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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

Responsible US Aggregate Bond Fund

Formerly 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)

5.52%
$452.2m

1YR Return
(View Total Returns)

Manager Tenure

0.22%
10yrs

Information Ratio
(5 Years)

Tracking Error
(5 Years)

-0.04
1.60%

Inception Date 07-Jun-2011

Performance figures calculated in USD

31-Oct-2021 - Brian J. Brennan, Portfolio Manager,
Near-term growth indicators appear to be improving and expectations have reset at more appropriate levels, inflation looks to be peaking, and the Federal Reserve has removed uncertainty about tapering plans. As a result, we believe there is now a greater likelihood of a renewed move higher in yields, particularly in the intermediate tenors.
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 Core/Core Plus Portfolio strategy team. Brian is the president and chairman of the Investment Advisory Committees of the U.S. Treasury 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, QM U.S. Bond Index, and U.S. Limited Duration TIPS Index Funds. In addition, he is an Investment Advisory Committee member of the Mortgage-Backed Securities Multi-Sector Account Portfolio. Brian 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

The decline in Treasury yields?particularly real yields?through early August signaled the market's concerns about the duration of the economic cycle; however, several of the factors that have held down yields in recent months have started to dissipate, allowing yields to push higher. Notably, growth expectations have reset at more appropriate levels; inflation may have reached a peak, which would support a healthier economic environment; and the Fed's September meeting removed some uncertainty about tapering plans.

Although we are not expecting a spike in rates given lingering macro risks, there is now a greater likelihood of a renewed move higher in yields. Despite the assumptions of many market participants that the Fed may be moving in a hawkish direction, we believe September's meeting actually produced a dovish outcome. In our view, the fact that the median forecast for the fed funds rate in 2024 was only at 1.8% despite forecasts for above-target inflation showed a firm commitment to the central bank's relatively new average inflation targeting policy, a framework that supports strong economic growth and can lead to higher yields.

Any policy missteps by the Fed could lead to increased levels of market volatility. However, bouts of volatility should also provide tactical opportunities, particularly given a growth environment that remains strong. Although credit valuations remain broadly unattractive following the extended rally that began in late March 2020, strong corporate and consumer balance sheets and solid corporate earnings growth should provide support from a fundamental perspective.

We continue to look to earn yield in the portfolio above the benchmark and to take advantage of the pricing inefficiencies, both structural and temporary, that are prevalent in fixed income markets. Security selection remains paramount in an environment where there is less potential for spreads to broadly tighten further, and we remain confident in the fundamental research of our specialized sector teams.

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

Annualised Performance

  1 YR 3 YR
Annualised
5 YR
Annualised
10 YR
Annualised
Fund % 0.22% 5.52% 3.03% 2.99%
Indicative Benchmark % -0.48% 5.63% 3.10% 3.00%
Excess Return % 0.70% -0.11% -0.07% -0.01%

Inception Date 07-Jun-2011

Indicative Benchmark: Bloomberg U.S. Aggregate Bond Index

Data as of 31-Oct-2021

Performance figures calculated in USD

  1 YR 3 YR
Annualised
5 YR
Annualised
10 YR
Annualised
Fund % 0.15% 5.28% 2.84% 3.04%
Indicative Benchmark % -0.90% 5.36% 2.94% 3.01%
Excess Return % 1.05% -0.08% -0.10% 0.03%

Inception Date 07-Jun-2011

Indicative Benchmark: Bloomberg U.S. Aggregate Bond Index

Data as of 30-Sep-2021

Performance figures calculated in USD

Recent Performance

  Month to DateData as of 26-Nov-2021 Quarter to DateData as of 26-Nov-2021 Year to DateData as of 26-Nov-2021 1 MonthData as of 31-Oct-2021 3 MonthsData as of 31-Oct-2021
Fund % 0.00% -0.07% -1.23% -0.07% -1.01%
Indicative Benchmark % 0.10% 0.08% -1.48% -0.03% -1.08%
Excess Return % -0.10% -0.15% 0.25% -0.04% 0.07%

Inception Date 07-Jun-2011

Indicative Benchmark: Bloomberg U.S. Aggregate Bond Index

Indicative Benchmark: Bloomberg 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.

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

31-Oct-2021 - Brian J. Brennan, Portfolio Manager,
The investment-grade (IG) U.S. fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index, produced slightly negative results in October as the U.S. Treasury yield curve flattened, driven by a sharp increase in shorter-term rates. Within the portfolio, security selection detracted from relative results. Due in part to their shorter maturities on average, our positions in telecom and bank names weighed on performance in the IG corporate sector as longer-dated securities outperformed. Conversely, the portfolio’s slightly short overall duration posture and yield curve positioning contributed to relative results as interest rates increased in the short and intermediate sections of the curve. A small out-of-benchmark position in Treasury inflation-protected securities (TIPS) benefited the portfolio as inflation expectations increased. Our overweight position in residential mortgage-backed securities also added value. The sector was supported by strong coupon income that helped offset the negative technical effects of heavy gross supply.

