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Please note that this is an actively managed product.
Class I shares are only available to certain qualifying institutional investors.
Seeks total return, with an emphasis on high current income but also considering capital appreciation, measured in U.S. dollars.
A global high yield portfolio managed to seek to enhance returns and manage risk over full market cycles
A top-down risk budgeting process that adjusts global risk exposures over the course of the credit cycle
Bottom-up fundamental research emphasizes selection of companies we believe are managed to withstand the credit cycle
The fund may not achieve its objective and/or you could lose money on your investment in the fund.
Bond: Investments in debt instruments may decline in value as the result of, or perception of, declines in the credit quality of the issuer, borrower, counterparty, or other entity responsible for payment, underlying collateral, or changes in economic, political, issuer-specific, or other conditions. Certain types of debt instruments can be more sensitive to these factors and therefore more volatile. In addition, debt instruments entail interest rate risk (as interest rates rise, prices usually fall). Therefore, the portfolio's value may decline during rising rates. Portfolios that consist of debt instruments with longer durations are generally more sensitive to a rise in interest rates than those with shorter durations. At times, and particularly during periods of market turmoil, all or a large portion of segments of the market may not have an active trading market. As a result, it may be difficult to value these investments and it may not be possible to sell a particular investment or type of investment at any particular time or at an acceptable price. The price of an instrument trading at a negative interest rate responds to interest rate changes like other debt instruments; however, an instrument purchased at a negative interest rate is expected to produce a negative return if held to maturity.
Emerging Markets: Emerging markets can have less market structure, depth, and regulatory, custodial or operational oversight and greater political, social, geopolitical and economic instability than developed markets.
Derivatives: Investments in derivatives can be used to take both long and short positions, be highly volatile, involve leverage (which can magnify losses), and involve risks in addition to the risks of the underlying indicator(s) on which the derivative is based, such as counterparty and liquidity risk.
High Yield: Investments in below investment grade quality debt instruments can be more volatile and have greater risk of default, or already be in default, than higher-quality debt instruments.
Please see the prospectus for further information on these and other risk considerations.
Article 6: Integrates sustainability risks into the investment process.
Article 8: Systematically promotes a stated environmental or social characteristic and provides enhanced disclosure accordingly.
Article 9: Typically for "impact" funds, which have a dual objective of financial return and specific environmental or social outcomes.
David P. Cole, CFA, is an investment officer of MFS Investment Management® (MFS®). He is also a co-portfolio manager of the firm's high-yield portfolios.
David joined MFS in 2004 after working for five years as a high-yield analyst for Franklin Templeton Investments. Before that, he served as a financial economist/Treasury market analyst for Thomson Financial Services and an economist for Standard and Poor's.
David has a bachelor's degree from Cornell University and an MBA from University of California, Berkeley. He holds the Chartered Financial Analyst (CFA) designation.
Our portfolio managers are supported by our entire team of investment professionals in nine worldwide offices. The team employs a proprietary investment process to build better insights for our clients. The core principles of our approach are integrated research, global collaboration, and active risk management.
Michael Skatrud, CFA, is an investment officer and fixed income portfolio manager at MFS Investment Management® (MFS®). In this role, he is responsible for final buy and sell decisions, portfolio construction, risk assessment and cash management. He also participates in the research process and strategy discussions. Michael joined MFS in 2013 as a fixed income analyst and was named a portfolio manager in 2018. He previously worked for Columbia Management, where he was as a high yield analyst for four years. Before that, he was a senior credit analyst at Oppenheimer Funds, Inc. for two years and spent seven years as a corporate bond analyst at Putnam Investments. He began his career in the financial services industry in 1996. Michael earned a Bachelor of Science degree in economics with distinction from the University of Wisconsin and a Master of Business Administration degree in finance from the University of Pennsylvania's Wharton School of Business. He is a CFA charterholder and a member of the CFA Society Boston.
