Strategy

QM US Aggregate Bond Index

The US Aggregate Bond Index Composite seeks to approximate the total return performance of the U.S. Fixed Income Market for publicly traded securities as represented by major fixed income benchmarks, including the Bloomberg Barclays U.S. Aggregate Bond Index. The strategy applies qualitative and quantitative management techniques to achieve its investment objectives.

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

Tracking Error
(5 Years)

5.50%
0.60%

1YR Return (Net)
(View Total Returns)

Information Ratio
(5 Years)

8.94%
0.47

Inception Date 30-Jun-1990

Performance figures calculated in USD

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Robert M.  Larkins, CFA
Robert M. Larkins, CFA, Portfolio Manager

Robert Larkins is a portfolio manager in the Fixed Income Division at T. Rowe Price. Mr. Larkins is lead portfolio manager of the firm's suite of bond index strategies, overseeing the U.S. Aggregate Bond Index Strategy, the U.S. Enhanced Aggregate Bond Strategy, and numerous custom bond index mandates, including liability-driven investment portfolios tailored to meet specific client needs. He is also lead portfolio manager of the Long Duration Credit Strategy and is a member of the firm's Investments Derivatives Committee. Mr. Larkins is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

 

Strategy

Investment Approach

  • Primarily focus on investment-grade U.S. fixed income securities represented in the Barclays U.S. Aggregate Bond Index.
  • Integrate proprietary credit and capital market research to identify market inefficiencies.
  • Seek to add value at the margin by coupling limited active management techniques with the risk-managed aspects of passive management.
  • Emphasize individual security selection and modest strategic and tactical deviations versus the benchmark.

Portfolio Construction

  • Risk-weighted spread sectors exposure range +/-5% of the benchmark
  • Duration range +/- 3% of the benchmark
  • Tracking error 10-20 bps

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 6.12% Was (31-Mar-2020) 4.81%
Other View Top 10 Issuers

Monthly data as of 30-Jun-2020

Holdings

Total
Holdings
978
Largest Holding U.S. Treasury Bonds 1.62% Was (31-Mar-2020) 1.51%
Top 10 Holdings 10.77%
Other View Full Holdings Quarterly data as of 30-Jun-2020

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BBB US Treasury
By % 7.26% -23.34%
Portfolio 21.10% 14.19%
Benchmark 13.84% 37.53%

Average Credit Quality

AA

Monthly Data as of 30-Jun-2020
Benchmark:  Bloomberg Barclays U.S. Aggregate Bond Index

Sources: 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. 

U.S. government agency securities are issued or guaranteed by a U.S. government agency and may include conventional pass-through securities and collateralized mortgage obligations. Unlike Treasuries, government agency securities are not issued directly by the U.S. government and are generally unrated but may have credit support from the U.S. Treasury (e.g., FHLMC and FNMA issues) or a direct government guarantee (e.g., GNMA issues). Therefore, this category may include rated and unrated securities. 

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. 

Sectors

Total
Sectors
9
Largest Sector Corporate 39.49% Was (31-Mar-2020) 32.15%
Other View complete Sector Diversification

Monthly Data as of 30-Jun-2020

Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Largest Overweight

Corporate
By12.25%
Portfolio 39.49%
Benchmark 27.23%

Largest Underweight

U.S. Treasury
By-23.68%
Portfolio 14.19%
Benchmark 37.87%

Monthly Data as of 30-Jun-2020

Team (As of 01-Oct-2020)

Robert M.  Larkins, CFA

Robert Larkins is a portfolio manager in the Fixed Income Division at T. Rowe Price. Mr. Larkins is lead portfolio manager of the firm's suite of bond index strategies, overseeing the U.S. Aggregate Bond Index Strategy, the U.S. Enhanced Aggregate Bond Strategy, and numerous custom bond index mandates, including liability-driven investment portfolios tailored to meet specific client needs. He is also lead portfolio manager of the Long Duration Credit Strategy and is a member of the firm's Investments Derivatives Committee. Mr. Larkins is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

Mr. Larkins has 16 years of investment experience, all of which have been with T. Rowe Price. Prior to joining the firm in 2003, he worked for Dow Chemical Company for four years as a research engineer.

Mr. Larkins earned a B.S. in chemical engineering from Brigham Young University and an M.B.A. in finance from The Wharton School, University of Pennsylvania. He also has earned the Chartered Financial Analyst designation.

  • Portfolio manager
    since
    2007
  • Years at
    T. Rowe Price
    17
  • Years investment
    experience
    17
Jeffrey S.  DeVack, CFA

Jeff DeVack is a portfolio specialist in the Fixed Income Division. He is a member of the U.S. Taxable Bond team covering multiple strategies, working closely with clients, consultants, and prospects. Jeff is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

Jeff’s investment experience began in 2000, and he has been with T. Rowe Price since 2011, beginning as a senior portfolio analyst in the Fixed Income Investment Specialists department. After that, he became a portfolio specialist.  Prior to T. Rowe Price, Jeff was a partner in an investment consulting group at UBS Financial Services, where he worked with both institutional clientele and high-net-worth families. Jeff was also employed by J.P. Morgan Chase & Co., where he started his career working primarily as an investment banking analyst in a group that structured asset-backed securities transactions for Fortune 500 companies.

Jeff earned a B.B.A., magna cum laude, in finance and economics from Loyola University Maryland, Sellinger School of Business and is a member of Beta Gamma Sigma. He also has earned the Chartered Financial Analyst designation.

CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.

  • Years at
    T. Rowe Price
    9
  • Years investment
    experience
    20

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GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®). TRP has been independently verified for the twenty one- year period ended June 30, 2017 by KPMG LLP. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

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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