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International Bond

Overview

An international fixed-income strategy investing in developed and emerging market securities.

Strategy Inception Date
June 15, 1995
Composite Inception Date
December 31, 2007
Composite AUM
(as of 11/30/2017)
$5.30 BN
Composite Benchmark
50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
Performance
Average Annual Returns
Cumulative Returns
Calendar Year Returns
as of 11/30/2017
as of 09/30/2017

Cumulative
Annualized
3 mo ytd as of 2017-09-30
1 yr 3 yr 5 yr since inception
International Bond (gross of fees)
2.72% 10.37% 5.80% 4.62% 2.96% 4.85%
International Bond (net of fees)
2.60% 9.98% 5.29% 4.12% 2.47% 4.35%
50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
2.89% 10.43% 1.53% 1.73% 0.26% 3.72%
50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
2.89% 10.43% 1.53% 1.73% 0.26% 3.72%
Cumulative
Annualized
3 mo ytd as of 2017-11-30
1 yr 3 yr 5 yr since inception
International Bond (gross of fees)
0.52% 11.37% 12.26% 4.71% 2.88% 4.86%
International Bond (net of fees)
0.40% 10.88% 11.73% 4.21% 2.39% 4.36%
50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
-0.32% 10.95% 11.33% 2.07% 0.28% 3.71%
50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
-0.32% 10.95% 11.33% 2.07% 0.28% 3.71%

Year International Bond (gross of fees) International Bond (net of fees) 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
2008 0.27% -0.21% 4.86%
2009 14.15% 13.61% 10.26%
2010 8.90% 8.38% 8.03%
2011 0.70% 0.22% 4.06%
2012 11.88% 11.35% 9.08%
2013 -3.18% -3.65% -5.95%
2014 1.33% 0.84% -1.59%
2015 -2.74% -3.21% -7.04%
2016 7.25% 6.74% 6.00%

Date International Bond (gross of fees) International Bond (net of fees) 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified
11/30/2012 0.00 0.00 0.00
12/31/2012 1.14 1.10 0.21
1/31/2013 1.86 1.78 -0.57
2/28/2013 1.32 1.20 -1.69
3/31/2013 1.26 1.10 -2.19
4/30/2013 3.23 3.03 -0.05
5/31/2013 -0.09 -0.33 -4.72
6/30/2013 -4.13 -4.40 -7.02
7/31/2013 -3.27 -3.58 -6.04
8/31/2013 -5.25 -5.59 -7.88
9/30/2013 -3.02 -3.41 -5.02
10/31/2013 -1.38 -1.82 -3.15
11/30/2013 -2.46 -2.93 -5.24
12/31/2013 -2.08 -2.59 -5.75
1/31/2014 -3.00 -3.54 -6.59
2/28/2014 -1.38 -1.97 -4.03
3/31/2014 -0.74 -1.37 -2.97
4/30/2014 0.25 -0.43 -1.83
5/31/2014 1.25 0.52 -0.54
6/30/2014 1.91 1.14 0.41
7/31/2014 1.25 0.45 -0.46
8/31/2014 1.76 0.91 -0.03
9/30/2014 -0.23 -1.11 -4.13
10/31/2014 0.27 -0.64 -3.71
11/30/2014 0.40 -0.55 -4.64
12/31/2014 -0.78 -1.77 -7.25
1/31/2015 0.21 -0.82 -7.70
2/28/2015 0.52 -0.56 -8.35
3/31/2015 0.15 -0.96 -10.00
4/30/2015 0.33 -0.83 -8.07
5/31/2015 -0.32 -1.51 -10.40
6/30/2015 -1.49 -2.70 -11.00
7/31/2015 -0.55 -1.82 -11.45
8/31/2015 -1.74 -3.03 -12.74
9/30/2015 -2.82 -4.13 -13.43
10/31/2015 -2.11 -3.47 -11.73
11/30/2015 -2.64 -4.04 -13.60
12/31/2015 -3.50 -4.92 -13.78
1/31/2016 -3.47 -4.93 -13.28
2/29/2016 -3.66 -5.15 -10.85
3/31/2016 0.70 -0.90 -6.10
4/30/2016 2.91 1.24 -4.14
5/31/2016 1.65 -0.04 -6.82
6/30/2016 4.07 2.29 -2.47
7/31/2016 6.32 4.46 -1.64
8/31/2016 7.52 5.60 -1.78
9/30/2016 7.97 6.00 -0.59
10/31/2016 6.71 4.72 -3.37
11/30/2016 2.67 0.72 -8.92
12/31/2016 3.49 1.49 -8.61
1/31/2017 4.98 2.91 -7.07
2/28/2017 6.54 4.39 -6.03
3/31/2017 7.56 5.35 -5.19
4/30/2017 8.96 6.68 -3.80
5/31/2017 10.35 8.00 -1.96
6/30/2017 11.20 8.79 -1.91
7/31/2017 13.58 11.07 0.21
8/31/2017 14.66 12.08 1.73
9/30/2017 14.23 11.61 0.92
10/31/2017 13.79 11.14 -0.24
11/30/2017 15.26 12.53 1.40
Portfolio

