Mortgage Securities Trust
Share Class :
MTGDX CUSIP: 616962403
Overall Morningstar Rating
Mortgage Securities Trust
MTGDX CUSIP: 616962403
Share Class :

Mortgage Securities Trust

MTGDX CUSIP: 616962403
Overall Morningstar Rating
Investment Approach

Our investment approach is structured around five principal risk factors: prepayment, convexity, volatility, spread, and interest rate. The compensation for bearing these risks varies over time, reflecting the market’s expectation of the future.  As value investors, when the market’s expectation of the future is extreme, we structure portfolios to benefit should the future evolve closer to historical precedent than to these extreme forecasts. When using proprietary models, we endeavor to understand and adjust for their weaknesses. This process ensures that our final valuation of securities is forward looking and not limited to historical relationships.

Pricing & Performance

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please select the "month" timeframe or call 1-800-548-7786. Investment returns and principal value will fluctuate and fund shares, when redeemed, may be worth more or less than their original cost. For additional important information, please click here

As of 12/31/2017

As of 01/12/2018

Performance of $10,000 invested
Performance of $10,000 invested

Past performance is not indicative of future results.
Average Annual Total Returns As of 12/31/2017 As of 12/31/2017
1 YR 3 YRS 5 YRS 10 YRS Since Inception
MTGDX (%) 7.20 6.89 6.18 4.97 5.16
Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (%) 2.47 1.88 2.04 3.84 4.95
Lipper Category Average (%) 2.83 1.88 1.96 3.68 --
Morningstar Category Average (%) 3.71 2.22 2.05 4.06 --
1 YR 3 YRS 5 YRS 10 YRS Since Inception
MTGDX (%) 7.20 6.89 6.18 4.97 5.16
Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (%) 2.47 1.88 2.04 3.84 4.95
Lipper Category Average (%) 2.83 1.88 1.96 3.68 --
Morningstar Category Average (%) 3.71 2.22 2.05 4.06 --
2013 2014 2015 2016 2017
MTGDX (%) 3.19 7.08 1.91 5.89 7.20
Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (%) -1.41 6.08 1.51 1.67 2.47
Lipper Category Average (%) -1.47 5.50 1.12 2.00 2.83
Morningstar Category Average (%) -2.72 5.18 -0.26 3.23 3.71
Average Annual Total Returns
TIMEFRAME MTGDX USD (%) Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (%) Lipper Category Average (%) Morningstar Category Average (%)
1 Yr 7.20 2.47 2.83 3.71
3 Yrs 6.89 1.88 1.88 2.22
5 Yrs 6.18 2.04 1.96 2.05
10 Yrs 4.97 3.84 3.68 4.06
Since Inception 5.16 4.95 -- --
TIMEFRAME MTGDX USD (%) Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (%) Lipper Category Average (%) Morningstar Category Average (%)
1 Yr 7.20 2.47 2.83 3.71
3 Yrs 6.89 1.88 1.88 2.22
5 Yrs 6.18 2.04 1.96 2.05
10 Yrs 4.97 3.84 3.68 4.06
Since Inception 5.16 4.95 -- --
TIMEFRAME MTGDX USD (%) Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (%) Lipper Category Average (%) Morningstar Category Average (%)
2013 3.19 -1.41 -1.47 -2.72
2014 7.08 6.08 5.50 5.18
2015 1.91 1.51 1.12 -0.26
2016 5.89 1.67 2.00 3.23
2017 7.20 2.47 2.83 3.71
Past performance is not indicative of future results. The Portfolio's calendar year returns do not include the deduction of any applicable sales charges.
Risk/Return StatisticsAs of 12/31/2017

