Details for Investment Manager
Investment Manager

Pyramis Global Advisor, Inc.

82 Devonshire Street
Boston, MA 02109
Asset Class and Objective Specialty intermediate bond fund
Fund Benchmark Barclays Capital Intermediate Aggregate Bond Index
Management Type Actively Managed
Investment Manager Pyramis Global Advisor, Inc. 82 Devonshire Street, Boston, MA 02109
Marketing Company Fidelity Management & Research
Restrictions on Transfers Investment funds in the FRS Investment Plan are subject to excessive trading restrictions as detailed in the FRS Investment Plan Summary Plan Description and FRS Excessive Fund Trading Policy.
Fees and Expenses Fees and expenses are only one of several factors that should be considered when making investment decisions. More information on fees and expenses can be found in the FAQs on the MyFRS.com website.
Investment Philosophy Intermediate Duration Portfolios are managed with an emphasis on broad-based research, which is used to leverage inefficiencies within fixed income markets. We seek to capitalize on inefficiencies primarily through issue selection across a broad universe of securities, domestic sector shifts and to a lesser extent, yield curve positioning. Our approach de-emphasizes macroeconomic forecasting and interest rate anticipation. In addition, risk control is emphasized. Through the integration of research (credit and quantitative), and trading Intermediate Duration strategy is implemented in a team environment, which results in an optimal flow of idea generation. Extensive risk management technology is utilized to explicitly quantify benchmark exposure to implement real-time compliance.
Research Process

The portfolio team relies upon Fidelity's extensive team (75+) of research analysts to identify and capitalize on opportunities across multiple sectors. Indeed, the Intermediate Duration investment team's ability to consistently add value across most sectors of the fixed income markers, including corporates, MBS, ABS, CMBS and governments, is a prime factor in our approach and our success. Our process de-emphasizes broad-based economic and interest rate forecasting. As such, we seek to remain duration neutral relative to the benchmark index.

We believe our emphasis on a collaborative team environment has also been a large part of our success. While portfolio managers have ultimate decision-making authority in Intermediate Duration portfolios, day-to-day decision making takes place in a team context where information is shared amongst portfolio managers, analysts, and traders.

Our investment approach is characterized by:
  • Diversified investment approach
  • Exceptionally broad scale of investment research organization (75+ research analysts)
  • Collaborative environment fostered by organizational structure
  • Continuity of investment personnel
  • Consistent investment approach
  • Strict quantitative controls and risk management
Security Selection Security selection in the Intermediate Duration portfolio is based on our fundamental, bottom-up research process. The majority of our expected alpha is derived from security selection. Fundamental considerations and relative value assessment will determine the individual security positions that we take relative to the benchmark.
Portfolio Construction

Decision-making within Intermediate Duration portfolios emphasizes security selection, sector allocation, and to a lesser extent, yield curve positioning. We do not rely on active duration management with Intermediate Duration portfolios, but instead maintain duration within a very narrow band around that of the benchmark (+/- 0.20 year of the index.). All issue selection decisions are made within set parameters for risk as measured through the quantitative modeling process. We purchase only investment-grade securities and generally overweight those debt issues where our research can add the most value: A and BBB .

We use a combination of fundamental and quantitative modeling. Our asset allocation model optimizes the sector allocation based on an expected alpha target, all while minimizing tracking error. The model output forms the basis for team discussions and is combined with the fundamental sector analysis and bottom-up security selection evaluation outlined above. In general, we find that the best sector opportunities lie within the non-Treasury/ Agency sectors like credit, mortgages, and asset-backed securities.

On a daily basis, we model the portfolio's exposure along the yield curve and compare the output with the characteristics of the benchmark. We also maintain an internally generated model using principal components analysis that examines potential yield curve reshaping and their potential impact on portfolio returns. From this analysis, we pick securities that we find are undervalued, making sure that exposure is not too divergent from the benchmark.
Sell Discipline The following factors influence our sell recommendations:

  • Corporate issues that either demonstrate detrriorating credit fundamentals or reach unattractive relative valuation levels will become sell candidates. We will not hold corporate issues that we believe are deteriorating fundamentally regardless of the yield advantage which they might offer.
  • Mortgage issues will be sold when specific prepayment characteristics become unattractive or when alternative mortgage issues offer more attractive relative valuations.
  • Treasury issues are sold based on relative value decisions driven by output from our team structure model, market technicals, and other qualitative factors.
  • Agency issues are sold based on relative value due to market technicals, valuation concerns, and other qualitative factors.
  • Asset-backed securities are sold based upon relative value, or deteriorating fundamentals.
Portfolio Manager(s)
Name Investment Experience Experience Last 5 Years
Robin Foley 23 years Vice President and Portfolio Manager.
Rob Galusza 22 years Vice President and Portfolio Manager.
IMPORTANT NOTE: The information on investment philosophy, research process, security selection, portfolio construction, sell discipline and personnel was provided to the FRS by product marketing companies or investment managers. The FRS has taken this information as given for the purposes of this document.