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Ellington veteran highlights shift from investment grade to junk
Ellington Management Group now manages more than $24bn in structured credit and mortgage assets, and its strategy has expanded beyond agency prepayment focus into multiple fund types.
Ellington Management Group veteran Greg Valli said the firm has grown to manage over $24bn in structured credit and mortgage assets, during a period he described as spanning two of the group’s three decades, according to Hedgeweek.
Valli said Ellington’s investment universe has expanded beyond agency mortgage prepayment strategies to include daily liquid, lower-risk funds, as well as drawdown funds and permanent capital vehicles.
He pointed to a major market regime change, saying the market moved from being essentially all investment grade to being entirely below investment grade, and added that several securities were not designed for the housing crisis that followed.
Valli also emphasized the role of modelling and forensic research in its due diligence process, saying the approach has been continually honed through downturns including the GFC and COVID.