Investment Overview

This strategy provides 'intelligent exposure' to the floating-rate loan market, thoughtfully diversifying while assuming a higher-quality bias that seeks lower volatility and better risk-adjusted performance over time.
Target excess return: 25-75 basis points.
Target tracking error range: 100-200 basis points.
We aim to maximise risk-adjusted performance through fundamental credit research and risk-weighted portfolio optimisation.
Loans are analysed through Eaton Vance's proprietary credit research process, and position sizes are guided by credit analyst risk rankings.
We take less input risk by skewing weightings away from higher credit risk issuers.
We have experienced less output risk, resulting in lower absolute and relative volatility.
Eaton Vance is a leader in floating-rate loans, with one of the longest track records and longest-tenure teams, and largest AUM.*

*eVestment Alliance/Morningstar, 12/31/2020 Based on combined eVestment Alliance Floating-Rate Bank Loan Fixed Income universe and Morningstar Bank Loan category using AUM and oldest investment offering for each firm.
 

Portfolio Construction

Analysts assign relative risk rankings to each loan
Number of loans is approximately equal weighted by risk quintile
Market value incrementally skewed towards lower risk
Initial position size ranges from 0.1 % to 1.5 % as determined by risk rank
Portfolio is perpetually optimised for risk and return

Investment Team

Craig Russ

Co-director of floating-rate loans, portfolio manager

33 years of industry experience

22 years with Eaton Vance

B.A., Middlebury College


Andrew Sveen, CFA

Co-director of floating-rate loans, portfolio manager

25 years of industry experience

21 years with Eaton Vance

BA, Dartmouth College

MBA, University of Rochester


John Redding

Portfolio manager

35 years of industry experience

22 years with Eaton Vance

BS, State University of New York - Albany


Ralph Hinckley, CFA

Portfolio manager, senior research analyst

22 years of industry experience

16 years with Eaton Vance

BA, Bates College

MBA, Boston University Graduate School of Management


 

Benchmark

S&P/LSTA Leveraged Loan Index
 

Disclosure

Where possible the Strategy seeks to take into account ESG factors into its research and decision making, however, the Strategy noted herein is classified as an Article 6 strategy of the EU Council Disclosure Regulation (2019/2088).