Quantitative Canadian Fixed Income Strategy

The strategy offers exposure to a widely diversified portfolio of high quality Canadian fixed income built from a quantitative process with the aim to provide significant excess return in a risk-controlled framework.

Fund Information

Offers investors an enhanced Canadian fixed income portfolio, through a financial engineering smart beta approach, that aims to provide persistent, significant excess return and is constructed for all market environments.

Benchmark

FTSE TMX Canada Universe Bond Index

Value added objective

1.00% (rolling 4 years)

Risk rating

Low
Significantly less volatile than benchmark

Style

Quantitative

Yield curve structure change

Tilts the yield curve to overweight the portions that are most efficient on a risk-adjusted basis.

Improved diversification

Vastly increases diversification to attain more sustainable excess returns across diverse economic environments.

Advanced risk management

Monitors and optimizes how risks interrelate to eachother within the portfolio.

Performance

%
Upside capture

Prudence

%
Downside capture

Persistence

%
Returns >= Benchmark's

Alpha

bps
Average Value-Added (5yrs)

Portfolio statistics

Sector (As of 06/30/2017) Strategy (DWE%*) Benchmark (DWE%) Deviation
*DWE% = Duration Weighted Exposure 100% 100% 0%
Government Bonds 36.4% 72.2% -35.7%
Investment Grade Corporate Bonds 26.3% 27.2% -0.9%
Residential Mortgages 17.7% 0% +17.7%
Commercial Mortages 9.8% 0% +9.8%
Global Fixed Income (CAD) 9.8 0% +9.8%
Asset Backed Securities 0% 0.7% -0.7%
Portfolio characteristics Constraints Strategy (DWE%*) Benchmark (DWE%) Deviation
Interest rate risk (duration) BM +/- 5% BM duration 7.06 yrs 7.43 yrs -0.37 yrs
Credit risk (credit quality) Weighted quality >= BBB (Investment Grade) A+ AA- -1/3 grade
Currency risk Currency risks hedged to CAD 0% 0% 0%

Performance Metrics

Portfolio metrics (5 yrs, as of 06/30/2017) Strategy Benchmark Peers*
*Peers = Morningstar Active Canadian Fixed Income Category
Annualized return 4.75% 3.26% 2.63%
Annualized standard deviation 3.05% 3.64% 3.11%
VaR (99%) 1.89% 2.05% 1.86%
Sharpe ratio 1.32 0.70 0.61
Sortino ratio 7.15 4.35 3.45
Information ratio 1.17 0.00 -0.82
Kurtosis 1.90 4.01 3.62
Annual returns 2011 2012 2013 2014 2015 2016 2017 Arithm. Avg
Value added -0.8% +3.3% +1.1% +0.5% +0.8% +2.5% +0.4% +1.4%
Nymbus Quantitative Canadian Fixed Income 8.5% 6.9% -0.1% 9.0% 4.0% 4.1% 2.8% 4.9%
FTSE TMX Canada Universe Bond Index 9.3% 3.6% -1.2% 8.5% 3.2% 1.6% 2.4% 3.5%
The Nymbus Quantitative Canadian Fixed Income strategy represents a modern and intelligent alternative to traditional fixed income exposures.