Modeling Securitized Credit – Voya Investment Management – 5.29.20

Overview:
Title: Modeling Securitized Credit
Date: Friday, May 29, 2020
Time: 1:00 PM Eastern Daylight Time
Duration: 1 hour

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Summary:

Now On Demand.

The evolution in securitized credit markets post the financial crisis highlights the diverse array of opportunities spanning the securitized and structured finance universe. At the same time, the fragmented nature of the securitized credit universe has challenged index providers, as Securitized Credit encompasses a diverse range of sub-sectors traversing investment grade, to below investment grade and non-rated securities, as well an array of fixed and floating rate coupons. The confluence of these events has “broken the mold” for index creation, and hampered efforts to model and conduct asset allocation studies. With investors and asset allocators searching for ways to model and identify appropriate strategic allocations to this important part of the fixed income market, the course endeavors to address this challenge and highlight that investors have strategically under-allocated to this opportunity.

At the end of the course, participants will gain an understanding of:

  • The definition for Securitized Credit and what sub-sectors are part of the opportunity set
  • How to evaluate Securitized Credit funds/strategies
  • Build a Performance Series as a representative data set for conducting asset allocation optimizations
  • Identify “Home Base,” for optimizations and an accompanying optimization framework
  • Develop an optimization with and without tail events
  • Determine strategic allocation bands, with a review of optimization results and asset allocation approaches

Speakers:
Brett Cornwell, CFA Brett Cornwell, CFA Fixed Income Client Portfolio Manager Voya Investment Management

Brett Cornwell is a fixed income client portfolio manager at Voya Investment Management. Prior to joining the firm, Brett was the head of fixed income research for Callan Associates and before that, he was a senior research analyst at Wetherby Asset Management where he was responsible for all fixed income investment manager due-diligence and fixed income asset class coverage. Brett began his career in 1998 at Morgan Stanley Dean Witter. Brett received a BS in commerce and business administration from the University of Alabama. He holds the Chartered Financial Analyst® designation.
Hans Sapra Hans Sapra Fixed Income Portfolio Specialist Voya Investment Management

Hans Sapra is an assistant vice president, portfolio specialist on the fixed income team at Voya Investment Management. Previously, he held the position of senior portfolio management assistant focusing on Voya’s fixed income separately managed accounts business. Hans has a BS in international business and economics from Boston University and an MBA in finance from the University of Georgia. He holds the FINRA Series 7 securities license.