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Quarter	Letter Date	Fund Name	QTD	YTD	Tickers	Themes	Quick Take

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Bramshill Income Performance Fund 2023 Q1 Investor Letter | Buyside Digest

Back to Fund Profile (Bramshill Income Performance Fund)

Primary Source Intelligence • Q1 2023 Letter Analysis

Bramshill Income Performance Fund Quarterly Analysis

Buyside Digest is not affiliated with, and does not endorse, Bramshill Income Performance Fund. This analysis is provided for institutional research purposes only and is not investment advice.

Fund Returns

Annualized+2.65%

Positioning StanceConstructive

GeographyUS

Digest Analysis

Quick Take

"Bramshill targets preferred securities with floating rate features that benefit from rising Fed Funds rates expected to reach 5.45% and stay elevated through 2024."

Executive Summary

Bramshill Investments sees compelling opportunities in preferred securities, specifically targeting fixed-to-reset and fixed-to-float structures that benefit from rising interest rates. The manager expects Fed Funds to reach 5.45% by summer 2023 and remain elevated into 2024, creating attractive conditions for floating rate preferreds. The firm avoids fixed-for-life preferred securities, which face significant duration risk and trade at historically tight spreads versus corporate bonds. Instead, they focus on short-call structures trading at discounts with high back-end reset spreads exceeding 350 basis points over benchmarks. JPM and Charles Schwab preferred securities demonstrate the performance differences across structures, with fixed-to-float securities significantly outperforming fixed-for-life variants in 2022. The manager believes higher front-end rates will pressure credit spreads that remain too tight, making selective positioning in floating rate structures with built-in rate protection particularly attractive. Their multi-decade relationships and execution capabilities across both exchange-traded and institutional markets provide competitive advantages in this specialized asset class.

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Institutional Meta Strategy

Meta Strategy Gauges

Algorithmic conviction, macroeconomic posture, and risk appetite signals extracted from this quarterly letter with qualitative explanations.

Signal Matrix

Market Conviction

72%

CautiousHigh

High Conviction (72%)

High conviction score based on specific structural preferences clearly articulated with detailed analysis of individual securities. Manager names specific JPM and SCHW preferred securities, provides exact spread levels, and demonstrates clear thesis around floating rate structures. The specificity of back-end reset targets (>350bps) and call date preferences (<2 years) indicates strong conviction in the strategy.

Growth Outlook

25%

BearishBullish

Bearish (25%)

Manager expresses cautious optimism about fixed income opportunities with yields at multi-year highs, but acknowledges concerns about tight credit spreads and expects pressure from higher rates. The outlook is constructive for their specific strategy but tempered by broader market caution.

Risk Appetite

40%

DefensiveAggressive

Defensive (40%)

Portfolio is positioned selectively in preferred securities with specific structural features, avoiding broad market exposure to fixed-for-life preferreds. The approach is risk-conscious but opportunistic, targeting securities with built-in rate protection rather than taking broad duration risk.

Capital Deployment

15%

De-riskingDeploying

De-risking (15%)

Manager describes selective deployment in specific preferred structures while avoiding others, suggesting rotation rather than net deployment. No cash level changes mentioned, and the approach is characterized as cautious and selective rather than aggressive deployment.

Forward Guidance

30%

CautiousExpansionary

Cautious (30%)

Manager plans to continue targeting short-call, fixed-to-float structures while avoiding fixed-for-life preferreds. The deployment bias is selective and cautious, focusing on specific structural opportunities rather than broad market deployment.

Language Signal

20%

BearishBullish

Bearish (20%)

Language emphasizes opportunities and attractive structures but is balanced with significant risk warnings about credit spreads, rate risk, and market conditions. Terms like 'exciting time' are offset by 'cautious' and multiple risk discussions.

Perceived Risk

65%

Low RiskElevated

Elevated Risk (65%)

Manager identifies multiple specific risks including tight credit spreads, duration risk in fixed-for-life preferreds, and expects pressure from higher rates. Detailed discussion of rate risk and credit spread compression concerns, with specific warnings about fixed-for-life structures.

Opportunity Density

70%

ScarceAbundant

Abundant (70%)

Manager sees significant relative value opportunities in specific preferred structures, particularly short-call, fixed-to-float securities. While avoiding broad fixed-for-life market, they identify abundant alpha opportunities within their specialized focus area.

Time Horizon

45%

Short-TermLong-Term

Multi-Year (45%)

Strategy focuses on securities with short call dates (less than 2 years) and near-term rate catalysts. Manager expects Fed Funds to reach 5.45% by summer 2023, indicating a medium-term catalyst-driven approach rather than long-term buy-and-hold.