Fixed Income Global Alpha Plus

The strategy seeks to achieve a return of 5% over T-bills over a full investment cycle. Active risk will typically range between 400 and 1000 basis points per annum. Target ex-ante risk is not fixed; it is a function of market opportunity. The typical duration range is -2 to +4 years.*

Product highlights

Inception date

October 31, 1988

Benchmark

ICE BofAML U.S. Treasury Bill Index

Total strategy assets

$9.7B

(as of September 2019)

Investment vehicles

  • Separate account

We believe our approach to active management allocates risk in pursuit of more efficient alpha within the context of an unconstrained bond portfolio. We seek opportunities in

  • Credit risk - corporate (investment grade/high yield), mortgage (residential/commercial MBS), sovereign (developed/emerging market)
  • Prepayment risk - agency MBS, collateralized mortgage obligations, IOs/POs
  • Liquidity risk - pricing, volatility, spreads not associated with credit or prepayment risk
  • Term structure risk - level, slope, bend, currency, real vs. nominal rates 

*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.

Investment team

Performance

Annualized composite performance (%) as of September 30, 2019

  MTD QTD YTD 1 Year 3 Years 5 Years 10 Years
Fixed Income Global Alpha Plus (gross) 0.54% 1.99% 9.84% 5.98% 6.97% 3.67% 6.34%
Fixed Income Global Alpha Plus (net) 0.49% 1.85% 9.39% 5.40% 6.35% 3.04% 5.64%
ICE BofAML U.S. Treasury Bill Index 0.17% 0.56% 1.86% 2.46% 1.54% 1.00% 0.56%

Calendar Year Composite Performance (%) as of September 30, 2019

  2018 2017 2016 2015 2014 2013 2012 2011 2010 2009
Fixed Income Global Alpha Plus (gross) -0.34% 7.65% 6.17% -1.99% 1.89% 8.89% 13.56% -2.50% 14.19% 55.14%
Fixed Income Global Alpha Plus (net) -0.92% 7.01% 5.53% -2.66% 1.17% 8.13% 12.76% -3.19% 13.39% 54.05%
ICE BofAML U.S. Treasury Bill Index 1.88% 0.81% 0.37% 0.09% 0.06% 0.09% 0.12% 0.14% 0.21% 0.29%

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.

Literature

Important disclosures

The return objective of 5-7% over T-bills is based on managing the strategy to a level of tracking error (typically 6%-12%) commensurate with the target return. Return expectations are derived using conservative cash flow assumptions for asset classes typically represented in the portfolio, including corporate credit, mortgage credit, prepayment, and term structure strategies. 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.

The Putnam Investments Fixed Income Global Alpha Plus Composite (the "Composite") seeks as high a level of current income as Putnam believes is consistent with preservation of capital, through an actively managed, multi-sector investment approach. The strategy may also pursue an absolute return objective over a cash benchmark. The ICE BofA Merrill Lynch U.S. Treasury Bill Index is used as a cash benchmark for comparative purposes. The strategy primarily invests in U.S. corporate and government investment-grade bonds, securitized (MBS, RMBS, CMBS, CMO, and ABS), foreign bonds, emerging-market debt, and higher-yielding, lower-rated corporate bonds. The Composite comprises all fully discretionary accounts managed by Putnam Investments in this investment style. As of September 23, 2013, the Composite was redefined to prospectively include accounts managed to a cash benchmark in this investment style. Although accounts in the Composite pursue the same investment strategy, they may have different benchmarks. The Composite creation date was January 23, 2006. Leverage is not utilized in any account in this Composite. However, derivatives (including futures, exchange-traded or OTC options, and swaps) may be used in some portfolios for hedging or non- hedging purposes. Composites may include portfolios with certain existing investment restrictions that the Firm believes do not materially impact the investment strategy.

The ICE BofA Merrill Lynch U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.  

 

Effective February 1, 2018, the ICE BofAML U.S. Treasury Bill Index retroactively replaced the Bloomberg Barclays U.S. Aggregate Bond Index as the benchmark for this composite. The benchmark has been changed retroactively because this index more accurately reflects the strategy's multi-sector investment approach and more closely aligns with the goals for this strategy. 

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.