Investment Overview

This strategy provides 'intelligent exposure' to the floating-rate loan market, thoughtfully diversifying while assuming a higher-quality bias that seeks lower volatility and better risk-adjusted performance over time.
Target excess return: 25-50 basis points.
Target tracking error range: 100-200 basis points.
We aim to maximise risk-adjusted performance through fundamental credit research and risk-weighted portfolio optimisation.
Loans are analysed through Eaton Vance's proprietary credit research process, and position sizes are guided by credit analyst risk rankings.
We take less input risk by skewing weightings away from higher credit risk issuers.
We have experienced less output risk, resulting in lower absolute and relative volatility.
Eaton Vance is a leader in floating-rate loans, with one of the longest track records and longest-tenured teams, and largest AUM.*

*eVestment Alliance/Morningstar, 12/31/2021 Based on combined eVestment Alliance Floating-Rate Bank Loan Fixed Income universe and Morningstar Bank Loan category using AUM and oldest investment offering for each firm.
 

Portfolio Construction

Analysts assign relative risk rankings to each loan
Number of loans is approximately equal weighted by risk quintile
Market value incrementally skewed towards lower risk
Initial position size ranges from 0.1 % to 1.5 % as determined by risk rank
Portfolio is perpetually optimised for risk and return

Investment Team

Andrew Sveen, CFA

Managing Director, Head of Floating-Rate Loans

Joined investment management industry in 1995

Joined Eaton Vance in 1999

BA, Dartmouth College, MBA, University of Rochester


Ralph Hinckley, CFA

Managing Director, Portfolio Manager

Joined investment management industry in 1997

Joined Eaton Vance in 2003

BA, Bates College, MBA, Boston University Graduate School of Management


Heath Christensen, CFA

Executive Director, Portfolio Manager

Joined investment management industry in 1999

Joined Eaton Vance in 2003

BS., The Pennsylvania State University


 

Benchmark

Morningstar LSTA US Leveraged Loan TR USD Index*
*Prior to August 29, 2022, the index name S&P/LSTA Leveraged Loan Index