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What happened here?

edited April 2013 in Fund Discussions
I don’t know much about bonds or bond funds, so I tend to keep an eye on them, and record some of the parameters from Morningstar.

Here are some numbers for the Loomis Sayles Strategic Income Fund (NEFZX) on two recent dates:

As of March 9, ,2013:

Cash 6.05%
U.S. Stocks 12.51%
Foreign Stocks 4.99%
Bond 59.90%
Other 16.54%

Credit quality: Low
Interest rate sensitivity: Extensive
Average effective duration: 6.56 years
Average effective maturity: 13.18 years
Average credit quality: BB

Yield: 5.09%
As of today, April 7, 2013:

Cash 5.53%
US Stocks 12.98%
Foreign Stocks 5.23%
Bonds 58.15%
Other 18.11%

Credit quality: Low
Interest rate sensitivity: Moderate
Average effective duration: 4.27 years
Average effective maturity: 6.69
Average credit quality: BB

Yield: 3.39%

I could guess, but I’d rather hear from someone who knows: what happened here? how did the average effective duration go from 6.56 years to 4.27 years in less than a month? how much selling and buying went on to change the interest rate sensitivity from “Extensive” to “Moderate”?

Thank you,



  • Hi, Archaic.

    You might want to find the dates of the portfolios that correspond to those stats. The Morningstar portfolio page is 2/28/13 for the "Style Details" and 1/30/13 for everything else.

    It could be that the portfolio you saw on 3/9/13 was as much as six months old. It's clear that their portfolio - as of 1/30 - had only about 40% of the weight in long bonds (20+ years) as their peers. It would certainly be possible that they sold off their long bonds entirely, which would take down the maturity a lot but I don't actually know that.

  • Also, the yield might look funky because I read lately that M* is beginning to use SEC effective yield now as a standardized thing. I notice the yield on my PREMX fell by about a couple of percentage points, boom-boom, quick-like, just like that. That may be a piece of the picture.
  • Thank you, gentlemen. Couple of good lessons here: 1) read the fine print; and 2) beware of boom-boom.

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