Top Countries

(71.0% of assets as of 11/30/2017)


Portfolio Holdings Breakdown

Strategy
Developed Markets
Emerging Markets
Credit Rating Allocation
Currency
Strategy International Bond 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Global Tactical Rates / FX: Global Tactical Rates 30.6% - -
Credit: Emerging Markets 17.5% - -
Credit: Developed Markets 8.4% - -
Global Core Rates / FX: Global Core Rates 25.6% - -
Developed Markets International Bond 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Europe 25.1% 30.5% -5.5%
Asia Pacific 2.4% 16.7% -14.2%
Supranational -0.5% - -
Americas -0.5% 1.3% -1.8%
Emerging Markets International Bond 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
Americas 22.2% 18.2% 4.0%
Asia Pacific 17.0% 12.0% 4.9%
Europe 12.3% 15.3% -3.0%
Africa 3.7% 4.8% -1.0%
Middle East 0.3% 1.2% -0.9%
Credit Rating Allocation International Bond 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
BBB 29.0% 30.7% -1.8%
BB 21.7% 6.4% 15.3%
A 13.1% 30.8% -17.7%
Unrated 9.5% 2.9% 6.7%
B 9.0% 5.3% 3.7%
AA 6.0% 14.5% -8.5%
AAA 1.4% 9.2% -7.8%
CCC 0.6% 0.1% 0.5%
Other -8.3% - -
Currency International Bond 50% Citi Non-USD WGBI /30% JPM GBI-EM Global Diversified /20% JPM EMBI Global Diversified Overweight / Underweight
US Dollar 19.0% 20.0% -1.0%
Euro 14.6% 25.3% -10.7%
British Pound 8.7% 4.3% 4.4%
Mexican Peso 7.5% 3.5% 4.0%
Indian Rupee 7.2% - -
Brazilian Real 4.3% 3.0% 1.3%
Russian Ruble 4.0% 2.3% 1.7%
Indonesian Rupiah 3.5% 2.9% 0.6%
South African Rand 2.7% 2.7% 0.0%
Australian Dollar 1.9% 1.3% 0.6%
Malaysian Ringgit 1.8% 2.0% -0.2%
Argentine Peso 1.4% 0.3% 1.1%
Hungarian Forint 1.0% 1.4% -0.4%
Peruvian New Sol 0.9% 0.8% 0.1%
Turkish New Lira 0.7% 2.1% -1.4%
Thai Baht 0.7% 2.4% -1.8%
Colombian Peso 0.6% 2.1% -1.5%
Chilean Peso 0.5% 0.7% -0.2%
Polish Zloty 0.5% 3.1% -2.6%
Egyptian Pound 0.4% - -
Analytics
(As of 11/30/2017)

Performance Statistics
3Y
5Y
Alpha
3.24
2.55
Beta
0.57
0.63
Information Ratio
0.63
0.70
R-Squared
72.93
75.67
Sharpe Ratio
0.86
0.52
Standard Deviation
5.09
5.26
Sortino Ratio
0.43
0.22
Tracking Error
4.19
3.74
Portfolio Characteristics
Rep Portfolio
Benchmark
Yield to Maturity
5.57%
3.17%
Yield to Worst
5.46%
317.16%
Average Effective Maturity
6.18 yrs
9.66 yrs
Current Duration
3.60 yrs
7.30 yrs
Average Coupon
6.41%
-
Turnover Ratio
96.00%
-
Yields
Dividend Yield (with sales charge)
4.00%
Dividend Yield (w/o sales charge)
4.20%
Standardized Yield
3.81%

    Fixed income investing entails credit and interest rate risks. Interest rate risk is the risk that rising interest rates, or an expectation of rising interest rates in the near future, will cause the values of the Fund’s investments to decline. Risks associated with rising interest rates are heightened given that rates in the U.S. are at, or near, historic lows. When interest rates rise, bond prices generally fall, and the Fund’s share prices can fall. Below-investment-grade (“high yield” or “junk”) bonds are more at risk of default and are subject to liquidity risk. Foreign investments may be volatile and involve additional expenses and special risks, including currency fluctuations, foreign taxes and geopolitical risks. Emerging and developing market investments may be especially volatile. Due to the recent global economic crisis that caused financial difficulties for many European Union countries, Eurozone investments may be subject to volatility and liquidity issues. Derivative instruments whose values depend on the performance of an underlying security, asset, interest rate, index or currency, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. Currency derivative investments may be particularly volatile and involve significant risks. Small and mid-sized company stock is typically more volatile than that of larger, more established businesses, as these stocks tend to be more sensitive to changes in earnings expectations. It may take a substantial period of time to realize a gain on an investment in a small or mid-sized company, if any gain is realized at all. Diversification does not guarantee profit or protect against loss.

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