Conservative Income (current yield objective: 2.5%)
The Conservative Income model seeks to provide stable yield, through a diversified set of iShares ETFs. The model strives to generate income by combining ETFs that hold Canadian bonds, floating rate securities, U.S. high yield and corporate bonds.
The model has a conservative yield objective of 2.5% in the current environment and has the potential to change based on market conditions.
By subscribing to this model, you will receive quarterly updates so you can take a hands-on approach to your fixed income portfolio.
The Fixed Income models were launched on August 31, 2012. Data prior to the launch date is back-tested data (i.e. calculations of how the models might have performed over that time period had the model existed). Model performance is based on underlying indexes less fees. The 5-Year performance is an annualized number for the period 12/31/07 to 31/3/13. The trailing 12-month cash yield for CBH is an annualized figure as of 12/31 based on the most recent distribution.
- While each current yield objective was determined with reference to the current yields of the underlying ETFs, it is specific to each model and is not a prediction of ETF or model yield or reflective of actual results. Realized yields will vary and may be lower. Past performance is not predictive of future results.
- While volatility for each model was determined with reference to the volatility of the underlying ETFs, volatility is not meant to be a prediction of ETF or model volatility, so actual volatility of any portfolio based in whole or in part on the models shown will vary and may be higher. Volatility, represented by standard deviation, is measured by holdings-weighted return covariance for each respective model portfolio and shows how dispersed returns are around an average. Time period used was 12/31/08 to 31/3/13.
- Duration, represented by Option Adjusted Duration and a gauge of rate risk, measures the sensitivity of market price to parallel shifts in the yield curve. Positive duration means that as rates rise, the price decreases, and negative duration means that as rates fall, the price increases.
- Convexity, represented by Option Adjusted Convexity, helps to measure and manage the amount of market risk to which a portfolio of bonds is exposed unaccounted for by duration. As convexity increases, the exposure to market risk increases. As convexity decreases, the exposure to market risk decreases.
- Spread, represented by Option Adjusted Spread, measures the yield spread of a bond or portfolio over the risk-free interest rate and takes into account the possible changes in expected bond cash flows due to interest rate changes.
- Spread duration, a gauge of credit risk, measures the sensitivity to a 100-basis point movement in its Option Adjusted Spread (OAS) relative to the portfolio’s discount curve. Similar to duration, positive spread duration means that as spreads tighten prices increase, and vice versa.
- The Beta to 2-Year Government of Canada measures the portfolio’s sensitivity to changes in the 2-year maturity Government of Canada bond interest rate.
- The Beta to 10-Year Government of Canada measures the portfolio’s sensitivity to changes in the 10-year maturity Government of Canada bond interest rate.
- The Beta to Canadian Inflation Expectations measures the portfolio’s sensitivity to changes in the market interest rate spread between 20 year Government of Canada bonds and 20 year real return bonds.
- The Beta to the S&P/TSX Composite Index measures the portfolio’s sensitivity to changes in the value of the S&P/TSX Composite index.
- Contribution to risk measures the historical changes to risk associated with changes in a particular risk factor. Time period used was 12/31/08 to 31/3/13. Risk contributions are designed to sum to equal the total volatility of the portfolio. Past performance does not guarantee future results.
Risk contribution factors here are:
- Total Risk contribution is the total standard deviation of the portfolio and is the sum of the risk contributions across rate, credit, FX and other risk.
- Rate Risk contribution captures volatility associated with portfolio covariation with benchmark government interest rates.
- Credit Risk contribution captures volatility associated with portfolio covariation with investment grade, high yield and distressed debt credit spreads over benchmark interest rates.
- FX Risk contribution captures volatility associated with portfolio covariation with foreign exchange rate fluctuations.
- Other Risk contribution captures the remaining portion of volatility that is idiosyncratic relative to Rate, Credit and FX Risk.
Data shown is for informational purposes only, does not represent an actual account, and is not the result of any actual trading. This information should not be relied upon as research, investment advice or a recommendation regarding the iShares Funds or any security in particular. This information is subject to change. Actual investment outcomes may vary.