Wellington Credit Total Return Fund Capital at Risk

This document is a technical report that discusses the Wellington Credit Total Return Fund and its approach to managing capital at risk, particularly through the use of duration as a hedging tool. The report outlines two scenarios from late 2022 and early 2023, detailing the investment team's rationale for their strategies in response to market conditions. In the first scenario, the team viewed US Treasury duration as a hedge against persistent inflation, believing that there was limited downside risk to Treasury prices. The report notes that inflation data peaked shortly after this assessment, leading to a rally in Treasury yields. In the second scenario, the team assessed the market's optimism regarding falling inflation and anticipated rate cuts, ultimately deciding to reduce their duration due to the perceived unfavorable risk-reward trade-off. The document emphasizes the importance of considering risks before investing and provides disclaimers regarding the nature of the information presented.