U.S. Mortgage Strategy
U.S. Mortgage Strategy

U.S. Mortgage Strategy

 
 
 
Summary

The Morgan Stanley U.S. Mortgage Strategy seeks a high level of current income, by investing in a diversified portfolio of mortgage-related securities. To help achieve this objective, the strategy invests at least 80 percent of its assets in mortgage-related securities such as mortgage pass-through securities, mortgage-backed securities (MBS), asset-backed securities (ABS), collateralized mortgage obligations (CMOs), and commercial mortgage-backed securities (CMBS).

+/- 0.5
Duration Band
200-300
Typical Number of Holdings
100%
Rated Investment Grade
 
 
Investment Approach
Philosophy

The team employs a value-based investment philosophy. They believe that bond prices reflect market forecasts for a variety of factors, such as economic growth, inflation, credit risk and prepayment risk, but that markets tend to be poor indicators of future events, especially when the implied market forecasts are at extreme levels.

As a value manager, the team seeks to identify situations where the market’s implied forecasts are extreme, and position the strategy to capture the potential value inherent in these situations. In order to capture these opportunities, the team is strongly committed to research and a disciplined, team-based investment process.

 
Differentiators
BUILT FOR TODAY’S BOND MARKET

We are active managers with an exclusive focus on alpha generation, a scarce commodity in today’s bond markets dominated by large passive investors. We are also backed by the global resources of Morgan Stanley, which makes us the “best of both worlds” for clients – true alpha focus with the support of a major institution.

A MORE POWERFUL COVERAGE MODEL

Our mortgage and securitized analysts cover the broad spectrum of global real estate and asset-backed securitizations.

ACCESS TO TENURED, WORLD-CLASS TALENT GLOBALLY

The portfolio managers on the Global Fixed Income team have an average of 25 years of investing experience and are focused on generating alpha. Our portfolio specialist team help design client solutions and keep portfolio managers connected to clients. Beyond seeking the best speed and efficiency in trade execution, our trading team think like investors with an average of 17 years investment experience.

 
 
 
Investment Process
1
Top-Down review:

The team is focused on determining where the market stands at each stage of the cycle. To help accomplish this, they evaluate macroeconomic factors such as employment, inflation, corporate/consumer credit and interest rate cycle.

2
Sector Allocation:

Transaction prices for securities of all mortgage-related products are captured by the team’s proprietary security market pricing database. Securities are segmented by product type, weighted average life/duration and credit stability. Expected cash flows of each bond are then projected using prepayment and credit-loss models. Finally, price/yield and weighted average life/duration profiles are derived from the models for each bond to help determine whether the bond is trading on a relatively rich, cheap or fair basis.

3
Security Selection:

The team’s experienced portfolio managers and traders purchase securities that best fit investment targets. Based on its value identification process that incorporates rigorous analyses and modeling, the team collects and prioritizes investment opportunities. They then determine if the identified securities fit the risk, philosophy, guidelines and maturity profile of the portfolio.

4
Risk Management:

Proprietary risk management and attribution systems allow the team to measure and manage portfolio risk on a daily basis, and help assess the impact of key investment decisions on investment performance. The team conducts monthly credit surveillance and generates collateral reports of prepayment and credit conditions, which allows them to review positions and decide if there is a need to amend the investment thesis.

 
 
Portfolio Managers
Managing Director
26 years industry experience
Managing Director
33 years industry experience
Chief Investment Officer of Global Fixed Income
30 years industry experience
 
 
Insights
Investment Insight
An Overview of the Global Securitized Markets
Apr 10, 2018
The Global Fixed Income Team discusses how current global market conditions present a compelling opportunity, in our opinion, to invest in the securitized markets.
Global Fixed Income Bulletin
The Macro Trends Which Matter
Aug 15, 2018
The Global Fixed Income team discusses that there comes a time when valuations get stretched too far and how volatility may be poised to pick up.
 
 
 
 

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