Alma Ellington Structured Credit Income Fund

Fund Strategy

The Fund seeks to generate attractive yields through a core structured credit portfolio, with a low beta to broader credit markets. Utilises Ellington’s models and analytic tools to seek alpha through security selection, in addition to employing an active trading approach, aiming to capture bid-offer spread within its focus markets. Invests in assets across the securitized credit spectrum, with a focus on non-agency RMBS, CMBS, CLO, and ABS. Within those markets, the fund specifically focuses on assets with risk profiles that are typically more attractive than implied by their ratings. A large portion of the fund’s securitized assets have floating rate coupons and exposure to real assets such as housing, characteristics that position the fund well across a variety of macroeconomic scenario including the current inflationary environment. The Fund targets SOFR +4% over a full market cycle.

Investment Manager

Ellington Global Asset Management, LLC is an alternative credit firm dedicated to managing absolute return strategies, long-only investment solutions, and opportunistic private debt vehicles. Ellington’s credit investment capabilities include residential and commercial mortgage-backed securities, asset-backed securities, unsecuritised loans, and corporate debt instruments. Based in New York, Old Greenwich, and London, with $19bn in AUM.

Key Persons

Michael Vranos

Chief Executive Officer of Ellington

Mr. Vranos founded Ellington in December of 1994 to capitalize on distressed conditions in the MBS derivatives market. Until December 1994, Mr. Vranos was the Senior Managing Director of Kidder Peabody in charge of RMBS trading. With Mr. Vranos as head trader and senior manager, Kidder Peabody’s MBS department became a leader on Wall Street in CMO underwriting for each of the three years between 1991 and 1993. Mr. Vranos began his Wall Street career in 1983, after graduating magna cum laude and Phi Beta Kappa with a Bachelor of Arts in Mathematics from Harvard University. Mr. Vranos also devotes much of his time, energy, and resources to philanthropic causes, donating to worthy child advocacy, homeless relief, education, and medical research organizations across the country. A longtime director of Hedge Funds Care and recipient of the organization’s 2007 Lifetime Award for Caring, he supports the group’s mission to prevent child abuse and provide assistance for families in need. Mr. Vranos recently established a research fellowship to sponsor the ongoing work of the Harvard Stem Cell Institute. He currently resides in Greenwich, Connecticut.

Mark Tecotzky

Vice Chairman and Head of Credit Strategies at Ellington

Mr Tecotzky is co-CIO for Ellington’s two public REITs and is head of MBS pass-through trading. Prior to joining Ellington, Mr. Tecotzky was the senior trader in the mortgage department at Credit Suisse where he was instrumental in building its mortgage conduit to one of the largest on Wall Street. Mr. Tecotzky holds a B.S. from Yale University and received a National Science Foundation fellowship to study at Massachusetts Institute of Technology.

Gregory Valli

Managing Director and Co-Head Portfolio Manager of the Ellington’s Long-Only Products

Mr Valli joined Ellington in 2004 as an analyst where he helped manage the firm’s repo transactions and helped develop various aspects of Ellington’s proprietary portfolio management system. In 2007, Mr. Valli began working on the trading desk where his responsibilities have included trading non-agency RMBS, agency specified pools and ARMs, and mortgage REITs. In addition to his trading responsibilities, Mr. Valli oversees the firm’s Long-Only platform, which encompasses over $4 billion of assets across a variety of product types. Mr. Valli graduated summa cum laude with a Bachelor of Science in Economics from The Wharton School at the University of Pennsylvania.

Performance

The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Investment Manager's Commentary