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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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T. Rowe Price

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SICAV

US Aggregate Bond Fund

Seeks to extract return from a broad spectrum of US debt securities.

ISIN LU0181329318 WKN A0CAFC

3YR Return Annualised
(View Total Returns)

Total Assets
(USD)

5.31%
$459.4m

1YR Return
(View Total Returns)

Manager Tenure

1.03%
10yrs

Information Ratio
(5 Years)

Tracking Error
(5 Years)

-0.01
1.60%

Inception Date 07-Jun-2011

Performance figures calculated in USD

30-Jun-2021 - Brian J. Brennan, Portfolio Manager,
Although the reflation trade that fuelled the Treasury sell-off earlier in the year appears to have stalled, we believe that strong economic growth and accommodative monetary and fiscal policy still leave room for higher rates over an intermediate time horizon. However, recent economic reports that have come in below relatively high expectations and signs that inflation momentum has peaked have led us to believe that rates are likely to be range-bound in the short term.
Brian Brennan, CFA
Brian Brennan, CFA, Portfolio Manager

Brian Brennan is a portfolio manager in the Fixed Income Division. He has lead portfolio management responsibilities for the US Treasury, US Investment Grade Core Bond, US Core Plus Bond, and Stable Value Strategies. He also is a member of the portfolio strategy team for T. Rowe Price's investment-grade core and core plus mandates. Brian is the president of the U.S. Treasury Funds, Inc.; an executive vice president of the Institutional Income Funds, Inc.; a vice president of the Multi-Sector Account Portfolios, Inc.; and a vice president and Investment Advisory Committee member of the GNMA, Inflation Protected Bond, New Income, Limited Duration Inflation Focused Bond, Total Return, and QM U.S. Bond Index Funds. Brian also is a vice president of T. Rowe Price Group, Inc., T. Rowe Price Associates, Inc., T. Rowe Price International Ltd, and T. Rowe Price Trust Company.

 

Strategy

Investment Objective

To maximise the value of its shares through both growth in the value of, and income from, its investments. The fund invests mainly in a diversified portfolio of US bonds.

Investment Approach

  • Focused primarily on investment-grade, U.S. fixed income securities.
  • Integrate proprietary credit and capital market research to identify market inefficiencies.
  • Add value primarily through sector rotation, individual security selection, and term structure position.
  • Exploit market inefficiencies through opportunistic trading conducted by specialist teams.
  • Seek to exceed benchmark return by at least 50 basis points annually over a 3 to 5 year period.
  • Environmental, social and governance ("ESG") factors with particular focus on those considered most likely to have a material impact on the performance of the holdings or potential holdings in the funds’ portfolio are assessed. These ESG factors, which are incorporated into the investment process alongside financials, valuation, macro-economics and other factors, are components of the investment decision. Consequently, ESG factors are not the sole driver of an investment decision but are instead one of several important inputs considered during investment analysis.

Portfolio Construction

  • Duration is managed within +/- 20% of benchmark
  • Sector exposure will typically range +/- 25% of the benchmark
  • Average credit quality of the portfolio is AA- or better
  • Tracking Error should range between 0.5% to 1.0% in most market environments

Performance (Class I)

Annualised Performance

  1 YR 3 YR
Annualised
5 YR
Annualised
10 YR
Annualised
Fund % 1.03% 5.31% 3.01% 3.26%
Indicative Benchmark % -0.33% 5.34% 3.03% 3.39%
Excess Return % 1.36% -0.03% -0.02% -0.13%

Inception Date 07-Jun-2011

Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Data as of 30-Jun-2021

Performance figures calculated in USD

  1 YR 3 YR
Annualised
5 YR
Annualised
10 YR
Annualised
Fund % 1.03% 5.31% 3.01% 3.26%
Indicative Benchmark % -0.33% 5.34% 3.03% 3.39%
Excess Return % 1.36% -0.03% -0.02% -0.13%

Inception Date 07-Jun-2011

Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Data as of 30-Jun-2021

Performance figures calculated in USD

Recent Performance

  Month to DateData as of 29-Jul-2021 Quarter to DateData as of 29-Jul-2021 Year to DateData as of 29-Jul-2021 1 MonthData as of 30-Jun-2021 3 MonthsData as of 30-Jun-2021
Fund % 0.88% 0.88% -0.29% 0.81% 1.78%
Indicative Benchmark % 0.96% 0.96% -0.66% 0.70% 1.83%
Excess Return % -0.08% -0.08% 0.37% 0.11% -0.05%

