- The Intermediate Duration MBS Composite includes all fixed income accounts, greater than $2 million, which contain exclusively federal agency mortgage-backed securities.
- The accounts are benchmarked to the Bloomberg U.S. MBS Index and typically maintain duration between 2.5 and 5 years.
- Duration of client portfolios is typically maintained +/- 1 year of the benchmark index and portfolio returns are generally expected to track the index closely. Cash is not held as a tactical allocation. No derivatives are used.
Composition as of December 31, 2022
The Bloomberg U.S. MBS Index contains exclusively agency mortgage-backed pass-through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). Index returns include the reinvestment of income and dividends but do not include management fees and transaction costs. Indices are included for comparison purposes only. Volatility, number of issues, capitalization size, year-to-year return history, and other security attributes of the indices differ from the attributes of the DBF portfolios.
“Bloomberg®” and The Bloomberg U.S. MBS Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have ben licensed for use for certain purposes by DBF. Bloomberg is not affiliated with DBF, and Bloomberg does not approve, endorse, review, or recommend The Intermediate Duration MBS Composite. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to The Intermediate Duration MBS Composite.
DB Fitzpatrick (DBF) is an independent investment management firm established in 1984 and is registered withthe U.S. Securities and Exchange Commission and the Idaho Department of Finance. Registration does not imply acertain level of skill or training. DBF manages a variety of equity, balanced, fixed income, and commercial mortgageassets for institutional and individual clients.
- Valuations and returns are computed and stated in U.S. Dollars.
- All account returns are net of transaction costs and reflect the reinvestment of dividends and other earnings. Gross returns do not reflect the deduction of the management fees. Net returns are net of model management fees in effect for the respective time period and are derived using the maximum rate of the fee schedule. Actual returns may vary.
- The minimum portfolio size for inclusion in the composite is $2,000,000.
- Future returns will depend on future allocation decisions. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that when redeemed, investments may be worth more or less than the original cost.
- Any investment, including DBF’s portfolios, has the potential of generating losses as well as profits.
- D.B. Fitzpatrick & Co., Inc. is the full legal name of the investment management firm.