Alpha (%) 2.95
Beta (vs. benchmark) 0.81
Information ratio 1.87
R squared 0.47
Sharpe ratio 2.11
Standard deviation (%) 2.11
Alpha (%) 2.91
Beta (vs. benchmark) 0.74
Information ratio 1.59
R squared 0.46
Sharpe ratio 1.99
Standard deviation (%) 2.36
Past performance is not indicative of future results.
Record Date Ex-Date Payable Date Net Investment Income ($ per share) Long-Term Capital Gains ($ per share) Short-Term Capital Gains ($ per share) Total Capital Gains ($ per share)  
12/28/2017 12/29/2017 12/29/2017 0.002990 0.000000 0.000000 0.000000
11/29/2017 11/30/2017 12/29/2017 0.000772 0.000000 0.000000 0.000000
10/30/2017 10/31/2017 11/28/2017 0.000845 0.000000 0.000000 0.000000
09/28/2017 09/29/2017 10/27/2017 0.002284 0.000000 0.000000 0.000000
07/28/2017 07/31/2017 08/29/2017 0.000857 0.000000 0.000000 0.000000
06/29/2017 06/30/2017 07/27/2017 0.002606 0.000000 0.000000 0.000000
04/27/2017 04/28/2017 05/26/2017 0.002430 0.000000 0.000000 0.000000
03/30/2017 03/31/2017 04/26/2017 0.000795 0.000000 0.000000 0.000000
02/27/2017 02/28/2017 03/29/2017 0.000964 0.000000 0.000000 0.000000
01/30/2017 01/31/2017 02/24/2017 0.000950 0.000000 0.000000 0.000000
12/29/2016 12/30/2016 12/30/2016 0.001069 0.000000 0.000000 0.000000
11/29/2016 11/30/2016 12/30/2016 0.000854 0.000000 0.000000 0.000000
10/28/2016 10/31/2016 11/28/2016 0.003539 0.000000 0.000000 0.000000
09/29/2016 09/30/2016 10/27/2016 0.001174 0.000000 0.000000 0.000000
08/30/2016 08/31/2016 09/28/2016 0.001259 0.000000 0.000000 0.000000
07/28/2016 07/29/2016 08/29/2016 0.001180 0.000000 0.000000 0.000000
06/29/2016 06/30/2016 07/27/2016 0.001168 0.000000 0.000000 0.000000
05/27/2016 05/31/2016 06/28/2016 0.004548 0.000000 0.000000 0.000000
04/28/2016 04/29/2016 05/26/2016 0.001156 0.000000 0.000000 0.000000
03/30/2016 03/31/2016 04/27/2016 0.001099 0.000000 0.000000 0.000000
02/26/2016 02/29/2016 03/29/2016 0.003599 0.000000 0.000000 0.000000
01/28/2016 01/29/2016 02/25/2016 0.001076 0.000000 0.000000 0.000000
Ex-Date /<br />Payable Date Net Investment Income ($ per share) Total Capital Gains ($ per share)
12/29/2017 /
0.002990 0.000000
11/30/2017 /
0.000772 0.000000
10/31/2017 /
0.000845 0.000000
09/29/2017 /
0.002284 0.000000
07/31/2017 /
0.000857 0.000000
06/30/2017 /
0.002606 0.000000
04/28/2017 /
0.002430 0.000000
03/31/2017 /
0.000795 0.000000
02/28/2017 /
0.000964 0.000000
01/31/2017 /
0.000950 0.000000
12/30/2016 /
0.001069 0.000000
11/30/2016 /
0.000854 0.000000
10/31/2016 /
0.003539 0.000000
09/30/2016 /
0.001174 0.000000
08/31/2016 /
0.001259 0.000000
07/29/2016 /
0.001180 0.000000
06/30/2016 /
0.001168 0.000000
05/31/2016 /
0.004548 0.000000
04/29/2016 /
0.001156 0.000000
03/31/2016 /
0.001099 0.000000
02/29/2016 /
0.003599 0.000000
01/29/2016 /
0.001076 0.000000
Historical Yields (Subsidized)

