September, 2023
•The fund generated negative returns in September, driven by our exposure to investment grade corporate credit (primarily through high-quality industrial and financial names) as the sector followed the sell-off in longerdated US Treasuries. Securitised products also detracted, principally our agency mortgage-backed securities positions given their sensitivity to US Treasury market volatility.
•Emerging markets debt detracted from performance. Hard currency sovereigns and corporates suffered as US Treasury yields rose and spreads widened slightly over the month. Meanwhile, local currency bonds, where we are selectively positioned in high-conviction countries, suffered from foreign exchange depreciation and a stronger US dollar, and detracted from performance. As risk markets retreated, convertible bonds delivered modest negative returns, which were partially offset by a positive contribution from our US and European high yield positions.
•Some negative returns were offset by positive performance from our government rates positions, primarily our short US Treasury position as yields rose sharply on resurgent ‘higher for longer’ interest rate sentiment.
•Over the month, we increased headline duration from 3.5 to 3.7 years, increased our investment grade credit allocation, and maintained our exposure to high yield, securitised products, and emerging markets debt.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-1-2.pdfAugust, 2023
•The fund generated negative returns in August, driven by our exposure to emerging market debt. Hard currency sovereigns and corporates were the principal detractor, as the negative impact from the jump in US Treasury yields outweighed a positive spread-tightening contribution. Local currency bonds, where we are selectively positioned in highconviction countries, suffered from negative foreign exchange movements over the month and detracted from performance.
•Convertible bonds followed the retracement in equities and delivered negative returns, which were partially offset by the modest positive contribution from our US and European high yield positions. Our exposure to investment grade corporate credit also detracted, particularly highquality industrial names, as the sector priced in the upturn in interest-rate expectations.
•Some negative returns were offset by positive performance from our government rates positions, primarily our short US Treasury position as yields rose sharply on resilient economic data and higher-for-longer interest rate sentiment. Securitised products were also a marginal contributor.
•Over the month, we reduced headline duration from 3.6 to 3.5 years, maintained our exposure to developed market credit and securitised products and reduced our exposure to emerging market debt.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-19.pdfJuly, 2023
•The fund generated positive returns in July, driven by our exposure to investment grade corporate credit, where spreads tightened over the month. Cyclicals performed well, primarily in financial names, where we cautiously added back some risk on attractive valuations and to provide additional carry.
•We remain net short government bond duration, primarily through our short US Treasury position, which added to performance as yields rose on continued monetary policy tightening from the Federal Reserve. Emerging market debt contributed, with positive returns from hard currency sovereigns and corporates, particularly in the high yield part of the market given the broader risk-on sentiment. Local currency bonds also contributed.
•Convertible bonds followed the July rally in equities and showed positive returns. Securitised products were also a minor contributor. While risk sectors benefitted from resurgent optimism of a ‘soft landing’ for the economy, our defensive positioning in high yield was a marginal detractor overall, where our US and European cash bond positions are fully hedged with US CDX protection.
•Over the month, we increased headline duration from 3.0 to 3.6 years and maintained our exposure to securitised products, developed market corporate credit, and emerging market debt.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-18.pdfJune, 2023
Month in Review
•The fund generated positive returns in June, driven by our exposure to emerging market debt where both local currency bonds and hard currency sovereigns and corporates contributed positively.
•We remain net short government bond duration, where our short US Treasury and German Bund positions helped the fund’s performance in June as yields rose on hawkish rhetoric from the US Federal Reserve and the European Central Bank. Our exposure to investment grade corporate credit delivered modest positive returns, primarily in high-quality industrial names where spreads ground tighter over the month.
•Convertible bonds followed the rally in equities and contributed to performance, and European high yield was a modest contributor, although these positive returns were neutralised by negative returns from our US high yield exposure. Securitised products also detracted, given their sensitivity to rising core rates.
