Objective

Preserve capital while providing current income in excess of cash market yields with moderate emphasis on capital appreciation.

Strategy

Focuses on sector allocation and security selection, coupled with a  top-down macroeconomic risk management process; aimed at minimizing downside risk while maximizing income potential.

Fund Facts
Asset Manager
  • Longfellow Investment Management Co.(Since 7/1/08)
Benchmark Bloomberg Barclays 1-3 Year Treasury Index
Fund Inception Date January 1, 1985
Mimimum Investment No minimum investment required
Expense Ratio 0.34%

Additional Facts

The Fund’s benchmark was changed to the Barclays Capital 1-3 Year Treasury Index effective July 1, 2016. The benchmark performance shown reflects the linked performance of the following benchmarks for each applicable period: ML 1-3 Yr Treasury Index effective 7/1/01; ML 1-5 Yr G/C Index effective 4/1/98; 50% LB Intermediate Government /50% LB 1-3 Yr Government effective 5/1/96; LB 1-3 Yr Government in prior periods.

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

Trailing 3 Months 1 Year 3 Years 5 Years 10 Years
CUIT Short Bond Fund 2.51 3.25 2.68 2.25 2.06
Bloomberg Barclays 1-3 Year Treasury Index** 0.25 4.14 2.70 1.86 1.34
Calendar Year 2019 2018 2017 2016 2015 2014
CUIT Short Bond Fund 4.14 1.41 1.71 1.99 0.81 1.37
Bloomberg Barclays 1-3 Year Treasury Index** 3.59 1.56 0.42 0.86 0.54 0.62

 

Source: BNY Mellon, SS&C

** Effective July 1, 2016, the benchmark for the CUIT Short Bond Fund (SBF) was changed to the Bloomberg Barclays 1-3 Year Treasury Index. For periods prior to July 1, 2016, the applicable benchmarks were: ML 1-3 Yr Treasury Index effective 7/1/01; ML 1-5 Yr G/C Index effective 4/1/98; 50% LB Intermediate Government /50% LB 1-3 Yr Government effective 5/1/96; LB 1-3 Yr Government in prior periods. The benchmark performance shown for SBF in this presentation reflects the linked performance of these benchmarks for each applicable period.

Characteristics as of 06/30/2020

Statistics Fund Index
Average Maturity (Yrs) 2.2 1.9
Effective Duration (Yrs) 1.9 1.9
Average Quality A+ TSY
Yield-to-Maturity 1.7% 0.2%
Current Yield 2.8% 1.1%
# of Securities 229 94
Effective Duration Fund Index
< 1 Year 24.9 3.6
1 - 3 Years 59.5 96.4
3 - 5 Years 14.1 0.0
5-7 Years 1.5 0.0
7-10 Years 0.0 0.0
10-20 years 0.0 0.0
> 20 years 0.0 0.0
Market Sector Analysis Fund Index
Treasury and Gov’t Related 28.3 100.0
Corporate 37.9 0.0
MBS 2.4 0.0
CMBS 12.0 0.0
ABS 18.5 0.0
Cash 1.0 0.0
Credit Quality Fund Index
AAA 50.6 100.0
AA 9.0 0.0
A 19.4 0.0
BBB 17.2 0.0
Below BBB 3.9 0.0
Risk Metrics Fund
(5 YR)
Index
(5 YR)
Standard Deviation 1.4 1.1
Tracking Error 1.7 N/A
Sharpe Ratio 1.0 0.6
Information Ratio 0.4 N/A
Upside Capture 104.7 100.0
Downside Capture -7.2 100.0

 

 

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 ended the quarter with slightly longer than benchmark duration; duration positioning added to the Fund’s relative performance over 12 months.
    • Curve positioning had no impact.
    • Sector allocation was the main driver of underperformance.  The Fund’s allocation to Corporates (especially Industrials) and ABS detracted from relative results as corporate spreads widened considerably in the first quarter of 2020.  The Fund’s allocation to CMBS also detracted from relative performance. Much of the underperformance for the year is attributable to the events of the first quarter.
    • Security selection was slightly positive for the trailing twelve months, which is expected as much of the value add for the Fund is driven by sector allocation decisions.

    3-Month Review

    • In a reversal from the first quarter, the Fund outperformed the benchmark significantly in the second quarter.
    • The duration positioning had little effect on relative performance.
    • Curve positioning was slightly additive.
    • Sector allocation was the main driver of outperformance for the quarter.  Allocation to Corporates (especially Industrials) and ABS were the primary drivers of the positive results. Allocation to CMBS also contributed to relative performance. The same drivers of underperformance in the first quarter of 2020 were also responsible for the turnaround in the second quarter.
    • Security selection was neutral for the quarter.

    Current Positioning

    • The Fund maintains a modest duration overweight.
    • The Fund has maintained its “barbelled” positioning relative to the benchmark.
    • The Fund is meaningfully allocated to non-Treasury sectors. Those holdings are focused primarily in BB and B rated securities.

 

All attribution is based on gross portfolio performance.

  • Fund Fact Sheet

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