Emerging Markets Local Bond

Overview

The strategy uses top down macro and bottom up country analyses to invest across local currency emerging market sovereign debt.

Strategy Inception Date
December 31, 2013
Composite Inception Date
December 31, 2013
Composite AUM
(as of 07/31/2019)
$409.10 MM
Composite Benchmark
J.P. Morgan GBI-EM Global Diversified Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Calendar Year Returns
as of 07/31/2019
as of 06/30/2019

Cumulative
Annualized
3 mo ytd as of 2019-06-30
1 yr 3 yr 5 yr since inception
Emerging Markets Local Bond (gross of fees)
6.68% 10.47% 11.51% 6.12% 2.28% 2.97%
Emerging Markets Local Bond (net of fees)
6.52% 10.15% 10.85% 5.48% 1.67% 2.36%
J.P. Morgan GBI-EM Global Diversified Index
5.64% 8.72% 8.99% 4.24% -0.45% 0.65%
Cumulative
Annualized
3 mo ytd as of 2019-07-31
1 yr 3 yr 5 yr since inception
Emerging Markets Local Bond (gross of fees)
6.87% 11.12% 9.40% 5.93% 2.66% 3.04%
Emerging Markets Local Bond (net of fees)
6.71% 10.74% 8.75% 5.30% 2.05% 2.42%
J.P. Morgan GBI-EM Global Diversified Index
6.80% 9.73% 7.95% 4.36% -0.06% 0.80%

Year Emerging Markets Local Bond (gross of fees) Emerging Markets Local Bond (net of fees) J.P. Morgan GBI-EM Global Diversified Index
2014 -4.14% -4.72% -5.72%
2015 -10.76% -11.30% -14.92%
2016 13.53% 12.85% 9.94%
2017 16.46% 15.77% 15.21%
2018 -5.98% -6.55% -6.21%
Portfolio

Top Strategies

(100.0% of assets as of 07/31/2019)


Portfolio Holdings Breakdown

Country
Developed Markets
Emerging Markets
Credit Rating Allocation
Currency
Country Emerging Markets Local Bond J.P. Morgan GBI-EM Global Diversified Index Overweight / Underweight
Indonesia 12.0% 10.0% 2.0%
Colombia 10.6% 6.7% 3.9%
Thailand 6.5% 8.9% -2.3%
Mexico 6.2% 10.0% -3.8%
South Africa 5.9% 8.6% -2.7%
India 5.9% - -
Brazil 5.8% 10.0% -4.2%
Poland 5.5% 8.8% -3.3%
Russia 4.4% 8.0% -3.6%
Egypt 3.9% - -
Malaysia 3.9% 5.9% -2.0%
Hungary 3.7% 4.3% -0.7%
Peru 3.6% 3.8% -0.2%
Turkey 3.3% 3.8% -0.5%
Chile 3.2% 3.4% -0.1%
Argentina 2.2% 0.4% 1.9%
Dominican Republic 1.2% 0.2% 1.0%
Spain 0.5% - -
China 0.4% - -
Nigeria 0.3% - -
Developed Markets Emerging Markets Local Bond J.P. Morgan GBI-EM Global Diversified Index Overweight / Underweight
Europe 0.5% - -
Emerging Markets Emerging Markets Local Bond J.P. Morgan GBI-EM Global Diversified Index Overweight / Underweight
Americas 32.9% 34.7% -1.8%
Asia Pacific 28.8% 25.1% 3.7%
Europe 16.9% 31.6% -14.7%
Africa 10.1% 8.6% 1.5%
Credit Rating Allocation Emerging Markets Local Bond J.P. Morgan GBI-EM Global Diversified Index Overweight / Underweight
Treasury 2.0% - -
AAA 0.3% - -
A 19.7% 31.8% -12.1%
BBB 36.7% 37.0% -0.3%
BB 10.0% 12.8% -2.8%
B 1.7% 0.7% 1.0%
Unrated 22.2% 13.4% 8.8%
Other -3.5% - -
Currency Emerging Markets Local Bond J.P. Morgan GBI-EM Global Diversified Index Overweight / Underweight
Indonesian Rupiah 11.7% 10.0% 1.7%
Polish Zloty 10.9% 8.8% 2.2%
Thai Baht 10.4% 8.9% 1.5%
Mexican Peso 10.4% 10.0% 0.4%
Brazilian Real 9.1% 10.0% -0.9%
Russian Ruble 8.7% 8.0% 0.7%
Colombian Peso 8.0% 6.7% 1.3%
South African Rand 7.7% 8.6% -0.9%
Malaysian Ringgit 4.8% 5.9% -1.1%
Hungarian Forint 4.1% 4.3% -0.3%
Egyptian Pound 3.9% - -
Peruvian New Sol 3.5% 3.8% -0.3%
Chilean Peso 3.2% 3.4% -0.2%
Romanian New Leu 1.8% 2.4% -0.6%
Indian Rupee 1.6% - -
Czech Koruna 1.5% 4.3% -2.8%
Argentine Peso 1.4% 0.4% 1.0%
Turkish New Lira 1.2% 3.8% -2.6%
Dominican Peso 1.2% 0.2% 1.0%
Nigerian Naira 0.3% - -
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
1.58
2.59
Beta
0.97
0.92
Information Ratio
1.18
1.14
R-Squared
98.15
95.52
Sharpe Ratio
0.49
0.21
Standard Deviation
9.66
10.53
Sortino Ratio
0.70
0.31
Tracking Error
1.34
2.38
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Maturity
7.02%
-
Yield to Worst
7.02%
4.89%
Average Effective Maturity
10.10 yrs
-
Current Duration
5.66 yrs
-
Average Coupon
6.35%
-
Turnover Ratio
67%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
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