Dedicated Mortgage Strategy
July 31, 2009
ICE BofAML 1-Month LIBOR
Total strategy assets†
(as of September 2019)
- Separate account
- Broad focus across the spectrum of securitized products, which include agency MBS and CMOs (including IOs/POs and other mortgage prepayment derivatives), non-agency RMBS and CMBS (both cash and synthetics) and asset-backed securities
- Unlevered strategy
- Long-term investors have the potential to earn returns given a liquidity premium in the market place
- Target ex-ante risk is not fixed; it is a function of market opportunity
- Low interest-rate exposure (expected duration <1-2 years)
*No assurance can be given that the investment objective will be achieved or that an investor will receive a return of all or part of his or her initial investment. Actual results could be materially different from the stated goals. Investors should carefully consider the risks involved before deciding to invest. See the composite disclosures for a summary of risk considerations. As with any investment, there is a potential for profit as well as the possibility of loss.
†Assets may include accounts that are not reflected in the composite.
Annualized composite performance (%) as of September 30, 2019
|MTD||QTD||YTD||1 Year||3 Years||5 Years||10 Years|
|Dedicated Mortgage Strategy (gross)||1.04%||3.17%||8.41%||6.35%||7.09%||5.22%||9.09%|
|Dedicated Mortgage Strategy (net)||0.99%||3.02%||7.96%||5.75%||6.48%||4.52%||8.18%|
|ICE BofAML 1-Month LIBOR||0.18%||0.59%||1.85%||2.44%||1.68%||1.12%||0.67%|
Calendar Year Composite Performance (%) as of September 30, 2019
|Dedicated Mortgage Strategy (gross)||3.59%||6.85%||7.08%||0.49%||6.04%||10.50%||37.63%||-7.21%||16.06%||--|
|Dedicated Mortgage Strategy (net)||3.02%||6.22%||6.34%||-0.35%||4.98%||9.39%||36.25%||-8.14%||14.89%||--|
|ICE BofAML 1-Month LIBOR||1.99%||1.07%||0.48%||0.18%||0.16%||0.19%||0.25%||0.23%||0.27%||0.36%|
Past performance is not a guarantee of future results. An investment in this strategy could lose value. Most recent month-end performance is preliminary. Returns are subject to change. Please refer to the composite report for additional important information regarding performance disclosures and investments risks.
Periods less than one year are not annualized. Performance is stated in U.S. dollars.
The target range is based on return expectations over the next market cycle for the asset classes typically represented in the strategy, including Agency IO, non-agency RMBS, and below AAA CMBS. Return expectations are estimated using conservative assumptions about future cash flows. Accounts in the Composite could have higher or lower targets. Target returns represent results of statistical modeling and are provided for informational purposes only. Targets are presented for the purpose of communicating the intended risk profile of the investment opportunities that Putnam will pursue and are not intended to be projections of performance. Target returns are based on a number of assumptions, are subject to significant revision and may change materially with changes in underlying observations. No representations are made as to the accuracy of such observations and assumptions.
The Putnam Investments Dedicated Mortgage Strategy Composite (the "Composite") pursues a total return objective over a cash benchmark by investing in securitized debt (MBS, RMBS, CMBS, CMO, and ABS). For comparative purposes, the Composite is benchmarked to the 1-month USD Libor; however, individual accounts in the Composite may be benchmarked to an MBS index in addition to a cash benchmark or have no benchmark. Accounts in the Composite may have specific target returns that may be higher or lower than the strategy's general return objective. The Composite comprises all fully discretionary non-ERISA accounts managed by Putnam Investments in this investment style. The Composite creation date was August 17, 2009.
The ICE BofA Merrill Lynch U.S. Dollar 1-Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset-paying LIBOR to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day's fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.
Composites may include portfolios with certain existing investment restrictions that the Firm believes do not materially impact the investment strategy. Benchmarks are generally taken from published sources and may have different calculation methodologies, pricing times, and/or foreign-exchange sources from the composite. The effect of those differences is generally deemed to be immaterial. The securities holdings of the Composite may differ materially from those of the index used for comparative purposes. Composites and benchmarks include the reinvestment of dividends and other earnings. Indexes are unmanaged and do not incur expenses. You cannot invest directly in an index. Gross-of-fees returns do not include the deduction of management fees and other expenses that may be incurred in managing an investment account. A portfolio's return will be reduced by advisory and other fees. Net-of-fee returns are calculated using a model fee. For the applicable time periods, net-of-fees returns reflect either the deduction of the highest management fee that is paid by a portfolio in the Composite during the performance period, applied on a monthly basis, or the deduction of the highest applicable management fee in effect during the performance period that would be charged based on the fee schedule appropriate to this mandate, without the benefit of breakpoints, applied on a monthly basis, whichever is higher. Net-of-fee calculation methodology may change over time. Actual investment advisory fees incurred by clients are typically negotiated on an individual basis and may vary depending upon, among other things, the applicable fee schedule and portfolio size. Our standard fee schedules are available upon request.