Global Fixed Income Opportunities Fund

Share Class :
 
DINDX CUSIP: 616961405
 
 
Overall Morningstar Rating
Global Fixed Income Opportunities Fund
DINDX CUSIP: 616961405
Share Class :

Global Fixed Income Opportunities Fund

SHARE CLASS :
DINDX CUSIP: 616961405
 
Overall Morningstar Rating
Ratings are historical and do not guarantee future results. For standardized ratings information refer to the Pricing & Performance section. Please click here for additional disclosures.

 
 
Investment Objective

Primarily seeks a high level of current income, and secondarily seeks to maximize total return but only to the extent consistent with its primary objective.

Investment Approach

The Global Fixed Income Opportunities Fund combines a top-down macroeconomic assessment, to determine optimal beta positioning for the portfolio, with rigorous bottom-up fundamental and quantitative analysis to guide our active management decisions. Our approach to managing an opportunistic strategy is to generate attractive risk-adjusted returns by creating a highly diversified portfolio constructed from a broad set of fixed income assets, while paying close attention to the correlations between the asset classes in order to blend risks optimally.

 
 
 
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.  

Blended Index performance shown is calculated using the Bloomberg Global Aggregate Index from inception through 12/31/2016 and the Bloomberg Global Aggregate Hedged USD Index thereafter.

As of 10/31/2024

As of 11/08/2024

As of 10/31/2024

As of 11/08/2024


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

    
Past performance is not indicative of future results.
 
 
Average Annual Total Returns As of 10/31/2024 As of 09/30/2024
1 YR 3 YRS 5 YRS 10 YRS Since Inception
DINDX 11.63 2.17 2.41 3.28 4.07
Bloomberg Global Aggregate Hedged USD Index (%) 9.92 -0.59 0.33 2.12 4.28
Blended Index (%) 9.92 -0.59 0.33 1.25 3.74
Bloomberg Global Aggregate Index (%) 9.54 -4.08 -1.64 0.23 3.36
Lipper Category Average (%) 10.11 -2.07 -0.49 0.87 --
Morningstar Category Average (%) 12.90 1.08 2.33 2.94 --
1 YR 3 YRS 5 YRS 10 YRS Since Inception
DINDX 12.10 2.36 2.67 3.34 4.11
Bloomberg Global Aggregate Hedged USD Index (%) 10.63 -0.22 0.57 2.33 4.34
Blended Index (%) 10.63 -0.22 0.57 1.39 3.81
Bloomberg Global Aggregate Index (%) 11.99 -3.06 -0.83 0.57 3.50
Lipper Category Average (%) 11.74 -1.41 0.14 1.18 --
Morningstar Category Average (%) 12.86 1.41 2.66 3.13 --
2023 2022 2021 2020 2019 2018 2017
DINDX 8.48 -7.05 0.01 5.10 10.04 0.24 7.54
Bloomberg Global Aggregate Hedged USD Index (%) 7.15 -11.22 -1.39 5.58 8.22 1.76 3.04
Blended Index (%) 7.15 -11.22 -1.39 5.58 8.22 1.76 3.04
Bloomberg Global Aggregate Index (%) 5.72 -16.25 -4.71 9.20 6.84 -1.20 7.39
Lipper Category Average (%) 6.59 -13.50 -3.12 7.87 8.21 -1.67 6.68
Morningstar Category Average (%) 8.13 -9.85 2.49 4.84 9.80 -1.52 6.07
Average Annual Total Returns
As of 10/31/2024
TIMEFRAME DINDX Bloomberg Global Aggregate Hedged USD Index (%) Blended Index (%) Bloomberg Global Aggregate Index (%) Lipper Category Average (%) Morningstar Category Average (%)
1 Yr 11.63 9.92 9.92 9.54 10.11 12.90
3 Yrs 2.17 -0.59 -0.59 -4.08 -2.07 1.08
5 Yrs 2.41 0.33 0.33 -1.64 -0.49 2.33
10 Yrs 3.28 2.12 1.25 0.23 0.87 2.94
Since Inception 4.07 4.28 } 3.74 } 3.36 } -- --
As of 09/30/2024
TIMEFRAME DINDX Bloomberg Global Aggregate Hedged USD Index (%) Blended Index (%) Bloomberg Global Aggregate Index (%) Lipper Category Average (%) Morningstar Category Average (%)
1 Yr 12.10 10.63 10.63 11.99 11.74 12.86
3 Yrs 2.36 -0.22 -0.22 -3.06 -1.41 1.41
5 Yrs 2.67 0.57 0.57 -0.83 0.14 2.66
10 Yrs 3.34 2.33 1.39 0.57 1.18 3.13
Since Inception 4.11 4.34 } 3.81 } 3.50 } -- --
TIMEFRAME DINDX Bloomberg Global Aggregate Hedged USD Index (%) Blended Index (%) Bloomberg Global Aggregate Index (%) Lipper Category Average (%) Morningstar Category Average (%)
2023 8.48 7.15 7.15 5.72 6.59 8.13
2022 -7.05 -11.22 -11.22 -16.25 -13.50 -9.85
2021 0.01 -1.39 -1.39 -4.71 -3.12 2.49
2020 5.10 5.58 5.58 9.20 7.87 4.84
2019 10.04 8.22 8.22 6.84 8.21 9.80
2018 0.24 1.76 1.76 -1.20 -1.67 -1.52
2017 7.54 3.04 3.04 7.39 6.68 6.07
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 Statistics

