Enhanced Stock Indexing

Description

Enhanced Stock Indexing (ESI) is a portable alpha strategy, designed to generate excess return (versus common stock indexes) through the combination of stock index futures and short duration fixed income management. The desired (equity) beta exposure is met through futures contracts, and excess return is generated with active short duration bond management.

This approach takes advantage of Atlantic’s core competencies in derivative and fixed income management. The strategy is designed to generate a positive excess return over the benchmark with low tracking error. Although the S&P 500 is the most common index employed, this strategy can be applied to any domestic or international stock index for which a robust futures market exists.

Atlantic offers ESI based on either of two active Short Duration capabilities: Traditional Short Duration management and Short Duration High Yield management.

I. Traditional Short Duration ESI

There are three components to the excess return from this strategy: duration extension, duration management, and active bond selection.

Portfolios are structured to attempt to obtain higher yields than traditional money market vehicles by modestly extending maturities and fully diversifying portfolios across multiple sectors of the investment grade bond market. Interest rate risk is managed by limiting portfolio duration to 2 years or less. Portfolios are fully diversified with high quality, short maturity bonds across several sectors of the bond market.

II. Short Duration High Yield ESI

Short Duration High Yield portfolios are constructed by affiliate Fountain Capital Management, with some 50 high quality names in the BB and B segments of the non-investment grade market. These credits have maturities of 7 years or less and average duration is typically around 2 years. Credit selection focuses on asset values well above debt; and strong free cash flow generation capabilities.

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Minimum Account Size

Separate account: $25,000,000, which may be changed at Atlantic’s discretion.

Footnotes

Past performance is no guarantee of future results. No part of this publication may be reproduced in any form, or referred to in any other publication, without express written permission. Information has been obtained from sources believed to be reliable but not guaranteed. All investments managed by Atlantic, its affiliates or otherwise described herein entail risks. Please see the “Terms of Use” page of our website for important information and disclosures relating to this website and our services. This is not a recommendation or offer of any particular security, strategy or investment product, but is distributed for educational purposes only.