Short Duration Bonds Annual
Compound Returns
Short Duration Strategy Composite and Comparative Benchmarks
Annual Compound Returns for the Periods Ended December 31, 2011
| 3 Months | 1 Year | 3 Years | 5 Years | Strategy Inception 91 Months 6/1/04 |
Current Yield 12/31/11 |
Duration 12/31/11 Avg. Credit Quality |
Sharpe Ratio 91 Months ended 12/31/11 |
|
| CAM Before fees | 3.43% | 5.48% | 12.30% | 5.64% | 5.41% | 5.70% | 3.6/ Baa3 /BBB1 |
.48 |
| CAM after CAM's Fees | 3.35% | 5.14% | 11.92% | 5.26% | 4.84% | .40 | ||
| Barclays Intermediate Aggregate (1). | 0.91% |
5.97% | 6.19% | 6.09% | 5.41% | 3.54% | 3.6/ Aa1 | .56 |
| Barclays 3-Year Treasury Note (1). |
0.36% | 3.45% | 2.90% | 4.96% | 4.09% | 0.25% | 2.9/ Aaa/AA+ | .05 |
| Barclays Weighted Intemediate (3). | 3.51% | 3.99% | 15.05% | 6.46% | 6.15% | 6.21% | 3.3/ Baa3/BBB | .30 |
For the 3-months, we trailed the Barclays Weighted Intermediate benchmark by 8 basis points. Longer maturity (5-10 years) in the Intermediate Corporate Index outperformed that Index as a whole (Investment Grade positions have a shorter maturity); in addition, our higher quality high yield positions (BB and B) slightly trailed the high yield index (CCC rated securities account for approximately 17% of that index).
For the 12-months, we outperformed the Barclays Weighted Intermediate benchmark by 149 basis points. The difference was due primarily to the performance of lower rated securities in both the High Yield and Corporate Indexes which trailed their respective Index. We do not buy CCC rated securities and are always underweighted the BBB portion of the Corporate Index.
For the 3-years, 5-years and longer period, we trailed the Weighted Index by 275 basis points, 82 basis points, 74 basis points, respectively as BBB rated bonds and CCC rated bonds significantly outperformed their respective Indices during 2009.
With respect to the Intermediate Aggregate, we outperformed that benchmark for the 3-months and year by 252 and 203 basis points, respectively. We significantly exceeded that benchmark for 3-years (611 basis points) and trailed that benchmark for the 5-years by 45 basis points. The Aggregate does not include high yield bonds, so much of the performance difference (both positive and negative) was attributable to that factor. During 2008 and 2007, US Government securities significantly outperformed corporate and high yield bonds, resulting in our trailing the Index for the 5 year perio. Corporate bonds have provided longer term returns superior to those of Treasury and Agency securities.
Since the inception of the Short Duration Strategy 91 months ago, our Sharpe Ratio has exceeded that of the Barclays Weighted Index, 0.48 vs. 0.30.