Craig Anzlovar, CFA, is an institutional fixed income portfolio manager at MFS Investment Management® (MFS®). He is responsible for ensuring that the implementation of the investment process aligns with client expectations and for providing transparency on our fixed income investment philosophy, process, strategy and performance. He is a member of the portfolio management team of the strategies he supports and participates in portfolio strategy and positioning discussions. Craig joined MFS in 2015 as a managing director, investment product specialist and was named to his current role in 2021. Before joining MFS, he was a fixed income client portfolio manager at Pioneer Investments for one year. Prior to that, from 2001 to 2014, he worked at Fidelity Investments, where he held multiple fixed roles, including institutional portfolio manager for two years and investment director for seven years. He began his career in the financial services industry in 2001. Craig earned a bachelor's degree from Fairfield University and a Master of Business Administration degree from Babson College. He is a CFA charter holder and a member of CFA Society Boston.
12 month period ending: |
28-Feb-21
or Life
Life performance is only shown when 5 years of performance is not available. |
28-Feb-22 | 28-Feb-23 | 28-Feb-24 | 28-Feb-25 | YTD % * | Class Inception |
---|---|---|---|---|---|---|---|
Class I1 Shares, US Dollars at NAV | 6.30 | -0.88 | -4.22 | 11.67 | 10.03 | 1.16 | 26-Sep-2005 |
ICE BofA Global High Yield - Constrained Index (USD Hedged) | 8.26 | -2.20 | -4.78 | 11.05 | 10.52 | - | - |
12 month period ending: | Class I1 Shares, US Dollars at NAV | |
---|---|---|
28-Feb-21
or Life
Life performance is only shown when 5 years of performance is not available. |
6.30 | |
28-Feb-22 | -0.88 | |
28-Feb-23 | -4.22 | |
28-Feb-24 | 11.67 | |
28-Feb-25 | 10.03 | |
YTD % * | 1.16 | |
Class Inception | 26-Sep-2005 | 26-Sep-2005 |
Class I1 Roll-Up shares do not pay distributions to shareholders.
The Fund's investment strategy was changed on 22 August 2011; performance shown prior to this date reflects the Fund's prior investment strategy.
The Fund's benchmark is indicated for performance comparison only.
The source for all fund data is MFS. Source for benchmark performance: SPAR, FactSet Research Systems Inc.
Class I1 Roll-Up shares do not pay distributions to shareholders.
The Fund's investment strategy was changed on 22 August 2011; performance shown prior to this date reflects the Fund's prior investment strategy.
Life
Life performance as of 28-Feb-25 |
2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | |
---|---|---|---|---|---|---|---|---|---|---|---|
At NAV | 5.34 | -4.44 | 13.44 | 7.63 | -2.95 | 14.59 | 4.67 | 3.35 | -9.85 | 13.12 | 8.75 |
ICE BofA Global High Yield - Constrained Index (USD Hedged) | - | -2.03 | 16.21 | 7.99 | -1.90 | 14.54 | 6.48 | 3.04 | -11.38 | 12.97 | 9.24 |
At NAV | ICE BofA Global High Yield - Constrained Index (USD Hedged) | |
---|---|---|
2024 | 8.75 | 9.24 |
2023 | 13.12 | 12.97 |
2022 | -9.85 | -11.38 |
2021 | 3.35 | 3.04 |
2020 | 4.67 | 6.48 |
2019 | 14.59 | 14.54 |
2018 | -2.95 | -1.9 |
2017 | 7.63 | 7.99 |
2016 | 13.44 | 16.21 |
2015 | -4.44 | -2.03 |
Life
Life performance as of 28-Feb-25 |
5.34 | - |
Class I1 Roll-Up shares do not pay distributions to shareholders.
The Fund's investment strategy was changed on 22 August 2011; performance shown prior to this date reflects the Fund's prior investment strategy.
Historical NAV may not be available for all dates.
Historical MP may not be available for all dates.
NAV at Close of Trading on | Net Asset Value (NAV) |
---|
The Payable Date is the date on which the distribution is paid to shareholders.
Dividend Rate per Share is the amount of dividend that a shareholder will receive for each share held. It can be calculated by taking the total amount of dividends paid and dividing it by the total shares outstanding.
Dividend Reinvestment at NAV is the automatic reinvestment of shareholder dividends in more shares at net asset value.
