Fixed Income Global Alpha
August 31, 2008
ICE BofA U.S. Dollar 1-month Constant Maturity Index
Total strategy assets†
(as of October 2023)
- 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. 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 October 31, 2023
|MTD||QTD||YTD||1 Year||3 Years||5 Years||10 Years|
|Fixed Income Global Alpha (gross)||-0.78%||-0.78%||1.25%||3.01%||0.15%||1.26%||1.95%|
|Fixed Income Global Alpha (net)||-0.81%||-0.81%||0.91%||2.60%||-0.25%||0.85%||1.47%|
|ICE BofA U.S. Dollar 1-month Constant Maturity Index||0.46%||0.46%||4.23%||4.90%||1.96%||1.85%||1.27%|
Calendar-year composite performance (%) as of October 31, 2023
|Fixed Income Global Alpha (gross)||-0.67%||-2.78%||1.17%||9.40%||1.07%||5.37%||3.66%||-1.32%||1.31%||3.41%|
|Fixed Income Global Alpha (net)||-1.07%||-3.16%||0.77%||8.96%||0.61%||4.85%||3.11%||-1.87%||0.74%||2.66%|
|ICE BofA U.S. Dollar 1-month Constant Maturity Index||1.58%||0.10%||0.66%||2.34%||1.99%||1.07%||0.48%||0.18%||0.16%||0.19%|
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.
Periods less than one year are not annualized. Performance is stated in U.S. dollars and includes the reinvestment of dividends and interest.
The Putnam Investments Fixed Income Global Alpha Composite (the "Composite") seeks to provide a total return in excess of cash, as measured by the ICE BofA U.S. Dollar 1-month Constant Maturity Index, over a full investment cycle through an actively managed, unconstrained bond portfolio. Active risk will typically range between 200 and 600 basis points per annum. Target ex-ante risk is not fixed; it is a function of market opportunity. The strategy pursues 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), and term structure risk (level, slope, bend, currency, real vs. nominal rates). The Composite's benchmark is the ICE BofA U.S. Dollar 1-month Constant Maturity Index. Although accounts in the Composite pursue the same investment strategy, they may have different benchmarks. Leverage is not utilized in any account in this Composite. However, derivatives (including futures, exchange-traded or OTC options, forwards, and swaps) may be used for hedging, as an alternative to investing in the cash markets, and as a method of managing portfolio characteristics, such as position on the yield curve. The Composite comprises all fully discretionary accounts managed by Putnam Investments in this investment style and the strategy's risk/return characteristics. The Composite inception date was August 31, 2008. The Composite creation date was September 13, 2008.
The ICE BofA U.S. Dollar 1-month 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. The MSCI World Index (ND) is an unmanaged index of equity securities from developed countries. The FTSE World Government Bond Index is an index of bonds issued by governments in the U.S., Europe and Asia.
Gross performance includes the deduction of transaction costs but does 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 performance reflects the deduction of a model fee applied on a monthly basis, equal to the actual management fee incurred by a portfolio in the Composite or the highest management fee that would be charged to a prospect of the strategy, whichever is higher. The model fee may change over time. Actual advisory fees may vary among clients with the same investment strategy. The Composite includes all actual, fully discretionary accounts with substantially similar investment policies and objectives managed to the Composite's 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 strategy may differ materially from those of the index used for comparative purposes.