T. Rowe Price T. Rowe Price Trusty Logo

SICAV

US Aggregate Bond Fund

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

ISIN LU0214705203 Bloomberg TRUABIE:LX

3YR Return Annualised
(View Total Returns)

Total Assets
(USD)

1.87%
$423.7m

1YR Return
(View Total Returns)

Manager Tenure

6.82%
8yrs

Inception Date 01-Jun-2011

Performance figures calculated in EUR

Other Literature

31-Jan-2020 - Brian J. Brennan, Portfolio Manager,
Our outlook remains optimistic, but more evidence is required to confirm a re-acceleration in growth. Easy financial conditions and reduced uncertainty have led to lower market volatility and strong credit returns, but further gains must be supported by an improving growth environment that has yet to be confirmed. While the effects will likely be transitory, the coronavirus outbreak could disrupt supply chains and negatively affect GDP growth in the first quarter.
Brian Brennan
Brian Brennan, Portfolio Manager

Brian Brennan is a portfolio manager in the Fixed Income Division at T. Rowe Price. Mr. Brennan has lead portfolio management responsibilities for the US Treasury, US Core Plus Bond, and Stable Value Strategies. He also is a member of the portfolio strategy team for T. Rowe Price's core and core plus mandates. Mr. Brennan 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.

Click for Manager Outlook
 

Strategy

Manager's Outlook

Our outlook remains optimistic as global growth has stabilized, but more evidence is required to confirm a re-acceleration in growth. Financial conditions are supportive and global policy, both monetary and fiscal, has become increasingly accommodative. Easy financial conditions and reduced uncertainty has led to lower market volatility and strong credit returns, but further gains must be supported by an improving growth environment that has yet to be confirmed. We continue to believe this is likely but will look to incoming manufacturing and capital expenditure data for confirmation.

The Federal Reserve has provided a credible policy response after overtightening in 2018. The implementation of a repurchase program, combined with renewed expansion of the balance sheet, successfully calmed volatility in the funding markets, easing liquidity concerns. Additionally, three rate cuts have provided sufficient, and needed, accommodation to an economy reacting to both tight monetary conditions and tightening fiscal policies via trade tariffs. Liquidity conditions must remain accommodative, however, to maintain present low levels of market volatility. We believe the Federal Reserve will ultimately overdeliver on its promise of an abundant reserve regime but will be especially wary if conditions become unnecessarily tight. We will look to the funding markets as our gauge of broad liquidity conditions and adjust risk positions on any material changes to the present regime.

Treasury yields have gradually moved off their 2019 lows and an improving macro backdrop increases the probability of a breakout to higher yields. If manufacturing data improves as we expect, 10-year U.S. Treasury yields should trade back above 2% in the near future. Improving economic data and an accommodative Fed that is on hold will likely lead the curve to steepen as well. Any backsliding in the economic environment or a reduction in Fed accommodation would challenge these positions.

Credit sector valuations remain fair to slightly rich, limiting upside potential from further spread compression. An improving macro backdrop can reduce volatility and increase the probability of excess returns from credit, however. In portfolio construction, we remain focused on maximizing income on a volatility-adjusted basis. As always, we continue to believe security selection is an important source of return and diversification.

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 Ih | EUR)

Annualised Performance

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Since Manager Inception
Annualised
Fund % 6.82% 1.87% 0.96% 2.34% 2.24%
Indicative Benchmark % 6.57% 1.97% 1.00% 2.24% 2.27%
Excess Return % 0.25% -0.10% -0.04% 0.10% -0.03%

Inception Date 01-Jun-2011

Manager Inception Date 06-Jun-2011

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

Data as of  31-Jan-2020

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Fund % 5.99% 1.40% 1.01% 2.18%
Indicative Benchmark % 5.56% 1.39% 1.09% 2.06%
Excess Return % 0.43% 0.01% -0.08% 0.12%

Inception Date 01-Jun-2011

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

Data as of  31-Dec-2019

Performance figures calculated in EUR

Recent Performance

  Month to DateData as of 14-Feb-2020 Quarter to DateData as of 14-Feb-2020 Year to DateData as of 14-Feb-2020 1 MonthData as of 31-Jan-2020 3 MonthsData as of 31-Jan-2020
Fund % 0.16% 1.75% 1.75% 1.58% 1.16%
Indicative Benchmark % -0.13% 1.62% 1.62% 1.75% 1.18%
Excess Return % 0.29% 0.13% 0.13% -0.17% -0.02%

Inception Date 01-Jun-2011

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

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

Performance figures calculated in EUR

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.

31-Jan-2020 - 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 strong total returns in January. Geopolitical headlines and concerns about the coronavirus outbreak’s effects on global growth spurred a flight to quality and pressed Treasury yields lower. The portfolio underperformed its benchmark in January. Our underweight duration exposure relative to the benchmark held back relative returns as Treasury yields dropped in January. Underweighting U.S. Treasuries, along with overweighting investment-grade corporate bonds, also worked against us. Corporates lagged as spreads widened on waning risk tolerance and falling oil prices. However, overweighting securitised credit sectors, such as asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS), was beneficial. CMBS performance benefitted from especially strong demand in January after underperforming in late 2019 amid overwhelming supply. Spreads for ABS narrowed as investors were more attracted to lower-risk sectors.