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 9.69% Was (30-Sep-2021) 9.54%
Other View Top 10 Issuers

Monthly data as of31-Oct-2021

Holdings

Total
Holdings
958
Largest Holding FNMA 30 YR TBA NOV 3.08% Was (30-Jun-2021) 0.00%
Top 10 Holdings 20.19%
Other View Full Holdings Quarterly data as of  30-Sep-2021

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BBB US Treasury
By % 12.75% -15.55%
Fund 26.51% 23.29%
Indicative Benchmark 13.76% 38.83%

Average Credit Quality

AA-

Monthly Data as of  31-Oct-2021
Indicative Benchmark:  Bloomberg 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 5-7 Years
By % 5.47% -6.74%
Fund 5.47% 15.21%
Indicative Benchmark 0.00% 21.95%

Weighted Average Maturity

9.51 Years

Monthly Data as of  31-Oct-2021
Indicative Benchmark:  Bloomberg U.S. Aggregate Bond Index

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration Under 1 Year 1-3 Years
By % 8.67% -8.70%
Fund 8.96% 13.25%
Indicative Benchmark 0.29% 21.95%

Weighted Average Duration

6.72 Years

Monthly Data as of  31-Oct-2021
Indicative Benchmark: Bloomberg U.S. Aggregate Bond Index

30-Sep-2021 - Brian J. Brennan, Portfolio Manager,

Overall risk levels in the portfolio continued to hover near the lower end of the risk range we have maintained since the start of the pandemic. We believe this positioning is appropriate amid broadly tight credit spread levels and a slowing economic growth outlook.

Moved Back to Neutral Duration Posture

We shifted the portfolio's overall duration target from neutral to slightly shorter than the benchmark in August, which was beneficial as yields moved higher. However, after the rapid increase in rates following the Fed's late-September meeting, we moved back to a neutral duration posture by the end of the period.

Reduced Underweight to Higher-Quality Sectors

We reduced our underweight to both nominal Treasuries and agency MBS. Government-backed mortgage securities have produced the weakest performance among the major spread sectors so far this year, weighed down by Fed tapering concerns and other technical factors. However, MBS now appear to offer better relative value. As high-quality, liquid sectors, we believe both Treasuries and agency MBS�are more attractive in an environment where risk assets trading at rich valuations could lead to increased volatility. �

Trimmed IG Corporate Overweight

We trimmed the portfolio's nominal overweight allocation to IG corporate bonds by selling a number of shorter-term securities that were trading at premiums and offered limited further upside potential. The portfolio remains underweight to corporates on a risk-weighted basis, which contributed from a security selection standpoint during the past quarter.

We also adjusted the portfolio's allocations in other sectors. Although fundamentals appear strong and technical factors are supportive, we reduced our positions in ABS, CMBS, and non-agency residential mortgage-backed securities (RMBS) amid elevated valuations. We added to collateralized loan obligations (CLO), an area where we believe valuations still provide some upside potential.�

Sectors

Total
Sectors
7
Largest Sector Corporate 34.74% Was (30-Sep-2021) 35.19%
Other View complete Sector Diversification

Monthly Data as of 31-Oct-2021

Indicative Benchmark: Bloomberg U.S. Aggregate Bond Index

Largest Overweight

Corporate
By8.43%
Fund 34.74%
Indicative Benchmark 26.31%

Largest Underweight

U.S. Treasury
By-15.55%
Fund 23.29%
Indicative Benchmark 38.83%

Monthly Data as of 31-Oct-2021

31-Oct-2021 - Brian J. Brennan, Portfolio Manager,
We increased our position in agency mortgage-backed securities (MBS) and U.S. Treasury bonds during the period and reduced our holdings in investment-grade corporates. We believe the high-quality MBS and Treasury sectors are more attractive in an environment where risk assets trading at rich valuations could lead to increased volatility. We also eliminated our TIPS position as inflation appears to be peaking and valuations looked full. In terms of interest rate management, we maintained a relatively neutral duration position at month-end.

Countries

Total
Countries
29
Largest Country United States 84.49% Was (30-Sep-2021) 81.67%
Other View complete Country Diversification

Monthly Data as of 31-Oct-2021

Indicative Benchmark: Bloomberg U.S. Aggregate Bond Index

Largest Overweight

United Kingdom
By1.96%
Fund 3.11%
Indicative Benchmark 1.14%

Largest Underweight

United States
By-7.84%
Fund 84.49%
Indicative Benchmark 92.33%

Monthly Data as of 31-Oct-2021

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.