GSIG covers the short-term space of USD-denominated corporate bond giving emphasis on operating margin and leverage. The portfolio selection starts from the most liquid corporate high yields from the FTSE US Broad Investment-Grade Corporate Index, which includes US and non- US corporate securities (the Reference Index). A maturity-bucketing process is applied to approximate the average effective duration of the Reference Index. Bonds that meet liquidity requirements are divided into three industry groups: financials, industrials, and utilities. Within each group, issuers are ranked by operating margin and leverage, specifically EBIT margin and Debt to Enterprise Value. The top 90% with high operating margin and low leverage.
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