation to certain Energy names helped as did an overweight allocation. Selection within ABS also contributed.

    Current Positioning

    • The Fund is neutral to the benchmark in duration and is maintaining an overweight to Corporate credit and an underweight to Treasuries and agency MBS.
    • The Fund is underweight US Treasury bonds and agency MBS, overweight corporate credit, ABS and CMBS.

 

All attribution is based on gross portfolio performance.

  • Fund Fact Sheet

    PDF
Please review our important disclosures.