•Over the month, we increased headline duration from 2.8 to 3.0 years, increased our exposure to securitised products through agency mortgage-backed securities and maintained our overall emerging market
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-17.pdfApril, 2023
Month in Review
•The fund generated positive returns in April, led by our exposure to investment grade corporate credit across both financial and industrial names, as our up-in-quality bias benefitted from sustained end-of-cycle sentiment in the US. Securitised products contributed as our exposure to high-quality mortgages and asset-backed securities benefitted from a continued flight-to-quality move in the sector. Emerging market debt also contributed modestly through our selective exposure to local currency bonds, where imminent rate cuts are expected.
•High yield detracted over the month, with some underperformance from convertible bonds partially offset by marginally positive returns from our defensive positioning in US and European high yield cash bonds.
•We remain net short government bond duration. Our government rates positions also detracted marginally in April, primarily through our short US Treasury position, as investor optimism regarding a pause in interest-rate rises pushed yields lower.
•Over the month, we increased headline duration from 2.5 to 2.8 years, maintained our developed market credit allocation, maintained our exposure to securitised products and marginally increased our overall emerging market debt exposure.
February, 2023
Month in Review
•The fund saw negative returns in February, led by our exposure to investment-grade corporate credit – with typically longer-dated bonds which are more sensitive to interest rate increases – as investor optimism of a peak in central bank rates faded.
•Securitised products also detracted, although to a lesser extent as the fund holds mainly high-quality mortgages that tend to have shorter dates and lower rate sensitivity than similarly rated corporate bonds. Our allocation to emerging market debt detracted, primarily in hard currency sovereigns and corporates. High yield was flat for the month, where our defensive positioning limited the fund’s drawdown.
•Most of the negative returns were offset by our government rates positions (where we remain net short government bond duration), primarily though our short US Treasury positioning, as yields climbed with the prospect of further rate increases.
•Over the month, we increased headline duration from 1.4 to 2.0 years, maintained our developed market credit exposure, and marginally increased both our exposure to securitised products and our overall allocation to emerging market debt.
January, 2023
Month in Review
•The fund saw positive returns, led by our exposure to investment grade corporate credit, as investor confidence surged on the optimistic inflation and growth outlook.
•Securitised products were a significant contributor, mainly high-quality mortgages, as the prospect of a slowdown in core rate rises improved. Our emerging market debt exposure also contributed, particularly hard currency sovereigns and corporates. Though we remain defensive on high yield, our allocation to convertibles was a marginal contributor.
•Some positive returns were offset by underperformance from our government rates positions, where we remain net short government bond duration – primarily through US Treasuries – as yields fell on cooling inflation data.
•Over the month, we maintained headline duration at 1.4 years, reducing our short German Bund positioning and closing our short Italian government bond position, increased our investment grade credit allocation and maintained our exposure to securitised products, high yield and emerging market debt.
December, 2022
•The fund saw positive returns, led by our government rates positions – most notably in German Bunds and US Treasuries – where we remain net short government bond duration, as yields rose on combative central bank messaging.
•Our allocation to emerging-market debt was a contributor, with some positive returns from our hard-currency exposure and minor gains from our selective exposure to local-currency bonds. US high yield was also a minor contributor, while European high yield and securitised products remained flat.
•Some positive returns were offset by underperformance from our allocation to convertible bonds. Investment grade corporates were also a minor detractor, given their sensitivity to rising core rates.
•Over the month, we increased headline duration from 0.9 to 1.4 years and improved portfolio quality by adding investment grade credit exposure, selling some high yield positions and adding CDX protection. We also marginally reduced our emerging-market debt exposure.
November, 2022
•The fund saw positive returns, led by our allocation to investment grade corporate credit, as the sector rallied amid expectations of a downshift to more modest core rate increases.
•Our emerging-market debt exposure was a major contributor, led by hard currency sovereigns and corporates, with some additional returns from our selective positioning in local-currency bonds.
•Some positive returns were offset by underperformance from our government rates positions, where we remain net short government bond duration, as yields fell on a positive inflation outlook.
