The ALM First Approach
ALM First’s investment team offers deep market experience producing proven results. Dedication to market research, trading level analytics, and a balanced approach guide ALM First’s portfolio management decision-making process. As your partner, ALM First will work to ensure your investment portfolio can enhance performance, quickly adapt, remain compliant, and respond to changes in markets. Each fixed income strategy portfolio is managed to a specific mandate based on your institution’s goals and risk tolerance.
ALM First’s Proven Strategies
Asset liability management is at the heart of ALM First’s investment philosophy. Focusing on our client’s portfolio goals, objectives, and liquidity needs is paramount to our continuing success. ALM First utilizes a thoughtful investment framework that seeks to maximize risk-adjusted returns within stated risk guidelines. Additionally, all investment decisions are regularly reviewed to ensure that actual performance is aligned with expectations. When goals and performance are no longer aligned, portfolio rebalancing must be considered.
ALM First focuses on strategies based on four different portfolio frameworks: Core Spread, Cash+, Enhanced Liquidity, and Investment Grade Credit.
Core Spread Portfolio
The Core Spread Portfolio strategy targets a duration of 2.25-2.75%, and portfolios seek to generate excess returns relative to the Bank of America Merrill Lynch 1-5 year Treasury/Agency index. The investment team generates outperformance via duration targeting, sector allocation, and security selection, in that order, and portfolios are built with an emphasis on credit quality and liquidity. Example holdings can include agency mortgage-backed securities (single-family and multifamily), floating-rate securities, repurchase agreements, and bank notes.
The Cash+ Portfolio targets investment advantages for institutions looking for very short-term portfolios, but a portfolio delivering returns in excess of the Federal Reserve’s rate of interest on excess reserves (IOER). The effective duration of the portfolio is equivalent of a 3-month Treasury bill or shorter. The benchmark for the portfolio IOER rate, ICE BofAML 3-Month Treasury Bill Index, and the interest-rate risk limit is based on an effective duration target of 0.25%.
The Enhanced Liquidity portfolio strategy targets a duration similar to a 6-month Treasury bill. Emphasizing credit quality and liquidity, Enhanced Liquidity portfolios seek to deliver excess returns relative to its T-bill benchmark and the interest rate on excess reserves (IOER) at the Federal Reserve. Portfolios consist primarily of agency mortgage-backed securities (single-family and multifamily), floating rate securities, repurchase agreements, and bank notes.
Investment Grade Credit
The Investment Grade Credit strategy focuses on investment grade credit in the 1-5 year area of the yield curve. It is designed to deliver a low tracking error return relative to the BAML 1-5 A-AAA corporate investment grade index. As with many of portfolio strategies, ALM First seeks to add excess returns through sector allocation and security selection.