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Within the management of our Fixed Income products we use four main value-added strategies for portfolio management: duration, curve positioning, sector allocation and security selection.
For duration, curve and sector allocations, we establish ranges for yield spread relationships over the next 12-18 months. We incrementally adjust the portfolio in anticipation of mean reversion in these relationships.
For security selection, we focus on specific pricing opportunities. In particular, we emphasize spreads for different maturities, fundamental credit analysis of corporate issues, peer spreads and supply/demand issues

Real Return Bonds

Aurion Capital offers both an active and a passive Real Return Bond strategy that we believe is unique in Canada. We use three value added levers:
• Active duration management against the DEX RRB Index
• Arbitrage trading with currency-hedged investments in US Treasury Inflation-indexed Securities (‘US TIPS’) and other foreign inflation-linked bonds
• Break-even trading between real return bonds, and long nominal Canada bonds

Corporate Bonds

In Corporate Bonds, Aurion offers a product that uses the four main value added strategies: duration, curve positioning, sector allocation and security selection.
For curve and sector allocations and duration within the corporate portfolio, we emphasize a top-down economic outlook.

For security selection, we focus on bottom-up credit analysis and specific pricing opportunities. In particular, we emphasize spreads for different maturities, fundamental credit analysis of corporate issues, peer spreads and supply/demand issues.

Aurion Income Opportunities Fund

The Aurion Income Opportunities Fund, which was launched on March 17, 2009, is an income fund that takes advantage of a broad range of investments in the fixed income markets.  Income Opportunities seeks a higher level of total return from both income and capital gains.

Aurion Income Opportunities Monthly Fact Sheet (PDF)

Christine Horoyski
Derek Johnson
Nicole White