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 subsectors 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

Dave Goodson is a managing director, head of securitized fixed income, and a senior portfolio manager for Voya Investment Management’s non-agency and agency mortgage-backed securities, commercial mortgage-backed securities, and asset-backed securities strategies. Prior to joining the firm, he was a principal at an independent investment bank focused on asset-backed commercial paper transactions. Dave began his career as a vice president in Wachovia Securities’ asset-backed finance group, marketing and executing securitizations for the bank’s corporate clients. He received a BS in management from the Georgia Institute of Technology.

Qualifications: Ihr Professional Learning | CFA Institute Competency Framework Skill = Financial Modeling + Investment Idea Generation + Portfolio Construction

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