Ex-Dividend Date is the date on which a fund goes ex-dividend. The interval between the announcement and the payment of the next dividend. An investor must own the fund before the ex-dividend date to be eligible for the dividend payout.
Average Effective Duration is a measure of how much a bond's price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value.
Average Effective Maturity is a weighted average of maturity of the bonds held in a portfolio, taking into account any prepayments, puts, and adjustable coupons which may shorten the maturity. Longer-maturity funds are generally considered more interest-rate sensitive than shorter maturity funds.
Yield to Worst: For fixed income securities, yield is the discount rate that equilibrates the net present value of all future cash flows to the current market value. Average Yield is the equivalent exposure weighted average yield to worst which is typically the lowest of the yields to each potential call or put or the yield to maturity, whichever is worst.
The Average Credit Quality (ACQR) is a market weighted average (using a linear scale) of securities included in the rating categories. For all securities other than those described below, ratings are assigned utilizing ratings from Moody’s, Fitch, and Standard & Poor’s and applying the following hierarchy: If all three agencies provide a rating, the consensus rating is assigned if applicable or the middle rating if not; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 Rating Agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Other Not Rated includes other fixed income securities not rated by any rating agency. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. The portfolio itself has not been rated by any rating agency. The credit quality of a particular security or group of securities does not ensure the stability or safety of an overall portfolio. The quality ratings of individual issues/issuers are provided to indicate the credit-worthiness of such issues/issuer and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch respectively.
characteristics | Fixed Earning |
---|---|
Number of Issues | 472 |
Number of Issuers | 320 |
Average Coupon | 6.24 |
Average Effective Duration | 2.89 yrs |
Average Effective Maturity | 4.03 yrs |
Average Credit Quality of Rated Securities | B+ |
Alpha is a measure of the portfolio's risk-adjusted performance. When compared to the portfolio's beta, a positive alpha indicates better-than-expected portfolio performance and a negative indicates alpha worse-than-expected portfolio performance.
Beta is a measure of the volatility of a portfolio relative to the overall market. A beta less than 1.0 indicates lower risk than the market; a beta greater than 1.0 indicates higher risk than the market. It is most reliable as a risk measure when the return fluctuations of the portfolio are highly correlated with the return fluctuations of the index chosen to represent the market.
Information ratio is a measure of consistency in excess return. It is calculated by taking the annualized excess return over a benchmark and dividing it by the annualized standard deviation of excess return.
R squared represents the percentage of the portfolio's movements that can be explained by the general movements of the market. Index portfolios will tend to have values very close to 100. R squared is not a measure of performance.
The Sharpe Ratio is a risk-adjusted measure calculated to determine reward per unit of risk. It uses a standard deviation and excess return. The higher the Sharpe Ratio, the better the portfolio's historical risk-adjusted performance.
Standard Deviation is an indicator of the portfolio's total return volatility, which is based on a minimum of 36 monthly returns. The larger the portfolio's standard deviation, the greater the portfolio's volatility.
Tracking error is the standard deviation of a portfolio's excess returns. Excess returns are a portfolio's return minus the benchmark's annualized return.
Treynor Ratio: Treynor Ratio is a risk adjusted measure of performance. It is the ratio of the annualized excess return of the portfolio over the risk free rate for a given period divided by the Beta of the portfolio versus its benchmark for the same period. It measures the amount of excess return over the risk free rate earned per unit of systematic risk (beta) assumed.
Upside and downside capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns. Upside capture ratio for a portfolio is calculated by taking the portfolio's return during periods when the benchmark had a positive return and dividing it by the benchmark return during that same period. Downside capture ratio is calculated by taking the portfolio's return during the periods of negative benchmark performance and dividing it by the benchmark return for that period.