Inception Date 07-Jun-2011

Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Performance figures calculated in USD

Past performance is not a reliable indicator of future performance.  Source for fund performance: T. Rowe Price. Fund performance is calculated using the official NAV with dividends reinvested, if any. The value of an investment and any income from it can go down as well as up. Investors may get back less than the amount invested. It will be affected by changes in the exchange rate between the base currency of the fund and the subscription currency, if different. Sales charges (up to a maximum of 5% for the A Class), taxes and other locally applied costs have not been deducted and if applicable, they will reduce the performance figures. 

Where the base currency of the fund differs from the share class currency, exchange rate movements may affect returns.

30-Jun-2021 - Brian J. Brennan, Portfolio Manager,
The investment-grade U.S. fixed income market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, produced positive results in June despite high inflation readings and less dovish signals from the U.S. Federal Reserve (Fed). Within the portfolio, security selection in investment-grade (IG) corporate bonds contributed the most to relative results due to a mix of idiosyncratic stories in segments such as telecommunications. Our overweight position in IG corporates and underweight in agency mortgage-backed securities (MBS) also aided results. IG corporates benefitted from strong demand, while MBS lagged as the Fed began discussing the potential for tapering its asset purchases in the segment. Conversely, a slightly shorter average duration posture versus the benchmark and a curve steepening bias weighed on returns as the Treasury yield curve flattened.

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 9.97% Was (31-May-2021) 9.84%
Other View Top 10 Issuers

Monthly data as of30-Jun-2021

Holdings

Total
Holdings
978
Largest Holding U.S. Treasury Bonds 2.73% Was (31-Mar-2021) 2.67%
Top 10 Holdings 17.07%
Other View Full Holdings Quarterly data as of  30-Jun-2021

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BBB US Treasury
By % 12.86% -18.06%
Fund 27.11% 19.80%
Indicative Benchmark 14.25% 37.86%

Average Credit Quality

AA-

Monthly Data as of  30-Jun-2021
Indicative Benchmark:  Bloomberg Barclays U.S. Aggregate Bond Index

Sources for Credit Quality Diversification: Moody's Investors Service and Standard & Poor's (S&P) split ratings (i.e. BB/B and B/CCC) are assigned when the Moody's and S&P ratings differ. Short-Term holdings are not rated.

Maturity View maturity analysis

  Largest Overweight Largest Underweight
Maturity 0-1 Years 3-5 Years
By % 11.14% -8.74%
Fund 11.14% 17.28%
Indicative Benchmark 0.00% 26.03%

Weighted Average Maturity

8.38 Years

Monthly Data as of  30-Jun-2021
Indicative Benchmark:  Bloomberg Barclays U.S. Aggregate Bond Index

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration Under 1 Year 1-3 Years
By % 16.93% -9.35%
Fund 17.29% 15.96%
Indicative Benchmark 0.36% 25.31%

Weighted Average Duration

6.58 Years

Monthly Data as of  30-Jun-2021
Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

31-Mar-2021 - Brian J. Brennan, Portfolio Manager,

We held the portfolio's risk allocation relatively steady at moderate levels during the period. However, as spreads have generally moved back to pre-pandemic levels, a greater portion of portfolio risk was derived from duration and yield curve exposures and less from credit risk relative to recent history

Interest Rate Management

The portfolio maintained a shorter duration than the benchmark to defend against a potential rise in interest rates.

Corporate Positioning

While the environment still seems generally supportive for credit sectors, we trimmed our exposure to investment-grade corporates and increased our position in U.S. Treasuries and cash amid concerns about tight spreads. Given rich valuations in most sectors, we found it prudent to raise liquidity in the portfolio, which will allow us to take advantage of opportunities that may arise if volatility resumes.

Securitized Sectors

Although our ABS and collateralized loan obligation (CLO) positions were largely unchanged, we reduced the portfolio's overall allocation to securitized credit.� We trimmed CMBS as dislocations in the market have largely dissipated, and valuations appear to have moved ahead of fundamentals in some cases. Non-agency residential mortgage-backed securities (RMBS) remain supported by strong housing price growth, but we reduced our holdings as the sector offered less value. We also trimmed our position in agency MBS amid less attractive valuations and concerns about the Fed's impact on the market.

