International Bond

Overview

The strategy uses top down macro and bottom up country analyses to invest across foreign exchange, interest rates and credit securities in international and emerging markets.

Strategy Inception Date
June 15, 1995
Composite Inception Date
December 31, 2007
Composite AUM
(as of 07/31/2019)
$4.10 BN
Composite Benchmark
50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
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
ytd as of 2019-06-30
1 yr 3 yr 5 yr 10 yr since inception
International Bond (gross of fees)
8.41% 7.61% 4.72% 3.24% 4.68% 4.50%
International Bond (net of fees)
8.15% 7.10% 4.22% 2.75% 4.18% 4.01%
50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
7.63% 7.48% 2.84% 1.10% 3.35% 3.59%
Cumulative
Annualized
ytd as of 2019-07-31
1 yr 3 yr 5 yr 10 yr since inception
International Bond (gross of fees)
8.32% 5.33% 3.95% 3.35% 4.37% 4.46%
International Bond (net of fees)
8.02% 4.83% 3.45% 2.86% 3.87% 3.96%
50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
7.82% 6.73% 2.61% 1.31% 3.08% 3.58%

Year International Bond (gross of fees) International Bond (net of fees) 50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
2008 0.27% -0.21% 4.86%
2009 14.15% 13.61% 10.26%
2010 8.90% 8.38% 8.03%
2011 0.70% 0.22% 4.06%
2012 11.88% 11.35% 9.08%
2013 -3.18% -3.65% -5.95%
2014 1.33% 0.84% -1.59%
2015 -2.74% -3.21% -7.04%
2016 7.25% 6.74% 6.00%
2017 12.05% 11.52% 11.83%
2018 -4.94% -5.39% -3.58%
Portfolio

Top Countries

(77.8% of assets as of 07/31/2019)


Portfolio Holdings Breakdown

Developed Markets
Emerging Markets
Strategy
Credit Rating Allocation
Currency
Developed Markets International Bond 50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Europe 20.0% 30.3% -10.3%
Asia Pacific 0.8% 16.8% -16.1%
Americas 0.3% 1.3% -1.0%
Emerging Markets International Bond 50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Asia Pacific 23.1% 12.2% 10.9%
Americas 22.8% 17.6% 5.2%
Europe 14.0% 13.2% 0.8%
Africa 8.9% 5.5% 3.4%
Middle East 0.9% 3.0% -2.1%
Multi -0.5% - -
Strategy International Bond 50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Global Tactical Rates / FX: Global Tactical Rates 45.5% - -
Global Core Rates / FX: Global Core Rates 23.0% - -
Credit: Emerging Markets 13.6% - -
Credit: Developed Markets 8.2% - -
Credit Rating Allocation International Bond 50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Treasury 0.3% - -
AAA 0.7% 8.6% -8.0%
AA 4.6% 15.1% -10.6%
A 12.1% 32.2% -20.1%
BBB 25.5% 24.0% 1.5%
BB 18.7% 7.3% 11.4%
B 8.6% 5.6% 3.0%
CCC 1.4% 0.0% 1.4%
CC 0.4% - -
Unrated 16.1% 7.1% 9.0%
Other 2.1% - -
Currency International Bond 50% FTSE Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Euro 13.4% 25.4% -12.0%
Japanese Yen 12.9% 15.2% -2.3%
Norwegian Krone 7.3% 0.2% 7.1%
Indonesian Rupiah 5.8% 3.0% 2.8%
Brazilian Real 5.4% 3.0% 2.4%
Mexican Peso 4.7% 3.5% 1.2%
British Pound 4.4% 4.1% 0.3%
Swedish Krona 3.5% 0.2% 3.3%
South African Rand 3.2% 3.0% 0.2%
Russian Ruble 2.8% 2.4% 0.4%
Chilean Peso 2.8% 1.0% 1.7%
Indian Rupee 2.6% - -
Canadian Dollar 2.4% 1.3% 1.1%
Polish Zloty 2.3% 3.0% -0.8%
Korean Won 2.2% - -
Argentine Peso 2.1% 0.1% 2.0%
Colombian Peso 1.8% 2.0% -0.2%
Malaysian Ringgit 1.6% 2.1% -0.5%
Chinese Renminbi 1.5% - -
Egyptian Pound 1.3% - -
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
1.44
2.10
Beta
0.88
0.71
Information Ratio
0.51
0.56
R-Squared
85.05
74.43
Sharpe Ratio
0.40
0.43
Standard Deviation
6.47
5.92
Sortino Ratio
0.59
0.67
Tracking Error
2.63
3.67
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Maturity
4.79%
-
Yield to Worst
4.78%
2.82%
Average Effective Maturity
7.20 yrs
-
Current Duration
3.94 yrs
-
Average Coupon
5.67%
-
Turnover Ratio
115%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
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