10 Yr. | 5 Yr. | 3 Yr. | |
---|---|---|---|
Alpha | -0.40 | 0.22 | 0.13 |
Beta | 0.96 | 0.95 | 1.02 |
R-squared | 98.68 | 98.85 | 99.15 |
Standard Deviation % | 7.20 | 8.99 | 7.95 |
Sharpe Ratio | 0.37 | 0.20 | 0.17 |
Tracking Error | 0.88 | 1.05 | 0.75 |
Information Ratio | -0.71 | 0.05 | 0.33 |
Treynor Ratio | 2.79 | 1.92 | 1.33 |
Downside Capture % | 99.55 | 95.02 | 102.03 |
Upside Capture % | 94.44 | 96.96 | 103.11 |
The Average Credit Quality (ACQR) is a market weighted average (using a linear scale) of securities included in the rating categories. For all securities other than those described below, ratings are assigned utilizing ratings from Moody’s, Fitch, and Standard & Poor’s and applying the following hierarchy: If all three agencies provide a rating, the consensus rating is assigned if applicable or the middle rating if not; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 Rating Agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Other Not Rated includes other fixed income securities not rated by any rating agency. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. The portfolio itself has not been rated by any rating agency. The credit quality of a particular security or group of securities does not ensure the stability or safety of an overall portfolio. The quality ratings of individual issues/issuers are provided to indicate the credit-worthiness of such issues/issuer and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch respectively.
Portfolio characteristics are based on equivalent exposure, which measures how a portfolio's value would change due to price changes in an asset held either directly or, in the case of a derivative contract, indirectly. The market value of the holding may differ.
*Short positions, unlike long positions, lose value if the underlying asset gains value.
Fact Sheets are available approximately 15 days after month end.
Full Holdings available approximately 25 days after month end.
Quarterly Portfolio Review is available approximately 25 days after quarter end.
Monthly Portfolio Review available approximately 15 days after month end.
Product Presentation available approximately 25 days after quarter end.
Quarterly Investment Update available approximately 25 days after quarter end.
Monthly Investment Update available approximately 25 days after month end.
Fact Sheets are available approximately 15 days after month end.
Full Holdings available approximately 25 days after month end.
Quarterly Portfolio Review is available approximately 25 days after quarter end.
Monthly Portfolio Review available approximately 15 days after month end.
Product Presentation available approximately 25 days after quarter end.
Quarterly Investment Update available approximately 25 days after quarter end.
Monthly Investment Update available approximately 25 days after month end.
Seeks total return, with an emphasis on high current income but also considering capital appreciation, measured in U.S. dollars.
A global high yield portfolio managed to seek to enhance returns and manage risk over full market cycles
A top-down risk budgeting process that adjusts global risk exposures over the course of the credit cycle
Bottom-up fundamental research emphasizes selection of companies we believe are managed to withstand the credit cycle
The fund may not achieve its objective and/or you could lose money on your investment in the fund.
Bond: Investments in debt instruments may decline in value as the result of, or perception of, declines in the credit quality of the issuer, borrower, counterparty, or other entity responsible for payment, underlying collateral, or changes in economic, political, issuer-specific, or other conditions. Certain types of debt instruments can be more sensitive to these factors and therefore more volatile. In addition, debt instruments entail interest rate risk (as interest rates rise, prices usually fall). Therefore, the portfolio's value may decline during rising rates. Portfolios that consist of debt instruments with longer durations are generally more sensitive to a rise in interest rates than those with shorter durations. At times, and particularly during periods of market turmoil, all or a large portion of segments of the market may not have an active trading market. As a result, it may be difficult to value these investments and it may not be possible to sell a particular investment or type of investment at any particular time or at an acceptable price. The price of an instrument trading at a negative interest rate responds to interest rate changes like other debt instruments; however, an instrument purchased at a negative interest rate is expected to produce a negative return if held to maturity.
Emerging Markets: Emerging markets can have less market structure, depth, and regulatory, custodial or operational oversight and greater political, social, geopolitical and economic instability than developed markets.
Derivatives: Investments in derivatives can be used to take both long and short positions, be highly volatile, involve leverage (which can magnify losses), and involve risks in addition to the risks of the underlying indicator(s) on which the derivative is based, such as counterparty and liquidity risk.
High Yield: Investments in below investment grade quality debt instruments can be more volatile and have greater risk of default, or already be in default, than higher-quality debt instruments.
Please see the prospectus for further information on these and other risk considerations.
Article 6: Integrates sustainability risks into the investment process.