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 8.08% Was (31-Dec-2019) 6.98%
Other View Top 10 Issuers

Monthly data as of 31-Jan-2020

Holdings

Total
Holdings
1010
Largest Holding U.S. Treasury Bonds 2.93% Was (30-Sep-2019) 3.11%
Top 10 Holdings 13.63%
Other View Full Holdings Quarterly data as of 31-Dec-2019

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BBB US Treasury
By % 17.78% -29.23%
Fund 30.61% 10.88%
Indicative Benchmark 12.82% 40.11%

Average Credit Quality

AA-

Monthly Data as of 31-Jan-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 7-10 Years 1-3 Years
By % 8.41% -6.07%
Fund 18.07% 15.71%
Indicative Benchmark 9.65% 21.78%

Weighted Average Maturity

8.35 Years

Monthly Data as of 31-Jan-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 % 6.98% -5.78%
Fund 7.32% 26.48%
Indicative Benchmark 0.34% 32.26%

Weighted Average Duration

5.56 Years

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

31-Dec-2019 - Brian J. Brennan, Portfolio Manager,

We see potential for a rebound in Treasury yields in early 2020 if hard economic data improves, as our global economic team has been forecasting. As such, we moved from a neutral to a shorter-than-benchmark duration posture. And with the Fed holding short-term rates steady while longer-term rates have the potential to increase, we have positioned the portfolio for a steeper yield curve, with duration concentrated in maturities at the front end of the curve.

Increased exposure to investment-grade corporates

We added to investment-grade corporate bonds, moving from a relatively neutral risk weighting at the start of the quarter to an overweight risk exposure. Our conviction in the sector increased as a more supportive policy environment quelled near-term recession concerns and market volatility. Progress on a "phase one" U.S.-China trade deal was also positive.

After being defensively positioned in corporate credit for much of 2019, we added spread duration by buying some longer-term credit. In cash bonds, we focused on our analysts' favored cyclical names that have upside potential if the recent reflationary environment persists in 2020.

Added to CMBS

The portfolio added to securitized credit, mainly in CMBS, to take advantage of attractive valuations. New supply for CMBS was heavy, so we had ample opportunities to add exposure.

Sectors

Total
Sectors
7
Largest Sector Corporate 36.80% Was (31-Dec-2019) 31.90%
Other View complete Sector Diversification

Monthly Data as of 31-Jan-2020

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

Largest Overweight

Corporate
By11.56%
Fund 36.80%
Indicative Benchmark 25.25%

Largest Underweight

U.S. Treasury
By-29.23%
Fund 10.88%
Indicative Benchmark 40.11%

Monthly Data as of 31-Jan-2020

31-Jan-2020 - Brian J. Brennan, Portfolio Manager,
We raised our exposure to emerging market (EM) corporate bonds. Notwithstanding idiosyncratic issues, dollar-denominated EM credit remains an attractive source of risk-adjusted excess returns in the later stages of the cycle. Increased accommodative measures from key central banks may also be supportive for EM credit.

Countries

Total
Countries
31
Largest Country United States 83.60% Was (31-Dec-2019) 85.00%
Other View complete Country Diversification

Monthly Data as of 31-Jan-2020

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

Largest Overweight

Australia
By1.72%
Fund 1.94%
Indicative Benchmark 0.22%

Largest Underweight

United States
By-8.25%
Fund 83.60%
Indicative Benchmark 91.85%

Monthly Data as of 31-Jan-2020

Team (As of 06-Feb-2020)

Brian Brennan

Brian Brennan is a portfolio manager in the Fixed Income Division at T. Rowe Price. Mr. Brennan has lead portfolio management responsibilities for the US Treasury, US Core Plus Bond, and Stable Value Strategies. He also is a member of the portfolio strategy team for T. Rowe Price's core and core plus mandates. Mr. Brennan 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.

Mr. Brennan has 33 years of investment experience, 19 of which have been at T. Rowe Price. Prior to joining T. Rowe Price in 2000, he was a fixed income manager with Howard Hughes Medical Institute, responsible for Treasury, emerging, nondollar, and derivative strategies for core plus. Mr. Brennan began his career at CIGNA Investments, Inc., as a portfolio analyst for immunized and indexed fixed income accounts.

Mr. Brennan earned a B.S. in economics and computer sciences and an M.A. in economics from Trinity College in Hartford, Connecticut. He also earned the Chartered Financial Analyst (CFA) designation and is a former president and treasurer of the Baltimore CFA Society.

  • Fund manager
    since
    2011
  • Years at
    T. Rowe Price
    19
  • Years investment
    experience
    34

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.

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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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