As of 12/31/2017

Past performance is not indicative of future results.
Composition As of 09/30/2017
US Agency Passthroughs 29.69
US Agency CMOs 5.71
US Non-Agency RMBS 26.83
Non-US RMBS 10.73
US Agency CMBS 0.59
US Non-Agency CMBS 12.39
US ABS 10.73
Non-US ABS 2.31
Cash / FX 1.03

Holdings As of 12/31/2017
Fannie Mae 19.76
Freddie Mac Gold 5.30
Seasoned Credit Risk Transfer Scrt_17-4 1.43
Macquarie Bank Ltd 1.36
Finance of America Structured Fasst_17-H 1.33
Paragon Mortgages Plc Pargn_13x 1.26
Conn Funding Ii Lp Conn_17-A 1.06
Toronto-Dominion Bank/The 1.05
Skopos Auto Receivables Trust SK 1.00
Mizuho Corporate Bank Ltd (New Y 0.99
Total 34.54

Portfolio Characteristics As of 09/30/2017
Number of holdings 349
Effective Duration 3.93
Turnover (%) 253
Portfolio turnover is sourced from the fund's current prospectus. View current prospectus for the as of date.
Portfolio Managers
Managing Director
26 years industry experience
Managing Director
33 years industry experience
Insights by Global Fixed Income Team
Global Fixed Income Bulletin
What Can Derail the Carry Trade?
Dec 13, 2017
The Global Fixed Income team discusses how even though markets have run a long way, and future returns are likely to be more modest, the current environment is likely to continue in 2018.
Global Fixed Income Bulletin
2018 - A Focus on Alpha
Jan 09, 2018
The Global Fixed Income team provides their outlook for global fixed income in 2018 and how a focus on alpha is likely to be a large driving force of performance.
Product Literature
Prospectus & Reports

Lipper Fund Awards: The Thomson Reuters Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers. The Lipper Fund Awards are based on the Lipper Leader for Consistent Return rating, which is a risk-adjusted performance measure calculated over 36, 60 and 120 months. The fund with the highest Lipper Leader for Consistent Return (Effective Return) value in each eligible classification wins the Lipper Fund Award. For more information, see Although Lipper makes reasonable efforts to ensure the accuracy and reliability of the data contained herein, the accuracy is not guaranteed by Lipper. Source: Lipper Inc. Other share classes may have different performance and expense characteristics. Lipper awards are not intended to predict future results and the accuracy of their information is not guaranteed

During calendar year 2016, the MS Mortgage Securities Trust received monies related to certain nonrecurring litigation settlements. If these monies were not received, any period returns which include these settlement monies would have been lower. For example, the 2016 calendar year total returns for Class I Shares were positively impacted by approximately 1.25%. The returns on the other Share Classes would also have been similarly impacted. These were one-time settlements, and as a result, the impact on the net asset value and consequently the performance will not likely be repeated in the future. Rankings for the fund were more favorable due to these settlements and ratings may also have been positively impacted. Please call the toll free number for additional information.

Class A shares include maximum front-end sales charge of 5.50% (Alternatives), 5.25% (Equity) and 4.25% (Fixed Income).  Class B shares include deferred sales charge of 5.00% which declines to zero after sixth year.  Class C shares include deferred sales charge of 1.00% which declines to zero after first year. Class L shares, Class I, and Class IS shares are not subject to a sales charge. Returns are net of fees and assume the reinvestment of all dividends and income. Returns for less than one year are cumulative (not annualized). Performance of other share classes will vary.

Where the net expense ratio is lower than the gross expense ratio, certain fees have been waived and/ or expenses reimbursed. These waivers and/or reimbursements will continue for at least one year from the date of the applicable fund’s current prospectus (unless otherwise noted in the applicable prospectus) or until such time as the fund's Board of Trustees acts to discontinue all or a portion of such waivers and/or reimbursements. Absent such waivers and/or reimbursements, returns would have been lower. Expenses are based on the fund's current prospectus. The minimum initial investment is $5,000,000 for Class I shares.

