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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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SICAV

US Aggregate Bond Fund

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

ISIN LU0181329318 Bloomberg TRUABIC:LX

3YR Return Annualised
(View Total Returns)

Total Assets
(USD)

5.06%
$443.7m

1YR Return
(View Total Returns)

Manager Tenure

6.94%
9yrs

Information Ratio
(5 Years)

Tracking Error
(5 Years)

-0.10
1.59%

Inception Date 07-Jun-2011

Performance figures calculated in USD

Other Literature

30-Nov-2020 - Brian J. Brennan, Portfolio Manager,
The absence of a fiscal stimulus deal poses uncertainty and risks for the U.S. economy. However, the U.S. presidential election outcome and announcement of several coronavirus vaccines have altered the landscape as investors seems to be looking ahead to brighter days in 2021. The current spike in coronavirus cases will restrain some activity and slow the recovery, but the bar for data to surprise to the upside has been lowered.
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.

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
Since Inception
Annualised
Fund % 6.94% 5.06% 4.28% 3.48%
Indicative Benchmark % 7.51% 5.34% 4.44% 3.67%
Excess Return % -0.57% -0.28% -0.16% -0.19%

Inception Date 07-Jun-2011

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

Data as of 31-Dec-2020

Performance figures calculated in USD

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Fund % 6.94% 5.06% 4.28% 3.48%
Indicative Benchmark % 7.51% 5.34% 4.44% 3.67%
Excess Return % -0.57% -0.28% -0.16% -0.19%

Inception Date 07-Jun-2011

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

Data as of 31-Dec-2020

Performance figures calculated in USD

Recent Performance

  Month to DateData as of 14-Jan-2021 Quarter to DateData as of 14-Jan-2021 Year to DateData as of 14-Jan-2021 1 MonthData as of 31-Dec-2020 3 MonthsData as of 31-Dec-2020
Fund % -0.58% -0.58% -0.58% 0.36% 1.31%
Indicative Benchmark % -0.89% -0.89% -0.89% 0.14% 0.67%
Excess Return % 0.31% 0.31% 0.31% 0.22% 0.64%

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-Nov-2020 - Brian J. Brennan, Portfolio Manager,
The investment-grade U.S. fixed income market generated positive returns in November, with Treasury yields modestly lower across most of the curve. Investment-grade corporate bonds outperformed. Within the portfolio, sector allocation contributed to relative outperformance. Our underweight position in U.S. Treasuries and overweight to investment-grade corporate bonds helped. Corporate credit spreads tightened as investors welcomed greater political clarity and positive news on coronavirus vaccines. However, security selection within investment-grade corporate bonds was negative. Our overweight and some out-of-benchmark exposure in select banking names dragged as financials broadly underperformed industrials in November. Exposure to emerging markets (EM) corporate bonds added to relative returns. EM corporates largely outperformed U.S. investment-grade corporate debt as oil prices rose and the U.S. dollar weakened. A shorter average duration posture relative to the benchmark also modestly weighed on performance with Treasury yields falling slightly over the period.

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 9.44% Was (30-Nov-2020) 9.31%
Other View Top 10 Issuers

Monthly data as of31-Dec-2020

Holdings

Total
Holdings
1024
Largest Holding U.S. Treasury Bonds 3.11% Was (30-Sep-2020) 3.32%
Top 10 Holdings 13.03%
Other View Full Holdings Quarterly data as of  31-Dec-2020

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BBB US Treasury
By % 15.44% -26.57%
Fund 29.83% 10.60%
Indicative Benchmark 14.39% 37.17%

Average Credit Quality

AA-

Monthly Data as of  31-Dec-2020
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 % 7.70% -13.35%
Fund 7.70% 19.48%
Indicative Benchmark 0.00% 32.83%

Weighted Average Maturity

9.08 Years

Monthly Data as of  31-Dec-2020
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 % 10.76% -13.43%
Fund 16.27% 19.50%
Indicative Benchmark 5.51% 32.93%

Weighted Average Duration

5.90 Years

Monthly Data as of  31-Dec-2020
Indicative Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

30-Sep-2020 - Brian J. Brennan, Portfolio Manager,

Sector allocations were relatively consistent over the quarter, and we only made modest changes.

As the economy recovers from recession, we intend to focus on a combination of those positions that still offer pockets of value (for example, CMBS, ABS, and certain corporate subsectors) and attractive risk-adjusted potential returns. As valuations moved closer to fair, we reduced some positions in securitized credit and emerging markets corporates, which helped bring overall risk levels down.

In terms of interest rate management, we see potential for higher long-term rates but intend to keep duration tactically around neutral for now. While short-term yields should remain pegged, we feel that the Treasury curve has some potential to further steepen. However, we must first move past near-term event risks that have helped keep longer-term rates in check.

Added some protection as volatility could increase in Q4

Closer to the end of the quarter, we added some credit protection via corporate index-level credit default swaps as a tactical defensive trade against potential heightened volatility. Market volatility may increase ahead of the U.S. election with increasing uncertainty when or if additional fiscal stimulus will be delivered.

Sectors

Total
Sectors
8
Largest Sector Corporate 40.17% Was (30-Nov-2020) 40.00%
Other View complete Sector Diversification

Monthly Data as of 31-Dec-2020

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

Largest Overweight

Corporate
By12.29%
Fund 40.17%
Indicative Benchmark 27.88%

Largest Underweight

U.S. Treasury
By-27.07%
Fund 10.10%
Indicative Benchmark 37.17%

Monthly Data as of 31-Dec-2020

30-Nov-2020 - Brian J. Brennan, Portfolio Manager,
Over the month, we moderately trimmed exposure to agency mortgage-backed securities and added to investment-grade corporate bonds. In addition, we re-established a small out-of-benchmark position in U.S. Treasury inflation protected securities (TIPS). Inflation has the potential to rise next year amid pent-up demand, and the market appears to not be fully pricing in an increase in inflation, providing valuation support for TIPS.

Countries

Total
Countries
30
Largest Country United States 82.75% Was (30-Nov-2020) 84.35%
Other View complete Country Diversification

Monthly Data as of 31-Dec-2020

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

Largest Overweight

Australia
By1.61%
Fund 1.80%
Indicative Benchmark 0.18%

Largest Underweight

United States
By-8.92%
Fund 82.75%
Indicative Benchmark 91.67%

Monthly Data as of 31-Dec-2020

Team (As of 15-Jan-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.