Volatility persisted in the second quarter as risk assets fell in and out of favor. Commodity sectors led the corporate bonds, as measured by the Barclays U.S. Corporate Investment Grade Bond Index, higher in the risk-on April period. Then in May, a record issuance of $179 billion weighed on the market. Further new issuance in June, however, was met by strong demand from non-U.S. investors, which persisted into the end of the quarter and helped the sector withstand the pressures of the Brexit vote.
The Corporate Income Fund returned 3.75% in the quarter compared with 3.57% for the Barclays U.S. Corporate Investment Grade Bond Index. For the 12 months ended June 30, 2016, the fund returned 7.22% versus 7.94% for the Barclays U.S. Corporate Investment Grade Bond Index. The fund's average annual total returns were 7.22%, 5.65%, and 6.18% for the 1-, 5-, and 10-year periods, respectively, as of June 30, 2016. The fund's expense ratio was 0.62% as of its fiscal year ended May 31, 2015.
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Overall, the fund did not make many changes to credit quality over the quarter. The portfolio's credit distribution reflects the continued shift toward higher quality as we decreased the portfolio's allocation to the BBB quality segment in favor of AAA. However, the allocation to BBB rated bonds remained the portfolio's largest overweight relative to the benchmark. These lower-rated companies offer more opportunities for our credit team to uncover undervalued bonds that provide the portfolio with a compelling relative yield advantage.
Given the increase in uncertainty, we are cautious about adding risk. While corporate fundamentals have passed their peak in the U.S., investor demand remains strong on the back of continued easy monetary policy from central banks. While we expect U.S. rates to stay lower for longer, we believe that Brexit will remain a headwind to the market as more details about the execution of the plan come into focus. With that said, there will certainly be winners and losers, which will create opportunities for our credit analysts to take advantage of.