Article 8: Systematically promotes a stated environmental or social characteristic and provides enhanced disclosure accordingly.
Article 9: Typically for "impact" funds, which have a dual objective of financial return and specific environmental or social outcomes.
David P. Cole, CFA, is an investment officer of MFS Investment Management® (MFS®). He is also a co-portfolio manager of the firm's high-yield portfolios.
David joined MFS in 2004 after working for five years as a high-yield analyst for Franklin Templeton Investments. Before that, he served as a financial economist/Treasury market analyst for Thomson Financial Services and an economist for Standard and Poor's.
David has a bachelor's degree from Cornell University and an MBA from University of California, Berkeley. He holds the Chartered Financial Analyst (CFA) designation.
Our portfolio managers are supported by our entire team of investment professionals in nine worldwide offices. The team employs a proprietary investment process to build better insights for our clients. The core principles of our approach are integrated research, global collaboration, and active risk management.
Michael Skatrud, CFA, is an investment officer and fixed income portfolio manager at MFS Investment Management® (MFS®). In this role, he is responsible for final buy and sell decisions, portfolio construction, risk assessment and cash management. He also participates in the research process and strategy discussions. Michael joined MFS in 2013 as a fixed income analyst and was named a portfolio manager in 2018. He previously worked for Columbia Management, where he was as a high yield analyst for four years. Before that, he was a senior credit analyst at Oppenheimer Funds, Inc. for two years and spent seven years as a corporate bond analyst at Putnam Investments. He began his career in the financial services industry in 1996. Michael earned a Bachelor of Science degree in economics with distinction from the University of Wisconsin and a Master of Business Administration degree in finance from the University of Pennsylvania's Wharton School of Business. He is a CFA charterholder and a member of the CFA Society Boston.
Craig Anzlovar, CFA, is an institutional fixed income portfolio manager at MFS Investment Management® (MFS®). He is responsible for ensuring that the implementation of the investment process aligns with client expectations and for providing transparency on our fixed income investment philosophy, process, strategy and performance. He is a member of the portfolio management team of the strategies he supports and participates in portfolio strategy and positioning discussions. Craig joined MFS in 2015 as a managing director, investment product specialist and was named to his current role in 2021. Before joining MFS, he was a fixed income client portfolio manager at Pioneer Investments for one year. Prior to that, from 2001 to 2014, he worked at Fidelity Investments, where he held multiple fixed roles, including institutional portfolio manager for two years and investment director for seven years. He began his career in the financial services industry in 2001. Craig earned a bachelor's degree from Fairfield University and a Master of Business Administration degree from Babson College. He is a CFA charter holder and a member of CFA Society Boston.
12 month period ending: |
28-Feb-21
or Life
Life performance is only shown when 5 years of performance is not available. |
28-Feb-22 | 28-Feb-23 | 28-Feb-24 | 28-Feb-25 | YTD % * | Class Inception |
---|---|---|---|---|---|---|---|
Class I1 Shares, US Dollars at NAV | 6.30 | -0.88 | -4.22 | 11.67 | 10.03 | 1.16 | 26-Sep-2005 |
ICE BofA Global High Yield - Constrained Index (USD Hedged) | 8.26 | -2.20 | -4.78 | 11.05 | 10.52 | - | - |
12 month period ending: | Class I1 Shares, US Dollars at NAV | |
---|---|---|
28-Feb-21
or Life
Life performance is only shown when 5 years of performance is not available. |
6.30 | |
28-Feb-22 | -0.88 | |
28-Feb-23 | -4.22 | |
28-Feb-24 | 11.67 | |
28-Feb-25 | 10.03 | |
YTD % * | 1.16 | |
Class Inception | 26-Sep-2005 | 26-Sep-2005 |
Class I1 Roll-Up shares do not pay distributions to shareholders.
The Fund's investment strategy was changed on 22 August 2011; performance shown prior to this date reflects the Fund's prior investment strategy.
The Fund's benchmark is indicated for performance comparison only.
The source for all fund data is MFS. Source for benchmark performance: SPAR, FactSet Research Systems Inc.
