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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

Global Aggregate Bond Fund

Risk-aware investing, exploiting inefficiencies in global bond markets.

ISIN LU1127969670 Bloomberg TRGABQE:LX

3YR Return Annualised
(View Total Returns)

Total Assets
(USD)

5.57%
$602.7m

1YR Return
(View Total Returns)

Manager Tenure

1.11%
6yrs

Information Ratio
(5 Years)

Tracking Error
(5 Years)

0.34
1.42%

Inception Date 28-Oct-2014

Performance figures calculated in EUR

Other Literature

31-Jan-2021 - Arif Husain, Head of International Fixed Income,
Despite vaccine delays, financial conditions are positive for a recovery in the medium term. The prospect of more fiscal packages and higher inflation could also lead to steeper developed market yield curves. The ongoing impact of lockdowns and the unevenness of the recovery ahead remain key headwinds, however. Overall, flexibility will be key in 2021, and our ability to adapt quickly against the backdrop of an uncertain recovery can help navigate this period.
Arif Husain, CFA
Arif Husain, CFA, Co-Portfolio Manager

Arif Husain is the head of the International Fixed Income Division. He is a co-portfolio manager for the International Bond and Institutional International Bond Strategies and the lead portfolio manager for the Global Aggregate Bond Strategy. Arif also is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd.

Click for Manager Outlook
 

Strategy

Manager's Outlook

The news of potentially effective coronavirus vaccines announced in November emboldened investors during the quarter, with risk markets rallying in the aftermath. Although this has raised hopes of a way out of the pandemic in the longer term, fresh sets of lockdowns issued across several countries, as well as concerns over a new strain of the virus, are a reminder that the near term is fraught with uncertainty. While markets appear happy to look through the current economic malaise and ahead to a rebound in the second half of the year, timing when the upturn will occur seems difficult.

We anticipate the credit landscape will remain a key source of alpha over the next few months, despite valuations beginning to appear stretched. Moreover, the possibility of an increase in company defaults in the short term, particularly in coronavirus-sensitive sectors, could potentially create price dislocations in the market. With this in mind, we continue to be selective in our purchases through our fundamental research platform and maintain defensive hedges to protect against a significant increase in volatility.

Overall, we believe flexibility is key in the current environment. For now, we hold a risk-on view, expressed through positions including a credit overweight and U.S. dollar underweight, to take advantage of optimism over a recovery. However, factors such as the speed of vaccination and level of consumer demand could alter market perceptions. We, therefore, stand ready to adjust the portfolio's risk profile quickly depending on the evolution of global fixed income markets.

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 bonds of all types from issuers around the world.

Investment Approach

  • To generate a consistent performance over benchmark by exploiting inefficiencies in the full universe of the global fixed income and currency markets:
    • Focus on successful alpha generation.
    • Importance of effective risk management.
  • Target average tracking error: Between 150 basis points and 300 basis points per annum.
  • Alpha generation classified under three main performance activities:
    • Currency Management: 35% Expected contribution to value added
    • Country/Duration Management: 35% Expected contribution to value added
    • Sector Allocation/Security Selection: 30% Expected contribution to value added
    • Sub investment Grade Allocation: 20% Expected contribution to value added
    • Sector/Security Selection: 10% Expected contribution to value added

Portfolio Construction

  • Currency limit: maximum +/- 40% relative to benchmark
  • Weighted duration limit: maximum +/- 3 years relative to benchmark
  • Sub-investment grade: maximum 20%
  • Above investment grade: not restricted (includes corporates and emerging markets)
  • Portfolio holdings: between 400 and 600 issuers
  • Average credit quality: A- or better

Performance (Class Q | EUR)

Annualised Performance

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Since Manager Inception
Annualised
Fund % 1.11% 5.57% 2.52% 3.92% 2.53%
Indicative Benchmark % -2.52% 5.00% 2.04% 3.55% 2.13%
Excess Return % 3.63% 0.57% 0.48% 0.37% 0.40%

Inception Date 28-Oct-2014

Manager Inception Date 13-Mar-2016

Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond Index

Data as of 31-Jan-2021

Performance figures calculated in EUR

  1 YR 3 YR
Annualised
5 YR
Annualised
Since Inception
Annualised
Fund % 3.92% 4.90% 2.75% 3.96%
Indicative Benchmark % 0.18% 4.20% 2.33% 3.63%
Excess Return % 3.74% 0.70% 0.42% 0.33%

