Fixed Income Global Alpha
August 31, 2008
ICE BofAML 1-Month LIBOR
Total strategy assets†
(as of December 2018)
- 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.
Annualized composite performance (%) as of December 31, 2018
|MTD||QTD||1 Year||3 Years||5 Years||10 Years|
|Fixed Income Global Alpha (gross)||-1.21%||-2.22%||1.07%||3.35%||1.99%||4.91%|
|Fixed Income Global Alpha (net)||-1.25%||-2.31%||0.61%||2.84%||1.46%||4.24%|
|ICE BofAML 1-Month LIBOR||0.20%||0.58%||1.99%||1.18%||0.77%||0.52%|
Calendar Year Composite Performance (%) as of December 31, 2018
|Fixed Income Global Alpha (gross)||1.07%||5.37%||3.66%||-1.32%||1.31%||3.41%||7.61%||-2.32%||5.83%||27.20%|
|Fixed Income Global Alpha (net)||0.61%||4.85%||3.11%||-1.87%||0.74%||2.66%||6.80%||-3.05%||5.04%||26.24%|
|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 return objective of 3% over LIBOR is based on managing the strategy to a level of tracking error (typically 2%-6%) 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. No representations are made as to the accuracy of such observations and assumptions.
The Putnam Investments Fixed Income Global Alpha Composite (the "Composite") seeks to provide an absolute return in excess of cash, as measured by 1-month Libor, over a full market cycle by investing in a diversified portfolio of global fixed income investments. The active risk will range between 200 and 600 bps. The management team pursues this objective by identifying multiple uncorrelated sources of alpha across all sectors and sub-sectors of the global fixed income market: sovereign (developed and emerging), credit (investment grade, high yield, bank loans, convertible bonds, and structured credit), and securitized (MBS, RMBS, CMBS, CMO, and ABS). In addition to security selection and sub-sector allocation, the team pursues excess returns through macro strategies, including currency, country, and global term structure. Derivatives are used to fine-tune portfolio strategies and hedge risk factors. The Composite comprises all fully discretionary accounts managed by Putnam in this style. Composite creation date was September 13, 2008.
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.