Fixed Income Fund

The student-managed Fixed Income Fund provides a hands-on learning experience in which students seek to achieve risk-adjusted returns that equal or exceed the returns on the Fund’s benchmark index. Students involved in the program work in conjunction with Professor Kevin Maloney to maintain a well-diversified portfolio consisting of investment grade fixed income investments, initially valued at $500,000.

LONG-TERM OBJECTIVE AND BENCHMARK

The Fund seeks returns, considering both income and price appreciation, in excess of its Benchmark, the Bloomberg Barclays Intermediate Government Credit Index, while maintaining a volatility less than 120% of that of its Benchmark. The Benchmark consists of U.S. Government notes and bonds, plus investment grade corporate bonds issued by U.S. corporations, with maturities between 1 and 10 years. Its characteristics and risks can and will be monitored through the Bloomberg terminals available for use by the students in the program. The Benchmark was chosen due to its relatively modest volatility, its wide diversification, and its common usage as a benchmark for both active and passive intermediate term fixed income portfolios. It is expected that the tracking error of the portfolio versus this benchmark, defined as the annualized standard deviation of excess returns, will be kept below 1%.

Other fixed income indices may be used from time to time to evaluate performance of portions of the Fund, such as individual fixed income sectors, and used in performance attribution analysis.

TYPES OF SECURITIES

Eligible investments will initially be limited to fixed income ETFs, plus individual U.S. Treasury and Agency notes and bonds. A list of eligible ETFs is attached in the appendix of this document. The ETFs on the eligible investment list must limit their underlying holdings to U.S. dollar denominated fixed income securities. ETFs containing corporate bonds or loans rated below investment grade by either Moody’s or Standard and Poors are eligible, but the total portfolio exposure to non-investment grade bond and loans will be limited to no more than 10% of the portfolio.

OTHER CONSIDERATIONS

Students will gain experience in the following:

  • Using Options for Risk Management
  • Diversification
  • Interest Rate Risk
  • Liquidity Considerations
  • Trading and Execution
  • Monitoring and Reporting

DOWNLOAD:

Investment Policy Statement – Fixed Income Fund (PDF)

 

2021 Monthly Reports:

January 2021 Fixed Income Report (PDF)

February 2021 Fixed Income Report (PDF)

March 2021 Fixed Income Report (PDF)

April 2021 Fixed Income Report (PDF)

 

 

2020 Monthly Reports:

December 2020 Fixed Income Report (PDF)

November 2020 Fixed Income Report (PDF)

October 2020 Fixed Income Report (PDF)

September 2020 Fixed Income Report (PDF)

August 2020 Fixed Income Report (PDF)

July 2020 Fixed Income Report (PDF)

May 2020 Fixed Income Report (PDF)

April 2020 Fixed Income Report (PDF)

March 2020 Fixed Income Report (PDF)

January 2020 Fixed Income Report (PDF)

 

2019 Monthly Reports:

December 2019 Fixed Income Report (PDF)

November 2019 Fixed Income Report (PDF)

October 2019 Fixed Income Report (PDF)

September 2019 Fixed Income Report (PDF)

August 2019 Fixed Income Report (PDF)

July 2019 Fixed Income Report (PDF)

June 2019 Fixed Income Report (PDF)

May 2019 Fixed Income Report (PDF)

April 2019 Fixed Income Report (PDF)

March 2019 Fixed Income Report (PDF)

February 2019 Fixed Income Report (PDF)

January 2019 Fixed Income Report (PDF)

 

2018 Monthly Reports:

December 2018 Fixed Income Report (PDF)

November 2018 Fixed Income Report (PDF)

October 2018 Fixed Income Report (PDF)

September 2018 Fixed Income Report (PDF)

August 2018 Fixed Income Report (PDF)

July 2018 Fixed Income Report (PDF)

June 2018 Fixed Income Report (PDF)

May 2018 Fixed Income Report (PDF)

April 2018 Fixed Income Report (PDF)

March 2018 Fixed Income Report (PDF)

February 2018 Fixed Income Report (PDF)

January 2018 Fixed Income Report (PDF)

 

2017 Monthly Reports:

December 2017 Fixed Income Report (PDF)

November 2017 Fixed Income Report (PDF)