Inception Date 28-Oct-2014

Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond Index

Data as of 31-Dec-2020

Performance figures calculated in EUR

Recent Performance

  Month to DateData as of 05-Mar-2021 Quarter to DateData as of 05-Mar-2021 Year to DateData as of 05-Mar-2021 1 MonthData as of 31-Jan-2021 3 MonthsData as of 31-Jan-2021
Fund % 0.95% -0.16% -0.16% 0.08% -1.40%
Indicative Benchmark % 0.89% -0.93% -0.93% -0.17% -1.94%
Excess Return % 0.06% 0.77% 0.77% 0.25% 0.54%

Inception Date 28-Oct-2014

Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond Index

Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond 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-2021 - Arif Husain, Head of International Fixed Income,
Core government bond yields rose in January. Curves steepened across most developed markets, driven by the prospect of more fiscal stimulus. Within the portfolio, an off-benchmark stance to Brazil held back relative gains. Uncertainty over the country’s fiscal outlook pushed yields higher. By contrast, our exposure to U.S. inflation-linked swaps, as well as our steepening bias to the Treasury curve, added to relative returns. Yields rose at the long end after Democratic Party victories in key Senate races increased fiscal stimulus expectations. Within currencies, the deteriorating fiscal situation in Brazil also negatively affected our overweight position in the real. However, an overweight in the South Korean won, expressed via an option, supported relative returns. In terms of sector allocation and security selection, our exposure to U.S. dollar-denominated government-related debt worked in our favour, as did an index-level short position to European high yield credit risk via a credit default swap.

Holdings

Issuers

Top
Issuers
10
Top 10 Issuers 53.01% Was (31-Dec-2020) 52.82%
Other View Top 10 Issuers

Monthly data as of31-Jan-2021

Holdings

Total
Holdings
589
Largest Holding U.S. Treasury Notes 7.74% Was (30-Sep-2020) 3.64%
Top 10 Holdings 31.67%
Other View Full Holdings Quarterly data as of  31-Dec-2020

Quality Rating View quality analysis

  Largest Overweight Largest Underweight
Quality Rating Below Investment Grade AA
By % 7.82% -9.58%
Fund 8.09% 5.15%
Indicative Benchmark 0.27% 14.73%

Average Credit Quality

AA-

Monthly Data as of  31-Jan-2021
Indicative Benchmark:  Bloomberg Barclays Global 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 3-5 Years 1-3 Years
By % 4.60% -6.06%
Fund 28.92% 16.19%
Indicative Benchmark 24.32% 22.24%

Weighted Average Maturity

9.53 Years

Monthly Data as of  31-Jan-2021
Indicative Benchmark:  Bloomberg Barclays Global Aggregate Bond Index

Duration View duration analysis

  Largest Overweight Largest Underweight
Duration 3-5 Years 1-3 Years
By % 7.51% -11.76%
Fund 29.24% 14.70%
Indicative Benchmark 21.74% 26.46%

Weighted Average Duration

6.79 Years

Monthly Data as of  31-Jan-2021
Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond Index

31-Dec-2018 - Arif Husain, Head of International Fixed Income,

The portfolio's overall duration was increased over the quarter driven in part by adding to high-quality countries, such as the U.S. and Australia. We also reduced the underweight duration position in the eurozone and moved the UK up to neutral. The changes reflected our expectations that slowing global growth, geopolitics, and trade tensions could fuel a flight into high-quality government bonds.

Country/duration positioning

  • Within developed markets, we began increasing the overweight duration position in the U.S. around mid-October. This was driven by expectations for growth to moderate and the Federal Reserve to slow the pace of interest rate hikes in 2019. Overall, our bias for a flattening of the Treasury yield curve stayed in place as inflation remained well behaved. In the eurozone, we added to Germany in the 7- to 10-year part of the curve and moved Italy back to neutral as budget concerns eased. The overall underweight duration position was reduced as economic growth continued to slow. Over the medium-term, we believe eurozone government bonds are potentially vulnerable as the markets have yet to price in the European Central Bank taking a key step toward monetary policy normalization at the end of 2018 when its quantitative easing program finished.
  • Among other developed market moves, we opened a new overweight duration position in Australia on anticipation that the central bank will keep interest rates unchanged for the foreseeable future, a factor we believe should be supportive for bonds. Meanwhile, in the UK, we closed the underweight duration position in mid-November on uncertainty surrounding the country's exit from the European Union. Toward the end of the period, we opened a new underweight duration position in Canada as we felt that the market was being too pessimistic on the outlook for interest rate hikes.
  • Our allocation to local emerging market bonds remained low during the quarter. In terms of moves, we reduced overweight positions in Mexico and Thailand and took profit on the off-benchmark position in Brazil. We also added modestly to our off-benchmark exposure in domestic Romania on anticipation that inflation pressures could recede. Throughout, we maintained overweight positions in Chile, and off-benchmark exposures in India and South Africa. To balance some of the risks, we maintain a negative bias in Eastern Europe through underweight duration positions expressed in Hungary and Poland.

