Growth and Transition Strategy Update
Date
6/9/2023
5.24
Multiple tools are now available to provide return, diversification,
and stability to complement a broad investment portfolio...
Significance
Today
EUR HY
US 3m Yield US 10Y Yield US IG 3Y Yield
EUR IG
1-3Y Yield
(FX Hedged)
1
US HY BB
BB Yield
Yield
(FX Hedged)
Mexico 2Y
Yield
Brazil 2Y Yield
3.74
5.58
6.35
8.57
8.48
10.26
10.94
*1 year ago (Q1 22)
3/31/2022
0.48
2.34
3.19
2.33
6.01
5.81
8.31
12.16
*End of 2021
12/31/2021
0.03
1.51
1.45
0.76
4.21
3.63
7.21
11.10
*End of 2020
12/31/2020
0.06
0.91
0.73
0.76
4.18
3.73
4.37
4.34
*End of 2019
12/31/2019
1.54
1.92
2.20
2.31
5.19
4.72
6.74
4.92
*Peak 2018 stress
12/24/2018
2.37
2.74
3.62
3.62
8.07
7.93
8.59
7.80
*End of 2017
12/31/2017
1.38
2.41
2.51
2.29
5.72
4.76
7.59
7.78
*Feb 2016 peak stress
2/15/2016
0.28
1.75
2.32
1.78
9.98
6.92
3.90
15.16
*China de-val
8/24/2015
0.02
2.00
1.81
1.21
7.56
5.10
4.26
14.02
*End of 2014
12/31/2014
0.04
2.17
1.83
0.87
5.03
4.02
3.56
13.08
*End of 2013
12/31/2013
0.07
3.03
1.33
1.17
4.62
3.82
3.70
12.17
*End of 2012
12/31/2012
0.04
1.76
1.26
1.77
4.69
5.63
4.71
7.75
Average 2010-2022
0.62
2.25
2.06
2.21
5.98
5.80
5.65
9.94
As illustrated above, it has
been a pretty rare point in
time over the past 15 years
when 'small ball' or high
quality, large chunks of
short duration assets and
high levels of liquidity
threw off so much income...
1
2
Sample Portfolio as of 6/09/23
FX-Hedged
Yield
Carry on
% MV
A 2020 similar portfolio depicts the contrast...
Yield
US 6m
5.36%
5.36%
25%
CP 9-12m
MBS 30
US IG 3Y
5.75%
5.75%
15%
FX-
Hedged
Yield
Carry on
Yield
Portfolio
5.50%
5.50%
10%
C+E
%
5.58%
5.58%
15%
US Bills (Cash)
0.15%
0.15%
25%
Euro IG 3-5Y
6.28%
6.17%
15%
MBS 30
1.56%
1.56%
5%
US High Yield BB
7.06%
7.06%
5%
Euro High Yield BB
8.49%
8.49%
10%
Mexico 2Y Unhedged
10.25%
9.17%
3%
US IG 10Y
Euro IG 3-5Y
Euro IG 7-10Y
US High Yield BB
2.31%
3.18%
20%
2.94%
3.32%
10%
3.16%
3.34%
10%
5.09% 5.09%
5%
Brazil 2Y Unhedged
10.94%
9.58%
2%
Portfolio Carry
Portfolio Vol (Last 3m)
6.2%
Euro High Yield BB
Euro High Yield B
EMBI BB
Mexico 2Y Unhedged
5.46%
5.46%
10%
7.88%
7.88%
5%
5.86%
5.86%
5%
4.61%
4.61%
5%
Portfolio Vol (Long Term)
2.0%
1.7%
Note: For footnoted information, refer to slide 87. Index definitions are found on slide 88. * FX-Hedged Yield = Index Yield + 3M forward exchange rate (given the asset is non-USD denominated). ** Carry = FX Hedged Yield + Yield Roll + Spread.
Index returns are shown for illustrative purposes only. It is not possible to invest directly in an index. Past performance is not indicative of future results.
Portfolio Carry
Portfolio Vol
3.1%
3.3%
BlackRock
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