Fixed Income Global Alpha Plus
|Inception date||Benchmark||Total strategy assets†||Product literature|
|October 31, 1988||ICE BofAML U.S. Treasury Bill Index||$9.5B (As of February 2019)||Strategy profile (PDF)|
The strategy seeks to achieve a return of 5-7% over T-Bills over a full investment cycle. Active risk will typically range between 600 and 1200 basis points per annum. Target ex-ante risk is not fixed; it is a function of market opportunity. The typical duration range is +/- 2 years.
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
Michael J. Atkin
Robert L. Davis, CFA
D. William Kohli
Chief Investment Officer, Fixed Income
Brett S. Kozlowski, CFA
Michael V. Salm
Co-Head of Fixed Income
Paul D. Scanlon, CFA
Co-Head of Fixed Income
†Assets may include accounts that are not reflected in the composite.
**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.
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.