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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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Strategy

Investment Approach

  • The portfolio seeks to provide a high level of income with fluctuations in principal value consistent with those of a traditional low duration portfolio.
  • Utilizes a diversified multi-sector approach to seek to provide investors with consistent returns over a market cycle while minimizing volatility.
  • Seeks to add value primarily through sector rotation, individual security selection, and term structure positioning.
  • Integrate proprietary credit and capital market research to identify market inefficiencies.
  • Structurally overweight invesment grade credit sectors as yield has historically played a much larger role than price appreciation in generating excess returns.
  • Aims to exploit market inefficiencies through opportunistic trading conducted by specialized teams.

Portfolio Construction

  • Average credit quality of the portfolio is typically AA.
  • Non-dollar foreign bond exposure is limited to 10% (hedged and unhedged).
  • During normal market conditions, duration is typically managed within +/- 20% of the benchmark.
  • Target tracking error range: 40 to 80 basis points.
  • Investable universe focuses primarily on short-and intermediate-term investment-grade U.S. fixed income securities, with the ability to integrate non-index sectors and securities, including foreign bonds as well as mortgage-backed, commercial mortgage-backed, and asset-backed securities.