Currency selection

  • On the currency front, we shifted to an underweight position in the U.S. dollar toward the end of the quarter. This was driven in part by adding to the overweight position in the Swiss franc and opening a new overweight position in the Swedish krona after the central bank raised interest rates for the first time since 2011 in December. Overall, we felt that with U.S. growth slowing and the Fed potentially delivering fewer hikes in 2019, the dollar could be vulnerable to a correction. In other moves, underweight positions in the euro and Australian dollar were closed. Throughout, we maintained an overweight position in the Japanese yen and underweight allocations to the Singapore dollar and Taiwanese dollar.
  • In emerging markets, we added tentatively to a select number of currencies. This included the Mexican peso, the Argentine peso, the South African rand, and the Malaysian ringgit. These complemented existing exposures in the Romania leu and the Colombian peso. The overweight position in the Czech koruna was closed.

Sector allocation and security selection

  • We maintain an allocation to hard currency emerging market sovereign debt as the income stream remains attractive. We also hold modest exposure to European high yield bonds.
  • To reduce portfolio risk, we continue to hold defensive positions in credit markets. The majority of this is expressed through short credit default swap positions in a U.S. investment-grade bond index. In emerging markets, except for Mexico, we closed the credit default swap positions at an individual country level in Turkey, South Africa, and Indonesia.

Sectors

Total
Sectors
6
Largest Sector Government 61.53% Was (31-Dec-2020) 62.62%
Other View complete Sector Diversification

Monthly Data as of 31-Jan-2021

Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond Index

Largest Overweight

Sub Investment Grade
By4.07%
Fund 4.07%
Indicative Benchmark 0.00%

Largest Underweight

Agency/Supranationals
By-9.57%
Fund 0.81%
Indicative Benchmark 10.38%

Monthly Data as of 31-Jan-2021

31-Jan-2021 - Arif Husain, Head of International Fixed Income,
We continue to hold a modest overweight position in European and U.S high yield and have maintained an overweight exposure to hard-currency sovereign debt. Our more neutral stance means that we expect security selection to dominate performance over the next few months.

Countries

Total
Countries
49
Largest Country United States 41.30% Was (31-Dec-2020) 40.96%
Other View complete Country Diversification

Monthly Data as of 31-Jan-2021

Indicative Benchmark: Bloomberg Barclays Global Aggregate Bond Index

Largest Overweight

United States
By5.58%
Fund 41.30%
Indicative Benchmark 35.71%

Largest Underweight

France
By-5.17%
Fund 0.69%
Indicative Benchmark 5.86%

Monthly Data as of 31-Jan-2021

31-Jan-2021 - Arif Husain, Head of International Fixed Income,
The portfolio remained underweight duration in the month. In the U.S., we moved from overweight duration to neutral, with the prospect of a Democratic Party-controlled Senate and White House increasing the odds of greater fiscal spending. Considerable progress on vaccinations in the UK led us to move underweight duration to gilts, meanwhile, on the conviction that the country could exit its lockdown earlier than others.

Currency

Total
Currencies
32
Largest Currency 39.63% Was (31-Dec-2020) 36.20%
Other View completeCurrency Diversification

Monthly Data as of  31-Jan-2021

Indicative Benchmark :

Largest Overweight

Australian dollar
By 1.26%
Fund 2.74%
Indicative Benchmark 1.48%

Largest Underweight

New Taiwan dollar
By -2.00%
Fund -2.00%
Indicative Benchmark 0.00%

Monthly Data as of  31-Jan-2021

31-Jan-2021 - Arif Husain, Head of International Fixed Income,
We opened overweight positions in Australia and Canada toward the end of the month, as well as shifted a euro underweight to overweight. In our view, these currencies could appreciate in the medium term as the global macroeconomic environment improves. By contrast, we added a Hungarian forint underweight, with the view that the country’s growing fiscal deficit will likely be a long-term structural headwind for the currency. In other emerging markets, we reduced an off-benchmark stance to the Indian rupee and closed an Indonesian rupiah overweight.

Team (As of 25-Feb-2021)

Arif Husain, CFA

Arif Husain is the head of the International Fixed Income Division. He is a co-portfolio manager for the International Bond and Institutional International Bond Strategies and the lead portfolio manager for the Global Aggregate Bond Strategy. Arif also is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd. 