Other Allocations

We maintained a small out-of-benchmark allocation to Treasury inflation protected securities (TIPS). Although breakeven spreads have risen significantly, we believe inflation could exceed expectations in coming months given the combination of unprecedented fiscal and monetary stimulus, a recovering labor market, pent-up consumer demand, and supply chain bottlenecks.

We reduced our position in taxable municipal bonds as valuations became less attractive.

Sectors

Total
Sectors
8
Largest Sector Corporate 37.10% Was (31-May-2021) 37.07%
Other View complete Sector Diversification

Monthly Data as of 30-Jun-2021

Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Largest Overweight

Corporate
By10.26%
Fund 37.10%
Indicative Benchmark 26.84%

Largest Underweight

U.S. Treasury
By-18.55%
Fund 19.31%
Indicative Benchmark 37.86%

Monthly Data as of 30-Jun-2021

30-Jun-2021 - Brian J. Brennan, Portfolio Manager,
We increased the portfolio’s underweight exposure to agency MBS during the period. Our securitised analysts have a cautious outlook on the sector due to unattractive valuations, lingering prepayment risk, and risks from reduced Fed sponsorship. In terms of interest rate management, we moved our modestly underweight duration profile closer to neutral versus the benchmark. We believe this positioning is appropriate in the near term as growth, inflation, and monetary accommodation appear to have peaked, limiting the upside potential for rates for now.

Countries

Total
Countries
30
Largest Country United States 80.76% Was (31-May-2021) 80.15%
Other View complete Country Diversification

Monthly Data as of 30-Jun-2021

Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

Largest Overweight

United Kingdom
By1.87%
Fund 3.06%
Indicative Benchmark 1.18%

Largest Underweight

United States
By-11.22%
Fund 80.76%
Indicative Benchmark 91.98%

Monthly Data as of 30-Jun-2021

Team (As of 27-Jul-2021)

Brian Brennan, CFA

Brian Brennan is a portfolio manager in the Fixed Income Division. He has lead portfolio management responsibilities for the US Treasury, US Investment Grade Core Bond, US Core Plus Bond, and Stable Value Strategies. He also is a member of the portfolio strategy team for T. Rowe Price's investment-grade core and core plus mandates. Brian is the president of the U.S. Treasury Funds, Inc.; an executive vice president of the Institutional Income Funds, Inc.; a vice president of the Multi-Sector Account Portfolios, Inc.; and a vice president and Investment Advisory Committee member of the GNMA, Inflation Protected Bond, New Income, Limited Duration Inflation Focused Bond, Total Return, and QM U.S. Bond Index Funds. Brian also is a vice president of T. Rowe Price Group, Inc., T. Rowe Price Associates, Inc., T. Rowe Price International Ltd, and T. Rowe Price Trust Company.

Brian’s investment experience began in 1986, and he has been with T. Rowe Price since 2000, beginning in the Fixed Income Division. Prior to this, Brian was employed by Howard Hughes Medical Institute as a fixed income manager responsible for Treasury, emerging, nondollar, and derivative strategies for core plus. He also was employed by CIGNA Investments, Inc., as a portfolio analyst for immunized and indexed fixed income accounts.

Brian earned a B.S. in economics and computer sciences and an M.A. in economics from Trinity College. He also has earned the Chartered Financial Analyst® designation.

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

  • Fund manager
    since
    2011
  • Years at
    T. Rowe Price
    20
  • Years investment
    experience
    35

Fee Schedule

Share Class Minimum Initial Investment and Holding Amount (USD) Minimum Subsequent Investment (USD) Minimum Redemption Amount (USD) Sales Charge (up to) Investment Management Fee (up to) Ongoing Charges
Class I $2,500,000 $100,000 $0 0.00% 40 basis points 0.48%
Class Jd $10,000,000 $0 $0 0.00% 0 basis points 0.04%
Class Sd $10,000,000 $0 $0 0.00% 0 basis points 0.10%

Please note that the Ongoing Charges figure is inclusive of the Investment Management Fee and is charged per annum.