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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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Past performance is not a reliable indicator of future performance.

Strategy

Global Multi-Sector Bond

The Global Multi-Sector Bond Composite seeks high income and some capital appreciation primarily through investment in sectors and securities within the Bloomberg Barclays Global Aggregate Bond USD Hedged Index. The strategy may also invest in bank loans, non-agency MBS, and convertible bonds.

3YR Return Annualised (Net)
(View Total Returns)

Tracking Error
(5 Years)

7.08%
4.61%

1YR Return (Net)
(View Total Returns)

Information Ratio
(5 Years)

5.30%
0.52

Inception Date 31-Dec-2008

Performance figures calculated in USD

Kenneth A.  Orchard
Kenneth A. Orchard, Lead Portfolio Manager

Kenneth Orchard is a senior portfolio manager in the Fixed Income Division and a member of the Global Fixed Income Investment team. He is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd.

 

Strategy

Investment Approach

  • Designed to generate alpha through effective combination of top-down sector allocation, currency positioning, and interest rate management with high-conviction, bottom-up security selection from our specialized global research platform.
  • Flexible investment mandate seeks to increase the potential for excess return in a diversified, multi-sector portfolio by tactically allocating across a global opportunity set of 15 sectors, including below-investment grade and non-U.S. dollar-denominated securities.
  • Actively diversify risk across both quantitative risk factors and qualitative investment themes
  • Our Global Multi-Sector Bond Strategy offers flexibility to incorporate a wide range of strategy designs and customized benchmarks, including both total return and flexible duration mandates.

Portfolio Construction

  • Base strategy target tracking error range: 200-500 basis points
  • Up to 50% of assets may be unhedged to exploit currency valuation opportunities Profile can be tailored to specific client risk tolerances
  • Benchmark Details:
    • Base strategy: Bloomberg Global Aggregate USD Hedged Index
    • Ability to create custom benchmarks in a variety of base currencies and flexible duration mandates

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 18.51% Was (30-Jun-2021) 20.15%
Other View Top 10 Issuers

Monthly data as of30-Sep-2021

Holdings

Total
Holdings
574
Largest Holding FNMA 30 YR TBA OCT 4.85% Was (30-Jun-2021) 0.00%
Top 10 Holdings 19.82%
Other View Full Holdings Quarterly data as of  30-Sep-2021

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating BB AA
By % 18.66% -11.78%
Portfolio 18.98% 3.10%
Benchmark 0.31% 14.88%

Average Credit Quality

A-

Monthly Data as of  30-Sep-2021
Benchmark:  Bloomberg Global Aggregate Bond USD Hedged Index

Sources for Credit Quality: Moody’s Investors Service; if Moody’s does not rate a security, then Standard & Poor’s (S&P) is used as a secondary source. When available, T. Rowe Price will use Fitch for securities that are not rated by Moody’s or S&P. T. Rowe Price does not evaluate these ratings but simply assigns them to the appropriate credit quality category as determined by the rating agency. T. Rowe Price uses the rating of the underlying investment vehicle for credit default swaps.

U.S. government agency securities are issued or guaranteed by a U.S. government agency, and may include conventional pass-through securities and collateralized mortgage obligations; unlike Treasuries, government agency securities are not issued directly by the U.S. government and are generally unrated but may have credit support from the U.S. Treasury (e.g., FHLMC and FNMA issues) or a direct government guarantee (e.g., GNMA issues). Therefore, this category may include rated and unrated securities. 

U.S. Treasury securities are issued by the U.S. Treasury and are backed by the full faith and credit of the U.S. government. The ratings of U.S. Treasury securities are derived from the ratings on the U.S. government. 

Maturity View maturity analysis

  Largest Overweight Largest Underweight
Maturity 0-1 Years 1-3 Years
By % 17.78% -17.75%
Portfolio 17.78% 3.24%
Benchmark 0.00% 20.99%

Weighted Average Maturity

6.30 Years

Monthly Data as of  30-Sep-2021
Benchmark:  Bloomberg Global Aggregate Bond USD Hedged Index

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration Under 1 Year Over 10 Years
By % 30.85% -19.12%
Portfolio 31.21% 3.91%
Benchmark 0.36% 23.03%

Weighted Average Duration

4.15 Years

Monthly Data as of  30-Sep-2021
Benchmark: Bloomberg Global Aggregate Bond USD Hedged Index

Sectors

Total
Sectors
7
Largest Sector Global Sovereign 40.89% Was (30-Jun-2021) 46.76%
Other View complete Sector Diversification

Monthly Data as of 30-Sep-2021

Benchmark: Bloomberg Global Aggregate Bond USD Hedged Index

Largest Overweight

Global High Yield
By13.60%
Portfolio 13.60%
Benchmark 0.00%

Largest Underweight

Global Sovereign
By-26.97%
Portfolio 40.89%
Benchmark 67.86%

Monthly Data as of 30-Sep-2021