Growth of Investment illustration is based on an initial investment of $10,000 made since fund inception, assumes reinvestment of dividends and capital gains, but does not include sales charges and fees. Performance would have been lower if sales charges and fees had been included. Results are hypothetical.

Subject to change daily. Fund information, Portfolio Composition and Characteristics are provided for informational purposes only, and should not be deemed as a recommendation to buy or sell any security or securities in the region presented. 

 is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices. SEC yieldis a measure of the income generated by the portfolio's underlying asset over the trailing 30 days, relative to the asset base of the portfolio itself. The SEC 30-Day yield - Subsidized (Sub.) reflects current fee waivers in effect. Absent such fee waivers, the yield would have been lower. The SEC 30-Day yield - Unsubsidized (Unsub.) does not reflect the fee waivers currently in effect. Quality distributionrefers to the rating given by a Nationally Recognized Statistical Rating Organization (“NRSRO”) and is the rating firms’ subjective opinion concerning the ability and willingness of an issuer to meet its financial obligations in full and on time. Ratings apply only to portfolio holdings and do not remove the Fund’s market risk. Quality distribution data for securities is sourced from Fitch, Moody’s and S&P. Where the credit ratings for individual securities differ between the three ratings agencies, the ‘highest’ rating is applied. The rating of credit default swaps is based on the ‘highest’ rating of the underlying reference bond. ‘Cash’ includes investments in short term instruments, including investments in Morgan Stanley liquidity funds.

Turnover is sourced from the fund's current prospectus.

 is the excess return or value added (positive or negative) of the portfolio’s return relative to the return of the benchmark. Beta is a measure of the relative volatility of a security or portfolio to the market's upward or downward movements. A beta greater than 1.0 identifies an issue or fund that will move more than the market, while a beta less than 1.0 identifies an issue or fund that will move less than the market. The Beta of the Market is always equal to 1.Information ratio is the portfolio’s alpha or excess return per unit of risk, as measured by tracking error, versus the portfolio’s benchmark.R squared measures how well an investment’s returns correlate to an index. An R squared of 100 means the portfolio performance is 100% correlated to the index’s, whereas a low r-squared means that the portfolio performance is less correlated to the index’s. Sharpe ratio is a risk-adjusted measure calculated as the ratio of excess return to standard deviation. The Sharpe ratio determines reward per unit of risk. The higher the Sharpe ratio, the better the historical risk-adjusted performance. Standard deviationmeasures how widely individual performance returns, within a performance series, are dispersed from the average or mean value.


There is no assurance that a mutual fund will achieve its investment objective. Funds are subject to market risk, which is the possibility that the market values of securities owned by the fund will decline and that the value of fund shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in this fund. Please be aware that this fund may be subject to certain additional risks. Fixed-income securities are subject to the ability of an issuer to make timely principal and interest payments (credit risk), changes in interest rates (interest-rate risk), the creditworthiness of the issuer and general market liquidity (market risk). In the current rising interest-rate environment, bond prices may fall and may result in periods of volatility and increased portfolio redemptions. Longer-term securities may be more sensitive to interest rate changes. In a declining interest-rate environment, the portfolio may generate less income. CertainU.S. government securities purchased by the Strategy, such as those issued by Fannie Mae and Freddie Mac, are not backed by the full faith and credit of the U.S. It is possible that these issuers will not have the funds to meet their payment obligations in the future. Mortgage and asset-backed securities are sensitive to early prepayment risk and a higher risk of default and may be hard to value and difficult to sell (liquidity risk). They are also subject to credit, market and interest rate risks. Derivative instruments may disproportionately increase losses and have a significant impact on performance. They also may be subject to counterparty, liquidity, valuation, correlation and market risks. Due to the possibility that prepayments will alter the cash flows onCollateralized mortgage obligations (CMOs),it is not possible to determine in advance their final maturity date or average life. In addition, if the collateral securing the CMOs or any third party guarantees are insufficient to make payments, the strategy could sustain a loss. High yield securities ("junk bonds") are lower rated securities that may have a higher degree of credit and liquidity risk. Foreign securities are subject to currency, political, economic and market risks. The risks of investing in emerging market countries are greater than risks associated with investments in foreign developed countries. Restricted and illiquid securitiesmay be more difficult to sell and value than publicly traded securities (liquidity risk).

