Project Description

WORLD GOVERNMENT BOND

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International Government Bond Index Fund.
The Fund offers diversified exposure to international bond markets, represented by developed countries.

PRODUCT SHEET

Assogestioni category

World Government Bond Fund

Management style

Passive-enhanced

Currency of denomination

Euro

Bloomberg Code

FOWGBRA IM Equity

ISIN

IT0005254138 (Accumulazione)

Manager

Cristina Iemma

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)

CHART

The Fund in October has a negative performance in absolute terms (-0,45). The management model performance, year to date, was negative (-0,04%), due to the duration’s underweight on the long end of the US curve.
The main positive contributors, year to date, were overweight Greece and carry trades, while the main detractor was the placement of the duration curve of Italy.
On aggregate level, the overall duration of the portfolio (8,28) is three months below the benchmark.
The yield to maturity is equals to 0,77%; at geographical allocation, the main overweight is represented by the peripheral component of the Euro area while the core Euro Area component represents the largest underweight.
The currency exposure is limited, reduced during the month, bringing Singapore and Norway back in line with the benchmark.

Documentation

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