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Portfolio > Economy & Markets > Fixed Income

Parametric Introduces Custom Core Fixed Income: Portfolio Products

By Jeff Berman

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Parametric Portfolio Associates launched Parametric Custom Core Fixed Income individual separate accounts.

The new fixed income portfolios combine “the benefits of index-based portfolio construction, active credit oversight and direct ownership of securities,” the company said. They “can be customized to reflect each client’s individual responsible investment criteria and other desired portfolio tilts and inclusions, to incorporate the client’s pre-existing securities holdings and to harvest tax losses on a year-round systematic basis,” Parametric said.

The benchmark-based separate accounts compete against index exchange-traded funds and index mutual funds across a range of applications based on enhanced tax efficiency, increased client control over portfolio construction and management and the avoidance of pass-through fund operating and trading costs, the firm said.

The portfolios are managed by Parametric’s team of 45 fixed income professionals, which as been developing portfolio construction algorithms over the past several years to bring Custom Core’s advantages to bond investors and is led by James H. Evans, Parametric’s chief investment officer, fixed income.

TagniFi Releases TagniFi Funds

TagniFi launched TagniFi Funds, a dataset of closed-end funds that it said contains daily historical data for every publicly traded closed-end mutual fund in the U.S.

TagniFi customers will automatically receive access to TagniFi Funds, allowing them to search and analyze 20 years of historical closed-end fund data, including, fund category and subcategory, discount or premium to NAV, yields, net assets, percent of top 10 holdings and percent of leverag.

Prior to TagniFi Funds, access to comprehensive closed-end fund data had been reserved for clients of legacy financial data terminals with pricing “out of reach for most finance and investment professionals,” the firm said.

The historical closed-end fund data available is “at a fraction of the cost without sacrificing data quality or capabilities” and lets clients calculate the historical discount or yield for funds as of any date back to July 2000 for valuation or analysis purposes, the company said.

Janus Henderson to Offer New ETF

Janus Henderson Investors filed a preliminary registration statement with the Securities and Exchange Commission for the Janus Henderson AAA CLO ETF for U.S. investors.

The new actively managed ETF will be focused on AAA-rated Collateralized Loan Obligations and and will seek capital preservation and current income by seeking to deliver floating-rate exposure to high quality AAA-rated CLOs, the firm said. If approved, the fund is expected to launch on or around Oct. 22, the company said in an announcement. Its ticker will be JAAA.

The SEC filing did not specify the exchange the ETF will trade on nor its net expense ratio. The firm declined to comment on Monday. The new fund will be managed by portfolio managers John P. Kerschner and Nick Childs, CFA. Jessica Shill will serve as assistant portfolio manager.

S-Network YARP Large Cap Value 50 Index Launches

Alerian division S-Network Global Indexes teamed with Sungarden Investment Management to launch the S-Network YARP Large Cap Value 50 direct index strategy on the SMArtX Turnkey Asset Management Platform (TAMP).

The S-Network YARP Large Cap Value 50 Index is a value equity strategy that screens the top 50 companies in the S-Network US Equity Large Cap 200 Index based on a constituent’s dividend yield, yield history and proprietary Yield at a Reasonable Price valuation score, the companies said.

Its methodology, developed by Sungarden founder Rob Isbitts, and Tyler Isbitts, his son and index analyst intern at S-Network Global Indexes, evaluates the tradeoff between a stock’s long-term upside potential and risk of major loss, the companies noted.

Direxion Plans Reverse Splits of Six ETFs

Direxion plans to execute a reverse split of the issued and outstanding shares of six ETFs that trade on  the NYSE Arca, reducing their share numbers by about 90% each.

Affected ETFs include: the Direxion Daily S&P Biotech Bear 3X Shares (LABD, with a net expense ratio of 1.06%, a 1-for-20 reverse split ratio, cutting share numbers by about 95%); Direxion Daily Semiconductor Bear 3X Shares (SOXS, 1.08%, 1 for 12 reverse split ratio, a roughly 92% decrease); Direxion Daily Communication Services Index Bear 3X Shares (MUTE, 1.07%, 1 for 10, about 90%); Direxion Daily Consumer Discretionary Bear 3X Shares (PASS, 1.08%, 1 for 10, about 90%); Direxion Daily Dow Jones Internet Bear 3X Shares (WEBS, 1.07%, 1 for 10, about 90%); and Direxion Daily S&P Oil & Gas Exp. & Prod. Bear 2X Shares (DRIP, 1.07%, 1 for 10, about 90%).

Total market value of the shares outstanding will not be affected as a result of the splits, which will become effective after the close of the markets on Aug. 27, except with respect to the redemption of fractional shares, the company said.

Innovator Capital Announces Upside Caps

Innovator Capital Management announced upside caps for its August Series of S&P 500 Buffer ETFs.

The Innovator S&P 500 Buffer ETF-August (BAUG) buffer level is 9% and cap is 16.70%, while the Innovator S&P 500 Power Buffer ETF-August (PAUG) buffer level is 15.00% and cap is 10.87%. The Innovator S&P 500 Ultra Buffer ETF-August (UAUG) buffer level is 30.00% and cap is 7.15%.

The ETFs, designed to provide investors with built-in buffers against losses, each have a net expense ratio of 0.79%.

— Check out last week’s portfolio product roundup here: Global Beta ETFs Adds 2 Factor-Based ETFs: Portfolio Products

Jeff Berman

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