Class I1 Roll-Up shares do not pay distributions to shareholders.
The Fund's investment strategy was changed on 22 August 2011; performance shown prior to this date reflects the Fund's prior investment strategy.
Life
Life performance as of 28-Feb-25 |
2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | |
---|---|---|---|---|---|---|---|---|---|---|---|
At NAV | 5.34 | -4.44 | 13.44 | 7.63 | -2.95 | 14.59 | 4.67 | 3.35 | -9.85 | 13.12 | 8.75 |
ICE BofA Global High Yield - Constrained Index (USD Hedged) | - | -2.03 | 16.21 | 7.99 | -1.90 | 14.54 | 6.48 | 3.04 | -11.38 | 12.97 | 9.24 |
At NAV | ICE BofA Global High Yield - Constrained Index (USD Hedged) | |
---|---|---|
2024 | 8.75 | 9.24 |
2023 | 13.12 | 12.97 |
2022 | -9.85 | -11.38 |
2021 | 3.35 | 3.04 |
2020 | 4.67 | 6.48 |
2019 | 14.59 | 14.54 |
2018 | -2.95 | -1.9 |
2017 | 7.63 | 7.99 |
2016 | 13.44 | 16.21 |
2015 | -4.44 | -2.03 |
Life
Life performance as of 28-Feb-25 |
5.34 | - |
Class I1 Roll-Up shares do not pay distributions to shareholders.
The Fund's investment strategy was changed on 22 August 2011; performance shown prior to this date reflects the Fund's prior investment strategy.
Historical NAV may not be available for all dates.
Historical MP may not be available for all dates.
NAV at Close of Trading on | Net Asset Value (NAV) |
---|
The Payable Date is the date on which the distribution is paid to shareholders.
Dividend Rate per Share is the amount of dividend that a shareholder will receive for each share held. It can be calculated by taking the total amount of dividends paid and dividing it by the total shares outstanding.
Dividend Reinvestment at NAV is the automatic reinvestment of shareholder dividends in more shares at net asset value.
Ex-Dividend Date is the date on which a fund goes ex-dividend. The interval between the announcement and the payment of the next dividend. An investor must own the fund before the ex-dividend date to be eligible for the dividend payout.
Average Effective Duration is a measure of how much a bond's price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value.
Average Effective Maturity is a weighted average of maturity of the bonds held in a portfolio, taking into account any prepayments, puts, and adjustable coupons which may shorten the maturity. Longer-maturity funds are generally considered more interest-rate sensitive than shorter maturity funds.
Yield to Worst: For fixed income securities, yield is the discount rate that equilibrates the net present value of all future cash flows to the current market value. Average Yield is the equivalent exposure weighted average yield to worst which is typically the lowest of the yields to each potential call or put or the yield to maturity, whichever is worst.
The Average Credit Quality (ACQR) is a market weighted average (using a linear scale) of securities included in the rating categories. For all securities other than those described below, ratings are assigned utilizing ratings from Moody’s, Fitch, and Standard & Poor’s and applying the following hierarchy: If all three agencies provide a rating, the consensus rating is assigned if applicable or the middle rating if not; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 Rating Agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Other Not Rated includes other fixed income securities not rated by any rating agency. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. The portfolio itself has not been rated by any rating agency. The credit quality of a particular security or group of securities does not ensure the stability or safety of an overall portfolio. The quality ratings of individual issues/issuers are provided to indicate the credit-worthiness of such issues/issuer and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch respectively.
characteristics | Fixed Earning |
---|---|
Number of Issues | 472 |
Number of Issuers | 320 |
Average Coupon | 6.24 |
Average Effective Duration | 2.89 yrs |
Average Effective Maturity | 4.03 yrs |
Average Credit Quality of Rated Securities | B+ |
Alpha is a measure of the portfolio's risk-adjusted performance. When compared to the portfolio's beta, a positive alpha indicates better-than-expected portfolio performance and a negative indicates alpha worse-than-expected portfolio performance.
Beta is a measure of the volatility of a portfolio relative to the overall market. A beta less than 1.0 indicates lower risk than the market; a beta greater than 1.0 indicates higher risk than the market. It is most reliable as a risk measure when the return fluctuations of the portfolio are highly correlated with the return fluctuations of the index chosen to represent the market.