•Over the month, we increased headline duration from 0.3 years to 0.9 years, closed our Chinese local bond position and marginally increased our emerging-market currency exposure.
October, 2022
•The fund saw positive returns, led by our government rates positions. We remain net short government bond duration and saw strong performance as core rates rose.
•Although we have significantly reduced our high yield exposure, the sector nevertheless contributed to performance, driven by convertible bonds as risk assets rallied.
•Some of the fund’s positive returns were offset by our allocation to securitised products, given their sensitivity to core rates. Emerging markets also detracted overall.
•Over the month, we maintained very low government duration at 0.3 years, effectively neutralised our high yield exposure by adding credit default swap protection and marginally increased investment grade credit and emerging market debt exposure.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-14.pdfSeptember, 2022
The fund saw negative returns over September, led by our corporate investment grade credit exposure as core rates moved higher.
Securitised products underperformed due to their sensitivity to rising core rates, with mortgage-backed securities the principal detractor. European and US high yield also detracted.
Some negative returns were offset by our net short positions in government bond duration.
Over the month we reduced duration from 0.6 to 0.2 years, further reduced net high yield exposure, and marginally reduced our allocation to emerging market debt in hard currency sovereigns and corporates.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-13.pdfJuly, 2022
•For the first time in several months, the strategy benefited from its exposure to risk assets, as markets rebounded following a protracted period of underperformance.
•High yield and convertible bonds were the largest contributors to returns, as spreads in both the US and Europe tightened and risk sentiment was stronger throughout the month.
•Corporate investment grade credit was also a major contributor, with lower core rates helping.
•Securitised debt, led by our commercial mortgage-backed securities positions, also provided a positive position, as did our emerging market debt exposure, though we remain selective in this market.
•Detracting somewhat from returns was our government rates positioning, as core yields fell (we remain net short US Treasuries). Our long Australia rates position helped to partially offset this.
June, 2022
• Almost all sectors detracted from performance in June, with high yield the largest detractor, as we reduced our positioning. US high yield was the primary driver of underperformance, but our positions in European high yield and convertible bonds also detracted as risk sentiment in general suffered.
• Also detracting from returns were investment grade credit and emerging market debt (driven by hard currency sovereign exposure), as a combination of higher rates and poor risk sentiment meant a tough month for these markets. • Securitised products also dragged performance over the month. • Offsetting some of this negative performance was our short positioning in US rates as yields moved higher.
• Over the month, we reduced our developed market credit exposure from 52% to 46%, primarily via high yield, which we trimmed from 21% to 16%. The fund’s duration was reduced from 0.9 years to 0.5 years
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-1-1.pdfMay, 2022
• Performance was negative over the month, but to a lesser magnitude than experienced earlier this year.
• Government rates exposure was the key detractor since our short US Treasury position dragged due to the move lower in yields over the month. • This was offset by positive returns in investment grade credit and, to a lesser extent, emerging market debt, which have both been helped by the duration component.
• Our high yield positioning also added to performance over the month. While US high yield enjoyed a late-month risk rally, leading to a positive contribution, European high yield and convertible bonds underperformed
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-11.pdfApril, 2022
• The most significant detractor from returns was investment grade credit, which continued to be impacted by higher rates. Additionally, bank issuance levels were high, causing bank spreads to widen.
• High yield was a detractor, despite low issuance levels (which should have been a technical tailwind) as spreads widened given the context of tight valuations, softer growth data, high inflation and higher core rates.
• Emerging market debt was also a key detractor, particularly hard currency sovereigns, which were impacted by the higher core rates.
• Securitised products were the final detractor, driven by commercial mortgagebacked securities (CMBS). • Offsetting some of this, as in previous months, was our short exposure to government bonds, as core rates rose.
• Over the month, we increased duration from 0.3 to 0.7 years by adding Australia government bonds. We reduced emerging markets currency exposure from 2% to 0.3%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-10.pdfMarch, 2022
The fund’s return was positive in March despite most fixed income markets posting negative returns. The key contributor was our government rates position, which provided an effective hedge against higher rates, as we remained short US Treasuries.
