WORLD GOVERNMENT BOND
Assogestioni category
Management style
Currency of denomination
Bloomberg Code
ISIN
Manager
The Fund invests through a proprietary strategy which, starting with the composition of the standard market index, determines the geographical and currency allocation of the portfolio through a quantitative model that allows the efficient unification of the three determining factors of the bond dynamics: carry, duration and rating. The Fund is denominated in euros and does not hedge the exchange rate risk. The portfolio is managed using a quantitative model, in order to dynamically manage duration, yield to maturity, distribution by country and maturity through a reduced number of securities, and deviations from the benchmark in terms of weight, while keeping the number of transactions, transaction costs and the tracking error of the Fund under control. The model portfolio is obtained using the stratified sampling technique and by carrying out rebalancing transactions promptly and efficiently. The Fund invests mainly in international government bonds.
PERFORMANCE
NET OF FEES
(CLASSIC B)
In June, the Fund recorded a negative return of -1.59%, still penalised by currency movements (notably the sharp weakening of the US dollar and related currencies), while interest rate dynamics were more stable.
The model’s alpha was negative during the month, as its relative performance worsened due to the asynchronous movement of European rates (rising) and US rates (falling).
The portfolio duration stands at 6.72 years, which is below the market benchmark, with an overweight position in the Euro area and an underweight position in the United States. The yield to maturity is 3.27%.
In terms of geographical allocation, peripheral Euro area countries are overweighted, while Portugal and Finland are underweighted. Currency exposure is limited.
The fund was not rebalanced during the month.
Since the beginning of the year, the absolute performance is negative at -5.29% (slightly below the market benchmark).
OUR
FUNDS
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