We seek to capture upside in good markets and control downside in difficult markets, thereby delivering attractive returns to investors over time, without taking excessive risk.
Our core competencies include deep expertise in diversified credit, mortgage, and fixed income markets. Our diversified credit strategies follow disciplined asset selection and hedging in a broad range of sectors, comprising residential mortgages, commercial mortgages, consumer debt, and corporate debt / leveraged loans, expressed through a combination of securitized and unsecuritized loans, as well as cash and synthetic corporate credit.
In addition to the credit markets, Ellington devotes significant resources to mortgage prepayment modeling and trading capabilities as they relate to agency and non-agency mortgage derivatives, agency pools, and other prepayment-sensitive instruments.
Ellington commits substantial intellectual capital to the development of loan-level prepayment and credit models along with corporate credit-related models and fundamental research, allowing for insight into the behavior of these assets across a variety of interest rate and credit environments.
Modeling, research and infrastructure are at Ellington’s core. Ellington devotes significant operational resources to and is heavily invested in research and analytics, risk management, information infrastructure, and legal, compliance, and back office functions. A significant portion of Ellington’s employees are in research and infrastructure development. Our proprietary infrastructure includes integrated interest rate and sophisticated loan-level credit and prepayment models that provide deep insight into value and risk across a wide range of instruments.