 The percentile rankings are based on the average annual total returns for the periods stated and do not include any sales charges, but do include reinvestment of dividends and capital gains and Rule 12b-1 fees. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is 100. The top-performing fund in a category will always receive a rank of 1.

Ratings: The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Ratings do not take into account sales loads.

© 2017 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

The Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index (formerly listed as Barclays Mortgage Index) tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). This Index is the Mortgage Backed Securities Fixed Rate component of the Bloomberg Barclays U.S. Aggregate Index. The index is unmanaged and does not include any expenses, fees or sales charges. It is not possible to invest directly in an index.

Please consider the investment objective, risks, charges and expenses of the fund carefully before investing. The prospectus contains this and other information about the fund. To obtain a prospectus, download one at or call 1-800-548-7786. Please read the prospectus carefully before investing. 

As of January 1, 2011, the SEC requires fund companies to file a new exhibit with risk/return summary information in interactive data (XBRL) format. Click here for XBRL files.

Morgan Stanley Investment Management (MSIM) is the asset management division of Morgan Stanley.


WAM is the weighted average maturity of the portfolio. The WAM calculation utilizes the interest-rate reset date, rather than a security's stated final maturity, for variable- and floating- rate securities. By looking to a portfolio's interest rate reset schedule in lieu of final maturity dates, the WAM measure effectively captures a fund's exposure to interest rate movements and the potential price impact resulting from interest rate movements.


WAL is the weighted average life of the portfolio. The WAL calculation utilizes a security's stated final maturity date or, when relevant, the date of the next demand feature when the fund may receive payment of principal and interest (such as a put feature). Accordingly, WAL reflects how a portfolio would react to deteriorating credit (widening spreads) or tightening liquidity conditions.


Tracking error and information ratio are calculated using the Portfolio's Blended Index (added October 2, 2013), as this is a better representation of the Portfolio's global multi-asset strategy. The investment team manages the Portfolio relative to this Blended Index.


Excess return versus Custom Benchmark is calculated using the Portfolio's Blended Index based on the period since it was added as a benchmark on October 2, 2013.


NTM = Next Twelve Months


LTM = Last Twelve Months


Because the Portfolio had not commenced operations as of the most recent fiscal year end, no portfolio turnover rate is available for the Portfolio.


The Reorganization occurred on January 6, 2015. The inception date reflects the inception date of the Private Fund.


Global equities is represented by the MSCI All Country World Index.


Net exposure % calculated as [(MV of long cash security and derivative positions)-(absolute value of MV in short derivative positions)]/(portfolio MV)


Gross exposure % calculated as [(MV of long cash security and derivative positions)+(absolute value of MV in short derivative positions)]/(portfolio MV).


Fixed income net and gross exposure is duration adjusted (U.S. Treasury 10-Year equivalents)


Security ratings disclosed above have been obtained from Standard & Poor's Ratings Group ("S&P"). S&P's credit ratings express its opinion about the ability and willingness of an issuer to meet its financial obligations in full and on time.'AAA' is the highest rating. Any rating below 'BBB-' rating is considered non-investment grade. Ratings are relative and subjective and are not absolute standards of quality. Ratings apply only to the underlying holdings of the portfolio and does not remove market risk. "NR" or "Not Rated" indicates that no rating has been requested, that there is insufficient information on which to base a rating, or that S&P does not rate a particular obligation as a matter of policy. Futures are not rated.


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