TIMEFRAME:
    DINDX 2
Beta (vs. benchmark) 0.69
R squared 0.85
Sharpe ratio -0.36
Standard deviation (%) 4.45
    DINDX 2
Beta (vs. benchmark) 0.81
R squared 0.48
Sharpe ratio -0.01
Standard deviation (%) 5.80
Past performance is not indicative of future results.
2 Statistics shown are calculated versus the Blended Index when an Index is used in the calculation.
 
 
Distributions
 Tax Center   
 
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)
10/30/2024 10/31/2024 10/31/2024 0.025500 0.000000 0.000000 0.000000
09/27/2024 09/30/2024 09/30/2024 0.025500 0.000000 0.000000 0.000000
08/29/2024 08/30/2024 08/30/2024 0.025500 0.000000 0.000000 0.000000
07/30/2024 07/31/2024 07/31/2024 0.024000 0.000000 0.000000 0.000000
06/20/2024 06/21/2024 06/21/2024 0.022500 0.000000 0.000000 0.000000
05/30/2024 05/31/2024 05/31/2024 0.022500 0.000000 0.000000 0.000000
04/29/2024 04/30/2024 04/30/2024 0.022500 0.000000 0.000000 0.000000
03/27/2024 03/28/2024 03/28/2024 0.022500 0.000000 0.000000 0.000000
02/28/2024 02/29/2024 02/29/2024 0.022500 0.000000 0.000000 0.000000
01/30/2024 01/31/2024 01/31/2024 0.021500 0.000000 0.000000 0.000000
12/21/2023 12/22/2023 12/22/2023 0.020000 0.000000 0.000000 0.000000
11/29/2023 11/30/2023 11/30/2023 0.019500 0.000000 0.000000 0.000000
10/30/2023 10/31/2023 10/31/2023 0.019000 0.000000 0.000000 0.000000
09/28/2023 09/29/2023 09/29/2023 0.021250 0.000000 0.000000 0.000000
08/30/2023 08/31/2023 08/31/2023 0.020000 0.000000 0.000000 0.000000
07/28/2023 07/31/2023 07/31/2023 0.020000 0.000000 0.000000 0.000000
06/22/2023 06/23/2023 06/23/2023 0.020000 0.000000 0.000000 0.000000
05/30/2023 05/31/2023 05/31/2023 0.020000 0.000000 0.000000 0.000000
04/27/2023 04/28/2023 04/28/2023 0.020000 0.000000 0.000000 0.000000
03/30/2023 03/31/2023 03/31/2023 0.022500 0.000000 0.000000 0.000000
02/27/2023 02/28/2023 02/28/2023 0.019000 0.000000 0.000000 0.000000
01/30/2023 01/31/2023 01/31/2023 0.021250 0.000000 0.000000 0.000000
12/22/2022 12/23/2022 12/23/2022 0.108492 0.000000 0.000000 0.000000
11/29/2022 11/30/2022 11/30/2022 0.021250 0.000000 0.000000 0.000000
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)
10/30/2024 10/31/2024 10/31/2024 0.025500 0.000000 0.000000 0.000000
09/27/2024 09/30/2024 09/30/2024 0.025500 0.000000 0.000000 0.000000
08/29/2024 08/30/2024 08/30/2024 0.025500 0.000000 0.000000 0.000000
07/30/2024 07/31/2024 07/31/2024 0.024000 0.000000 0.000000 0.000000
06/20/2024 06/21/2024 06/21/2024 0.022500 0.000000 0.000000 0.000000
05/30/2024 05/31/2024 05/31/2024 0.022500 0.000000 0.000000 0.000000
04/29/2024 04/30/2024 04/30/2024 0.022500 0.000000 0.000000 0.000000
03/27/2024 03/28/2024 03/28/2024 0.022500 0.000000 0.000000 0.000000
02/28/2024 02/29/2024 02/29/2024 0.022500 0.000000 0.000000 0.000000
01/30/2024 01/31/2024 01/31/2024 0.021500 0.000000 0.000000 0.000000
12/21/2023 12/22/2023 12/22/2023 0.020000 0.000000 0.000000 0.000000
11/29/2023 11/30/2023 11/30/2023 0.019500 0.000000 0.000000 0.000000
10/30/2023 10/31/2023 10/31/2023 0.019000 0.000000 0.000000 0.000000
09/28/2023 09/29/2023 09/29/2023 0.021250 0.000000 0.000000 0.000000
08/30/2023 08/31/2023 08/31/2023 0.020000 0.000000 0.000000 0.000000
07/28/2023 07/31/2023 07/31/2023 0.020000 0.000000 0.000000 0.000000
06/22/2023 06/23/2023 06/23/2023 0.020000 0.000000 0.000000 0.000000
05/30/2023 05/31/2023 05/31/2023 0.020000 0.000000 0.000000 0.000000
04/27/2023 04/28/2023 04/28/2023 0.020000 0.000000 0.000000 0.000000
03/30/2023 03/31/2023 03/31/2023 0.022500 0.000000 0.000000 0.000000
02/27/2023 02/28/2023 02/28/2023 0.019000 0.000000 0.000000 0.000000
01/30/2023 01/31/2023 01/31/2023 0.021250 0.000000 0.000000 0.000000
12/22/2022 12/23/2022 12/23/2022 0.108492 0.000000 0.000000 0.000000
11/29/2022 11/30/2022 11/30/2022 0.021250 0.000000 0.000000 0.000000
Historical Yields (Subsidized)

