Investment Overview

Return potential is improved with rigorous fundamental analysis that captures specific investment opportunities
Fundamental credit analysis that integrates proprietary environmental, social and governance (ESG) research can help manage downside risk
Disciplined portfolio construction may help risk-adjusted performance
We believe significant experience and specialization in floating-rate loans is critical to adding value
Modest and prudent use of leverage allows for attractive yield enhancement potential over the long term

Portfolio Construction

Analysts assign relative risk rankings to each loan
Quintile ranking structure: 1 = lower risk, 5 = higher risk
Number of loans is approximately equal weighted by risk quintile
Market value incrementally skewed towards lower risk
Initial position sizes range from 0.1% to 1.5% as determined by risk rank

Investment Team

Craig Russ

Portfolio manager

33 years of industry experience

Managed Strategy Since Inception

B.A., Middlebury College

Catherine McDermott

Portfolio manager

30 years of industry experience

Managed Strategy Since 2018

B.A., Boston College



S&P/LSTA Leveraged Loan Index


Calvert Research and Management is an SEC registered investment adviser and wholly owned subsidiary of Eaton Vance Management.