NET OF FEES
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.