As of 10/31/2024

 
Past performance is not indicative of future results.
 
 
 
Composition As of 09/30/2024
Portfolio
Credit 37.72
Investment Grade Corporates 25.98
High Yield Corporates 9.00
ETFs 2.25
Securitized 43.20
CLO 3.59
Agency RMBS 4.72
Non-Agency RMBS 22.39
ABS 6.25
CMBS 6.24
Government 11.03
Treasuries 7.53
Sovereign 1.17
Government Related 2.33
Interest Rate Swaps -0.11
Cash & equivalents 8.16
  Fund
AAA 16.53
AA 0.71
A 10.66
BBB 30.59
BB 10.29
B 4.43
CCC 2.46
CC 0.23
Not Rated 23.26
Cash 0.83
 
May not sum to 100% due to rounding.


Geography As of 09/30/2024
  Fund
United States 59.22
Europe 25.95
Latin America 5.05
Africa 1.29
Asia 0.71
Other 7.06
Cash 0.71
  Fund
US Dollar 99.35
Australian Dollar 2.03
Polish Zloty 1.01
Dominican Peso 0.46
Euro 0.08
Colombian Peso 0.07
Hungarian Forint 0.05
South Korean Won 0.03
Mexican Peso -0.01
Swedish Krona -0.01
Japanese Yen -0.02
New Zealand Dollar -0.03
British Pound -0.05
Czech Koruna -1.01
Canadian Dollar -1.96
 
May not sum to 100% due to rounding.
If you would like to request more recent information on the fund, including regional allocation, please contact 1-800-836-2414.


Holdings As of 09/30/2024
Fund
U.S. Treasury Bill 7.37
Cascade Funding Mortgage Trust 3.04
Federal National Mortgage Association 2.74
New Zealand Government Bond 2.36
Eaton Vance Floating-Rate Etf 2.26
RMF Buyout Issuance Trust 1.78
Seasoned Credit Risk Transfer Trust 1.54
Banco Santander S.A. 1.51
Federal Home Loan Mortgage Corporation 1.51
FMC Gmsr Issuer Trust 1.39
Total 25.50


Portfolio Characteristics
Fund
Number of holdings 423
Duration (years) 3.65
Turnover (%) 118
Portfolio turnover is sourced from the fund's current prospectus. View current prospectus for the as of date.
 
 
Portfolio Managers
Michael Kushma
CIO, Broad Markets Fixed Income
37 years industry experience
Leon Grenyer
Head of European Multi-Sector
28 years industry experience
Vishal Khanduja
Head of Broad Markets Fixed Income
19 years industry experience
Utkarsh Sharma
Executive Director
14 years industry experience

Team members may be subject to change at any time without notice. 

Effective December 1, 2023, Vishal Khanduja was added as Portfolio Manager on the Portfolio, and Chris Roth is no longer serving as Portfolio Manager.

Effective August 30, 2024, Richard Ford is no longer serving as Portfolio Manager on the Fund.

