Past performance is not a reliable indicator of future performance.
The Global Aggregate Strategy (USD) Bond Composite is comprised of portfolios that seek current income and capital appreciation primarily through investment in fixed income securities issued by governments and other investment grade entities. Below investment grade issues including high yield and emerging debt securities are also permitted. The use of derivatives, including futures and options, is also permitted.
- To generate 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 / Issue selection: 30%
- 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