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GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. T. Rowe Price has been independently verified for the twenty four-year period ended June 30, 2020, by KPMG LLP. The verification report is available upon request. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report.

TRP is a U.S. investment management firm with various investment advisers registered with the U.S. Securities and Exchange Commission, the U.K. Financial Conduct Authority, and other regulatory bodies in various countries and holds itself out as such to potential clients for GIPS purposes. TRP further defines itself under GIPS as a discretionary investment manager providing services primarily to institutional clients with regard to various mandates, which include U.S, international, and global strategies but excluding the services of the Private Asset Management group.

A complete list and description of all of the Firm's composites and/or a presentation that adheres to the GIPS® standards are available upon request. Additional information regarding the firm's policies and procedures for calculating and reporting performance results is available upon request

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Past performance is not a reliable indicator of future performance.

Strategy

Global Aggregate Bond

The Global Aggregate Strategy (USD) Bond Composite is comprised of portfolios that seek current income and capital appreciation primarily through investment in fixed income securities issued by governments and other investment grade entities. Below investment grade issues including high yield and emerging debt securities are also permitted. The use of derivatives, including futures and options, is also permitted.

3YR Return Annualised (Net)
(View Total Returns)

Tracking Error
(5 Years)

4.98%
1.19%

1YR Return (Net)
(View Total Returns)

Information Ratio
(5 Years)

-0.84%
0.71

Inception Date 31-May-2006

Performance figures calculated in USD

Arif Husain, CFA
Arif Husain, CFA, Portfolio Manager

Arif Husain is the head of the International Fixed Income Division. He is a co-portfolio manager for the International Bond and Institutional International Bond Strategies and the lead portfolio manager for the Global Aggregate Bond Strategy. Arif also is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd.

 

Strategy

Investment Approach

  • To generate consistent performance over benchmark by exploiting inefficiencies in the full universe of the global fixed income and currency markets:
    • Focus on successful alpha generation.
    • Importance of effective risk management.
  • Target average tracking error: Between 150 basis points and 300 basis points per annum.
  • Alpha generation classified under three main performance activities:
    • Currency Management: 35% Expected contribution to value added
    • Country/Duration Management: 35% Expected contribution to value added
    • Sector Allocation / Issue selection: 30%

Portfolio Construction

  • Currency limit: maximum +/- 40% relative to benchmark
  • Weighted duration limit: maximum +/- 3 years relative to benchmark
  • Sub-investment grade: maximum 20%
  • Above investment grade: not restricted (includes corporates and emerging markets)
  • Portfolio holdings: between 400 and 600 issuers
  • Average credit quality: A- or better

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 57.78% Was (30-Jun-2021) 49.25%
Other View Top 10 Issuers

Monthly data as of30-Sep-2021

Holdings

Total
Holdings
647
Largest Holding Japan Government Five Year Bond 4.17% Was (30-Jun-2021) 4.18%
Top 10 Holdings 26.84%
Other View Full Holdings Quarterly data as of  30-Sep-2021

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating Below Investment Grade US Treasury
By % 9.79% -4.40%
Portfolio 10.10% 10.42%
Benchmark 0.31% 14.82%

Average Credit Quality

A+

Monthly Data as of  30-Sep-2021
Benchmark:  Bloomberg Global Aggregate Bond Index

Sources for Credit Quality: Moody’s Investors Service; if Moody’s does not rate a security, then Standard & Poor’s (S&P) is used as a secondary source. When available, T. Rowe Price will use Fitch for securities that are not rated by Moody’s or S&P. T. Rowe Price does not evaluate these ratings but simply assigns them to the appropriate credit quality category as determined by the rating agency. T. Rowe Price uses the rating of the underlying investment vehicle for credit default swaps.

U.S. Treasury securities are issued by the U.S. Treasury and are backed by the full faith and credit of the U.S. government. The ratings of U.S. Treasury securities are derived from the ratings on the U.S. government. 

Maturity View maturity analysis

  Largest Overweight Largest Underweight
Maturity 7-10 Years Cash Equivalents
By % 4.30% -3.85%
Portfolio 20.81% -3.85%
Benchmark 16.51% 0.00%

Weighted Average Maturity

10.24 Years

Monthly Data as of  30-Sep-2021
Benchmark:  Bloomberg Global Aggregate Bond Index

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration 7-10 Years 1-3 Years
By % 6.50% -5.49%
Portfolio 19.51% 17.94%
Benchmark 13.01% 23.43%

Weighted Average Duration

6.63 Years

Monthly Data as of  30-Sep-2021
Benchmark: Bloomberg Global Aggregate Bond Index

Sectors

Total
Sectors
6
Largest Sector Government 63.82% Was (30-Jun-2021) 58.99%
Other View complete Sector Diversification

Monthly Data as of 30-Sep-2021

Benchmark: Bloomberg Global Aggregate Bond Index

Largest Overweight

Government
By6.23%
Portfolio 63.82%
Benchmark 57.59%

Largest Underweight

Agency/Supranationals
By-10.23%
Portfolio 0.34%
Benchmark 10.57%

Monthly Data as of 30-Sep-2021

Countries

Total
Countries
54
Largest Country United States 35.43% Was (30-Jun-2021) 32.40%
Other View complete Country Diversification

Monthly Data as of 30-Sep-2021

Benchmark: Bloomberg Global Aggregate Bond Index

Largest Overweight

United Kingdom
By4.68%
Portfolio 9.84%
Benchmark 5.16%

Largest Underweight

Japan
By-5.05%
Portfolio 8.61%
Benchmark 13.65%

Monthly Data as of 30-Sep-2021