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

U.S. Mortgage Strategy

 
 
 
Summary

The 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 in mortgage-related securities such as mortgage pass-through securities, mortgage-backed securities, asset-backed-securities, collateralized mortgage obligations and commercial mortgage-backed securities.

+/- 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
Integrated investment approach:

The team’s investment approach integrates strong qualitative analysis with comprehensive quantitative valuation tools at every stage of the investment process, providing a robust credit management process. Investors have expertise across “consumer behavior-driven” securities, such as MBS, CMBS CMOs and ABS.

Global research:

An emphasis on a team-based approach to research and investment allows investors to benefit from the combined insight and expertise of Morgan Stanley Investment Management’s (MSIM’s) Global Fixed Income team. Approximately 80 percent of MSIM’s research is generated in-house and is supplemented by Morgan Stanley sell-side and third-party research.

Research and portfolio management:

Strategic investment decisions are made by an experienced investment team who continually conduct research to be at the forefront of fixed income analysis and are thought leaders in this field. Opinions from all members of the team are debated to ensure that portfolios reflect the team’s best ideas.

 
 
 
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
Global Fixed Income Bulletin
A Bumpy Ride
Jun 15, 2018
The Global Fixed Income team discusses how May was a schizophrenic month for financial markets, with both bouts of "risk on" and "risk off", and how they expect the high volatility to continue.
Global Fixed Income Bulletin
Ranges Are Meant to be Broken
May 11, 2018
The Global Fixed Income team discusses how we may have seen markets settle in a range in April, but that new economic data (better or worse) could force the market to change its expectations.
 
 
 
 

ご案内の運用戦略の中には、日本でご紹介していないものも含まれています。また、受託資産額が運用上限に達したため受託を一時的に停止している運用戦略が含まれている場合があります。詳細につきましては、お問い合わせ下さい。

リスクについて

受託資産の運用は、受託資産に組入れられた株式その他の有価証券等の価格変動リスクや株式その他の有価証券等の発行体の信用リスク等による影響を受けます。受託資産の運用による損益はすべてお客様に帰属し、元本が保証されているものではなく、元本損失又は受託資産に関して行われる取引に際し預託すべき委託証拠金その他の保証金の額を上回ることとなるおそれがあります。個別の受託資産ごとに投資対象資産の種類や投資制限、取引市場、投資対象国等が異なることから、リスクの内容や性質が異なりますので、投資一任契約を締結する際には、契約締結前交付書面をよくご覧ください。

受託資産の運用に係る費用について

投資顧問契約及び投資一任契約に係る投資顧問報酬として、契約資産額に対して年率2.16%(税込)を上限とする料率を乗じた金額が契約期間に応じてかかります。投資一任契約に基づいて投資信託を組み入れる場合は、投資する投資信託に係る費用等が投資顧問報酬に加えてかかる場合があります。また、一部の戦略では投資顧問報酬に加えて成功報酬がかかる場合があります。その他の費用として、組み入れ有価証券の売買手数料、先物・オプション取引に要する費用、有価証券の保管費用等を間接的にご負担頂いただく場合があります。これらの手数料等は契約内容、契約資産の額、運用状況等により異なる為、事前に料率、上限額等を示すことができません。

当ページの情報は、モルガン・スタンレー・インベストメント・マネジメント株式会社(以下、当社)が、投資一任契約においてご提供する運用プロダクトについての情報提供を目的として作成したものです。本資料は当社が信頼できると判断した情報を元に、十分な注意を払い作成しておりますが、当社はその正確性や完全性をお約束するものではありません。