Information ratio is a measure of consistency in excess return. It is calculated by taking the annualized excess return over a benchmark and dividing it by the annualized standard deviation of excess return.
R squared represents the percentage of the portfolio's movements that can be explained by the general movements of the market. Index portfolios will tend to have values very close to 100. R squared is not a measure of performance.
The Sharpe Ratio is a risk-adjusted measure calculated to determine reward per unit of risk. It uses a standard deviation and excess return. The higher the Sharpe Ratio, the better the portfolio's historical risk-adjusted performance.
Standard Deviation is an indicator of the portfolio's total return volatility, which is based on a minimum of 36 monthly returns. The larger the portfolio's standard deviation, the greater the portfolio's volatility.
Tracking error is the standard deviation of a portfolio's excess returns. Excess returns are a portfolio's return minus the benchmark's annualized return.
Treynor Ratio: Treynor Ratio is a risk adjusted measure of performance. It is the ratio of the annualized excess return of the portfolio over the risk free rate for a given period divided by the Beta of the portfolio versus its benchmark for the same period. It measures the amount of excess return over the risk free rate earned per unit of systematic risk (beta) assumed.
Upside and downside capture is a measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns. Upside capture ratio for a portfolio is calculated by taking the portfolio's return during periods when the benchmark had a positive return and dividing it by the benchmark return during that same period. Downside capture ratio is calculated by taking the portfolio's return during the periods of negative benchmark performance and dividing it by the benchmark return for that period.
10 Yr. | 5 Yr. | 3 Yr. | |
---|---|---|---|
Alpha | -0.40 | 0.22 | 0.13 |
Beta | 0.96 | 0.95 | 1.02 |
R-squared | 98.68 | 98.85 | 99.15 |
Standard Deviation % | 7.20 | 8.99 | 7.95 |
Sharpe Ratio | 0.37 | 0.20 | 0.17 |
Tracking Error | 0.88 | 1.05 | 0.75 |
Information Ratio | -0.71 | 0.05 | 0.33 |
Treynor Ratio | 2.79 | 1.92 | 1.33 |
Downside Capture % | 99.55 | 95.02 | 102.03 |
Upside Capture % | 94.44 | 96.96 | 103.11 |
The Average Credit Quality (ACQR) is a market weighted average (using a linear scale) of securities included in the rating categories. For all securities other than those described below, ratings are assigned utilizing ratings from Moody’s, Fitch, and Standard & Poor’s and applying the following hierarchy: If all three agencies provide a rating, the consensus rating is assigned if applicable or the middle rating if not; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 Rating Agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Other Not Rated includes other fixed income securities not rated by any rating agency. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. The portfolio itself has not been rated by any rating agency. The credit quality of a particular security or group of securities does not ensure the stability or safety of an overall portfolio. The quality ratings of individual issues/issuers are provided to indicate the credit-worthiness of such issues/issuer and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch respectively.
Portfolio characteristics are based on equivalent exposure, which measures how a portfolio's value would change due to price changes in an asset held either directly or, in the case of a derivative contract, indirectly. The market value of the holding may differ.
*Short positions, unlike long positions, lose value if the underlying asset gains value.
Fact Sheets are available approximately 15 days after month end.
Full Holdings available approximately 25 days after month end.
Quarterly Portfolio Review is available approximately 25 days after quarter end.
Monthly Portfolio Review available approximately 15 days after month end.
Product Presentation available approximately 25 days after quarter end.
Quarterly Investment Update available approximately 25 days after quarter end.
Monthly Investment Update available approximately 25 days after month end.
Fact Sheets are available approximately 15 days after month end.
Full Holdings available approximately 25 days after month end.
Quarterly Portfolio Review is available approximately 25 days after quarter end.
Monthly Portfolio Review available approximately 15 days after month end.
Product Presentation available approximately 25 days after quarter end.
Quarterly Investment Update available approximately 25 days after quarter end.
Monthly Investment Update available approximately 25 days after month end.