The fund’s Series A shares were up 1.84% in the second quarter, bringing the year-to-date return to 2.65%. Mortgage credit and index tranche strategies were the primary drivers of performance, with most of the fund’s investment strategies posting gains during the quarter.
The fund’s residential mortgage credit allocation, mostly consisting of Credit Risk Transfer (CRT) bonds, benefited from limited supply and a stable US housing market. Corporate credit derivative strategies recouped some o