 
 
 

1Effective January 1, 2017, the benchmark index for the MS Global Fixed Income Opportunities Fund was changed from Bloomberg Global Aggregate Index to the Bloomberg Global Aggregate Hedged USD Index.

Blended Index performance is calculated using the Bloomberg Global Aggregate Index from inception through 12/31/2016 and the Bloomberg Global Aggregate Hedged USD Index thereafter.

Class C shares include deferred sales charge of 1.00% which declines to zero after first year. 

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 $1,000,000 for Class I shares.

Class R6 shares, are being offered only to eligible investors who must meet a minimum initial investment of $5,000,000 or be a defined contribution, defined benefit or other employer sponsored employee benefit plan, whether or not qualified under the Internal Revenue Code of 1986, as amended (the "Code"), in each case subject to the discretion of the Portfolio's investment advisor.

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

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.

Please keep in mind that double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions. 

This material is a general communication, which is not impartial and all information provided has been prepared solely for informational and educational purposes and does not constitute an offer or a recommendation to buy or sell any particular security or to adopt any specific investment strategy. The information herein has not been based on a consideration of any individual investor circumstances and is not investment advice, nor should it be construed in any way as tax, accounting, legal or regulatory advice. To that end, investors should seek independent legal and financial advice, including advice as to tax consequences, before making any investment decision. 

DEFINITIONS
SEC yield is 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.

PORTFOLIO CHARACTERISTICS DEFINITIONS
The Net Asset Value (NAV) per share is determined by dividing the value of the fund's portfolio securities, cash and other assets, less all liabilities, by the total number of common shares outstanding. The common share market price is the price the market is willing to pay for shares of the fund at a given time. Duration 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. Yield to Worst is the lowest potential yield that can be received on a bond without the issuer actually defaulting. The yield to worst is calculated by making worst-case scenario assumptions on the issue by calculating the returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer.

Turnover is sourced from the fund's current prospectus.

Quality distribution refers 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.

RISK/RETURN DEFINITIONS 
Beta is a measure of the relative volatility of a security or portfolio to the market's upward or downward movements. 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 deviation measures how widely individual performance returns, within a performance series, are dispersed from the average or mean value.

RISK CONSIDERATIONS 

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. Market values can change daily due to economic and other events (e.g. natural disasters, health crises, terrorism, conflicts and social unrest) that affect markets, countries, companies or governments. It is difficult to predict the timing, duration, and potential adverse effects (e.g. portfolio liquidity) of events. 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 a rising interest-rate environment, bond prices may fall and may result in periods of volatility and increased portfolio redemptions. In a declining interest-rate environment, the portfolio may generate less income. Longer-term securities may be more sensitive to interest rate changes. 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. Certain U.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. High yield securities (“junk bonds”) are lower rated securities that may have a higher degree of credit and liquidity risk. Public bank loans are subject to liquidity risk and the credit risks of lower rated securities. 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. Sovereign debt securities are subject to default risk. 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. Illiquid securities may be more difficult to sell and value than publicly traded securities (liquidity risk). Collateralized mortgage obligations (CMOs)can have unpredictable cash flows that can increase the risk of loss. Portfolio Turnover. Consistent with its investment policies, the Fund will purchase and sell securities without regard to the effect on portfolio turnover. Higher portfolio turnover will cause the Fund to incur additional transaction costs.

Morningstar
Rankings: 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.

© 2024 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.

OTHER CONSIDERATIONS: * Includes the following credit default swap exposure: High Yield -0.31%. ** Consists of government bonds from US, UK, Germany and Japan. May include TIPS.

See the Fund's prospectus for information related to a primary benchmark index selected (if applicable) to comply with a regulation that requires the Fund's primary benchmark to represent the overall applicable market.

The Bloomberg Global Aggregate Hedged Index provides a broad-based measure of the global investment grade fixed-rate debt markets. Total Returns shown is hedged USD. 

The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. Total Returns shown is unhedged USD.

“Bloomberg®” and the Bloomberg Index/Indices used are service marks of Bloomberg Finance L.P. and its affiliates, and have been licensed for use for certain purposes by Morgan Stanley Investment Management (MSIM). Bloomberg is not affiliated with MSIM, does not approve, endorse, review, or recommend any product, and. does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any product.

Indexes are unmanaged and do not include any expenses, fees or sales charges. It is not possible to invest directly in an index. Any index referred to herein is the intellectual property (including registered trademarks) of the applicable licensor.

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 morganstanley.com/im or call 1-800-548-7786. Please read the prospectus carefully before investing.

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.

 

This is a Marketing Communication.

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