UAT Emerging Markets Debt Blended Total Return
The Emerging Markets Debt Blended Total Return strategy seeks to maximize return potential by investing in what we consider to be attractive issuers in external sovereign, local sovereign and corporate debt markets based on top-down regime analysis
Primary Benchmark:
33.33% JPM CEMBI, 33.33% JPM GBI-EM, 33.33% JPM EMI
Strategy Highlights
- A total return strategy seeking potential alpha across the broadest emerging markets debt opportunity set
- Benchmark agnostic, tactical approach to emerging markets investing
- Blended opportunity set includes external sovereign, local sovereign and corporate debt markets
- Quantitatively driven top-down regime identification process based on value and momentum in credit and FX markets
- Bottom-up process structured to maximize regional relative value, supported by fundamental research
- Investment team integrates trading to help determine their best expression of each opportunity (sovereign versus corporate)
- Targets a volatility band of 5-7% with a Sharpe Ratio of 1.0 or higher over a full market cycle
Portfolio Construction
- Duration: 0 to 10 years
- Maximum below investment grade: 100%
- Maximum local sovereigns: 50%
- Leverage: None
- Use of Derivatives: futures, forwards, options and swaps
The Emerging Markets Debt Blended Total Return Composite includes all discretionary accounts with market values greater than $30 million managed by Loomis Sayles that adopt a total return approach to seek alpha across the broadest set of emerging markets debt asset classes. Accessing a broad investment opportunity set allows the product team to seek to create a diversified portfolio with what the team believes are the most attractive issuers in the external sovereign, local sovereign and corporate debt markets. Interest rate duration is managed from zero to ten years. The Composite inception date is March 1, 2017. The Composite was created in 2020.
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Strategy Facts as of 12/31/2022
| Strategy Inception | 3/1/2017 |
| Strategy Assets | $117.5 million |
| Composite Assets | $106.5 million |
| Number of Composite Accounts | 1 |
Learn More About the Team
CLICK HERE to explore more about the team’s philosophy, offerings and insights.
Primary Benchmark:
33.33% JPM CEMBI, 33.33% JPM GBI-EM, 33.33% JPM EMI
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Quarter-End Performance as of 12/31/2022 | Cumulative | Gross | Net | Index |
|---|
| 3 month | 7.73% | 7.59% | 7.09% | | Year-to-date | -17.94% | -18.35% | -13.90% |
Trailing Performance as of 12/31/2022 | Average Annualized Return | Gross | Net | Index |
|---|
| 1 year | -17.94% | -18.35% | -13.90% | | 3 years | -3.45% | -3.90% | -4.34% | | 5 years | -0.61% | -1.08% | -0.86% | | Since Inception 3/1/2017 | -0.02% | -0.51% | 0.49% |
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Period Performance | Year | Gross | Net | Index |
|---|
| 2022 | -17.94% | -18.35% | -13.90% | | 2021 | -2.58% | -3.03% | -3.26% | | 2020 | 12.58% | 12.08% | 5.07% | | 2019 | 16.79% | 16.25% | 13.93% | | 2018 | -7.74% | -8.19% | -3.96% | | 2017* | 2.98% | 2.49% | N/A |
* Since Inception 3/1/2017 |
Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Current performance may be lower or higher than quoted. Returns are shown in US dollars and are annualized for one and multi-year periods. Gross returns are net of trading costs. Net returns are gross returns less effective management fees.
There is no guarantee that the investment objective will be realized or that the strategy will generate positive or excess return.
Monthly as of -1/-1/-1
| Currency Distribution | |
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| @ERROR% | | Duration Distribution | |
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| @ERROR% |
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| Sector Distribution (Fixed) * | |
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| 0.0% | | Country Distribution | |
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| @ERROR% | | Maturity Distribution | |
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| @ERROR% | |
Portfolio composition statistics are from the adviser’s internal system and may not match the fund’s regulatory documents.
Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody’s, S&P or Fitch; ratings are subject to change. The fund’s shares are not rated by any rating agency and no credit rating for fund shares is implied. Bond credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).
Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities.
Due to rounding, Sector, Currency, Country, Duration, Maturity and Quality distribution totals may not equal 100%.
Quarterly as of -1/-1/-1
| Currency Distribution | Fund | Index |
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| @ERROR% | 0.0% | | Duration Distribution | Fund | Index |
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| @ERROR% | @ERROR% |
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| Sector Distribution (Fixed) * | Fund | Index |
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| 0.0% | 0.0% | | 0.0% | 0.0% | | Country Distribution | Fund | Index |
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| @ERROR% | 0.0% | | Maturity Distribution | Fund | Index |
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| @ERROR% | @ERROR% | | Credit Quality | Fund | Index |
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| @ERROR% | 0.0% |
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Portfolio composition statistics are from the adviser’s internal system and may not match the fund’s regulatory documents.
Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody’s, S&P or Fitch; ratings are subject to change. The fund’s shares are not rated by any rating agency and no credit rating for fund shares is implied. Bond credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).
Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities.
Due to rounding, Sector, Currency, Country, Duration, Maturity and Quality distribution totals may not equal 100%.