Strategy

US Long Duration Bond

The U.S. Long Duration Composite seeks to improve liability relative results primarily through careful asset liability management using investment grade corporate bonds issued by U.S. domestic corporations and government bonds.

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

Tracking Error
(5 Years)

11.84%
0.66%

1YR Return (Net)
(View Total Returns)

Information Ratio
(5 Years)

25.23%
0.07

Inception Date 30-Jun-2002

Performance figures calculated in USD

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Justin Harvey, CFA, ASA
Justin Harvey, CFA, ASA, Portfolio Manager

Justin Harvey is the head of Analysis for Multi-Asset Solutions in the Multi-Asset Division. He is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

 

Strategy

Investment Approach

  • The strategy seeks to provide long-term, competitive, risk-adjusted performance with a specific focus on liability-relative returns for defined benefit plan sponsors
  • We believe proprietary fundamental research is the key driver of value-added management in providing long-term competitive performance and avoiding deteriorating securities that could negatively impact funded status
  • With a focus on independent credit analysis to identify both attractive opportunities and deteriorating credit profiles, the strategy invests primarily in long-duration investment-grade corporate debt and treasuries with the ability to invest in opportunities not found in standard long duration benchmarks

Portfolio Construction

  • Target tracking error range: 100-200 basis points
  • Up to 15% of assets may be invested in below investment-grade securities, although the strategy typically maintains a much smaller allocation
  • The strategy cannot purchase a security rated B or below (or equivalent) by any rating agency

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 19.28% Was (31-Mar-2020) 19.55%
Other View Top 10 Issuers

Monthly data as of 30-Jun-2020

Holdings

Total
Holdings
149
Largest Holding Verizon Communications 1.74% Was (31-Mar-2020) 1.80%
Top 10 Holdings 14.38%
Other View Full Holdings Quarterly data as of 30-Jun-2020

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BBB A
By % 16.43% -15.34%
Portfolio 61.86% 21.98%
Benchmark 45.43% 37.31%

Average Credit Quality

BBB+

Monthly Data as of 30-Jun-2020
Benchmark:  Bloomberg Barclays U.S. Long Credit 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. 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 10+ Years
By % 15.31% -23.65%
Portfolio 15.31% 76.33%
Benchmark 0.00% 99.98%

Weighted Average Maturity

18.33 Years

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

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration 3-5 Years Over 10 Years
By % 24.86% -19.58%
Portfolio 24.88% 70.65%
Benchmark 0.02% 90.23%

Weighted Average Duration

15.01 Years

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

Sectors

Total
Sectors
21
Largest Sector Banking 14.14% Was (31-Mar-2020) 14.23%
Other View complete Sector Diversification

Monthly Data as of 30-Jun-2020

Benchmark: Bloomberg Barclays U.S. Long Credit Bond Index

Largest Overweight

Banking
By6.17%
Portfolio 14.14%
Benchmark 7.97%

Largest Underweight

Technology
By-5.80%
Portfolio 1.39%
Benchmark 7.19%

Monthly Data as of 30-Jun-2020

Team (As of 01-Oct-2020)

Justin Harvey, CFA, ASA

Justin Harvey is the head of Analysis for Multi-Asset Solutions in the Multi-Asset Division. He is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

Justin’s investment experience began in 2008, and he has been with T. Rowe Price since 2013, beginning in the Fixed Income Division. Prior to this, Justin was employed by Russell Investments as an asset allocation strategist. Justin also was employed by Mercer as a consulting actuary. 

Justin earned a B.S. in mathematics and a B.A. in mass communications from Miami University in Oxford, Ohio, and an M.B.A. from the University of North Carolina, Kenan-Flagler Business School. Justin also has earned the Chartered Financial Analyst® and Associate of the Society of Actuaries designations. He is a member of the American Academy of Actuaries.

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

  • Portfolio manager
    since
    2002
  • Years at
    T. Rowe Price
    7
  • Years investment
    experience
    0

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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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