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: 0.39%

Annual Average Total Returns
(%) as of 03/31/2020

Trailing 3 Months 1 Year 3 Years 5 Years 10 Years
CUIT Intermediate Diversified Bond Fund Class A 0.25 6.09 3.81 2.77 3.73
CUIT Intermediate Diversified Bond Fund Class B 0.32 6.23 3.97 2.93 3.89
Barclays Capital Aggregate Bond Index 3.15 8.93 4.82 3.36 3.88
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 03/31/2020

Statistics Fund Index
Average Maturity (Yrs) 9.0 7.6
Effective Duration (Yrs) 6.1 5.6
Average Quality A+ AA
Yield-to-Maturity 3.3% 1.6%
Current Yield 3.6% 2.4%
# of Securities 752 11,152
Effective Duration Fund Index
< 1 Year 10.5 7.8
1 - 3 Years 35.1 39.8
3 - 5 Years 18.9 17.4
5 - 7 Years 6.3 10.6
7 - 10 Years 11.3 7.0
10 - 20 Years 14.7 13.1
> 20 Years 3.2 4.2
Market Sector Analysis Fund Index
Treasury and Gov't Related 19.3 47.6
Corporate 38.7 23.4
MBS 20.6 26.6
CMBS 10.0 2.1
ABS 7.1 0.4
Cash 4.4 0.0
Credit Quality Fund Index
AAA 48.1 73.8
AA 4.4 3.3
A 19.5 10.5
BBB 23.0 12.1
Below BBB 5.0 0.3
Risk Metrics Fund
(5 YR)
Index
(5 YR)
Standard Deviation 3.2 3.1
Tracking Error 1.2 N/A
Sharpe Ratio 0.7 0.7
Information Ratio 0.0 N/A
Upside Capture 100.4 100.0
Downside Capture 102.0 100.0

 

 

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

  • Q1 2020 Performance Review

    12-Month Review

    • The Fund had a positive absolute return for the year but underperformed the benchmark due to results from the first quarter of 2020.
    • The Fund started the quarter with a shorter duration versus the benchmark detracting from relative performance due to the recent sharp decline in interest rates. The Fund extended duration towards the end of the first quarter.
    • Curve positioning had a neutral impact.
    • Sector allocation detracted for the year. The Fund’s overweight allocation to Corporates and underweight to US Treasuries and MBS detracted. Corporate spreads widened considerably in the first quarter as investors sold corporate debt for safe-haven Treasuries. The Fund’s overweight to CMBS also detracted from relative performance.
    • Security selection had the biggest impact on benchmark relative results detracted. Selection decisions in the ABS, Industrials, Agency and CMBS were the biggest detractors.

    3-Month Review

    • The 3-month story is consistent with that for the year. The Fund started the quarter with a shorter duration versus the benchmark detracting from relative performance over the quarter due to the recent sharp decline in rates. The Fund extended the duration towards the end of the first quarter.
    • Curve positioning had a neutral impact.
    • Sector allocation detracted. The Fund’s overweight allocation to Corporates and underweight to US Treasuries was the biggest detractor. Corporate spreads widened considerably in March as investors rushed into safe-haven Treasuries. The Fund’s overweight to CMBS and underweight to Agency and MBS also detracted from relative performance.
    • Security selection detracted and had the biggest impact on benchmark relative results. Selection decisions in the ABS, Industrials, Agency and CMBS were the biggest detractors.

    Current Positioning

    • While there have been some changes to the Fund’s characteristics, the three sub-advisers are largely in a reassessing mode and are being careful not to over- or under react during this volatile and uncertain economic environment.
    • Yield curve positioning adjusted during the last part of the quarter as exposure to near-term maturities decreased and longer-term increased in the corporate credit sector due to attractive valuations.
    • The Fund is notably underweight US Treasury bonds and agency MBS and is meaningfully overweight corporate credit and ABS and CMBS.

 

All attribution is based on gross portfolio performance.

  • Fund Fact Sheet

    PDF
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