Arif’s investment experience began in 1995, and he has been with T. Rowe Price since 2013. Prior to this, Arif was employed by AllianceBernstein in the area of European Fixed Income and Euro Portfolio Management. He also was a member of the global fixed income and absolute return portfolio management teams. Arif also was employed by Greenwich NatWest as an assistant director of European Derivatives Trading and by the Bank of America National Trust and Savings Association.  

Arif earned a B.Sc. (honors) in banking and international finance from City University London, Cass Business School. He also has earned the Chartered Financial Analyst® designation.

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

  • Fund manager
    since
    2014
  • Years at
    T. Rowe Price
    7
  • Years investment
    experience
    25
Quentin S. Fitzsimmons

Quentin Fitzsimmons is a senior portfolio manager in the Fixed Income Division of T. Rowe Price and a member of the global fixed income investment team. He is co-portfolio manager for the Global Aggregate Bond Strategy. He is actively involved in the discussion around country and duration positioning, currency management and sector allocation, with a particular expertise in interest rate management.

Mr. Fitzsimmons has 28 years of investment experience, four of which have been with T. Rowe Price. Prior to joining the firm in 2015, Mr. Fitzsimmons was head of liquidity portfolio investment management, Treasury markets, for the Royal Bank of Scotland Group, where he managed the liquid fixed income "tier one" capital on its balance sheet on an absolute return basis. Previously, he also worked as head of rates and as executive director of fixed income for Threadneedle Investments, where he ran global fixed income portfolios from 2002 to 2012. Prior to Threadneedle he held various fixed income portfolio management and research roles with F&C Investments, the Equitable Life Assurance Society and Sun Life Assurance Company of Canada.

Mr. Fitzsimmons earned a B.Sc. in economics and economic history from the University of Bristol.

  • Fund manager
    since
    2016
  • Years at
    T. Rowe Price
    5
  • Years investment
    experience
    29
Stephane Fertat, CFA

Stephane Fertat is the EMEA head of the Investment Specialists Group and a portfolio specialist in the Fixed Income Division. He is a vice president of T. Rowe Price Group, Inc., and T. Rowe Price International Ltd. 

Stephane’s investment experience began in 1998, and he has been with T. Rowe Price since 2007, beginning in the Fixed Income Division. Prior to this, Stephane was employed by Fischer Francis Trees and Watts, a global fixed income asset management company, where he worked as a European fixed income fund manager before moving to a product manager role. Stephane also was a director of client service and business development for the southern European distribution team at Fischer Francis Trees and Watts. He also was employed by Société Générale Fimat Investment Management in Chicago.

Stephane earned a master’s degree in finance from Ecole Superieure de Commerce de Paris.

  • Years at
    T. Rowe Price
    13
  • Years investment
    experience
    23
Christopher Dillon, CFA

Chris Dillon is an investment specialist in the Multi-Asset Division. He is also a vice president of T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc.

Chris’s investment experience began in 1993, and he has been with T. Rowe Price since 2006, beginning in the Fixed Income Division. Prior to this, Chris was employed by PNC Advisors as an investment advisory research consultant. He also directed fixed income management research with Smith Barney Consulting Group.

Chris earned a B.A., cum laude, in history/economics from the University of Delaware and an M.B.A. from Wilmington University. He also has earned the Chartered Financial Analyst® designation.

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

  • Years at
    T. Rowe Price
    15
  • Years investment
    experience
    24

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 UK Tax Reporting Status
Class A $1,000 $100 $100 5.00% 75 basis points 0.92% Yes
Class I $2,500,000 $100,000 $0 0.00% 45 basis points 0.55% No
Class Q $1,000 $100 $100 0.00% 45 basis points 0.62% Yes
Class Sd $10,000,000 $0 $0 0.00% 0 basis points 0.10% No

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

T. Rowe Price Funds SICAV and its sub-funds are domiciled in Luxembourg and therefore considered offshore funds for UK tax purposes. Selected share classes of T. Rowe Price Funds SICAV have been designated “Reporting Funds” by HM Revenue & Customs (HMRC) under the guidelines of the UK Offshore Funds Regulation. These share classes report all relevant tax information to HMRC on an annual basis. Details on the information reported are outlined in the SICAV Shareholder Tax Reporting document that is available in the Fund Range Docs drop-down. Investors in “Reporting Fund” share classes who are considered United Kingdom residents for tax purposes will have any accrued gains treated as a capital gain rather than income upon sale or other disposal of their shares.