• The fund also enjoyed a positive contribution from hard-currency emerging market debt, where spreads (excluding Russia) tightened. • Currencies – particularly the Mexican peso and South African rand – were also marginally additive.
• Detracting from returns were securitized products, which have been impacted by higher rates, as well as investment-grade credit, given its longer duration component. High yield also detracted.
• Over the month, we reduced the duration from 0.5 years to 0.3 years and removed our European investment-grade credit default swap protection, increasing investment-grade exposure from 20% to 26%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-9.pdfJanuary, 2022
• Investment grade credit was a key detractor, with longer duration impacting as core rates rose, and spreads also widening by 11 basis points (bps). Heavy supply in the market was another headwind from a technical perspective, despite evidence from earnings season that fundamentals remain robust.
• Corporate high yield was also a driver of negative performance as risk markets underperformed, with high yield spreads widening by 53 bps in the US and 36 bps in Europe, as well as core rates moving higher. Investor sentiment was softer than in recent months, as evidenced by outflows across the industry. Convertible bonds, typically highly correlated to equity markets, also sold off. • Securitised products also detracted, driven by agency MBS and CMBS, which are vulnerable to tightening from the Federal Reserve.
• Emerging market debt was the final detractor, driven by hard currency sovereigns, where spreads widened by 16 bps. Performance from our local currency bond positions was flat.
• On the positive side, government rates went a long way to offsetting the performance from spread sectors, given our short exposure across developed markets. A broad-based increase in yields therefore meant that this short positioning proved an effective hedge for the strategy.
• Over the month, we reduced duration from 1.2 to 0.9 years, via short UK and US rates exposure. Conscious of tight valuations, we are reducing overall high yield exposure from 30% to 27%. We selectively increased exposure (from 2% to 4%) to emerging market local currency bonds, and trimmed our exposure to agency MBS, bringing overall securitised exposure from 32% to 29%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-7.pdfOctober, 2021
• Securitised products, which still comprise around a third of the fund’s exposure, detracted from performance as the sector was impacted by rate moves. Our government rates exposure itself was another detractor as curves flattened, with our short positioning at the longer end of the US curve detracting as front-end yields backed up.
• Investment grade credit was impacted by marginally higher yields, detracting from the fund, although corporate fundamentals remained strong as Q3 earnings came in. High yield exposure also detracted, as markets experienced some faltering risk sentiment after a sustained rally in previous months.
• Emerging market debt offset some of the underperformance, driven by our positions in local currency government bonds: Indonesia outperformed, while our short positions in lower-yielding Poland, Thailand and Hungary also benefitted the fund. Hard currency sovereigns continued to struggle.
• Over the month, we reduced exposure to Italian and Australian government bonds, removed our short gilt exposure and increased short Treasury positioning. We rotated some of our emerging market bond exposure, and the fund's duration fell from 1.7 to 1.3 years. We marginally increased our developed market credit exposure.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-6.pdfAugust, 2021
• EM debt was the biggest contributor, with positive returns from both local and hard currency bonds. Among our local bond positions, Indonesia and South Africa were standout performers, with the latter rebounding somewhat from previous volatility earlier in the summer. EM currencies also added.
• Corporate high yield also added to performance, with spreads in the US and Europe tightening by 12 basis points (bps) and 10 bps, respectively. The shorter duration of the asset class helped to overcome the backup in rates and high yield has provided attractive carry over recent months. Convertible bonds also did well.
• Our government rates positioning, where we remain short US Treasuries, was also a contributor to performance in August. With yields backing up after several months of grinding lower, this helped the fund. UK gilt yields also rose, where we also held a short position.
• Investment grade credit was a marginal offset to the positive performance, given its longer duration and thus susceptibility to rising rates. Despite this, corporate fundamentals remain supportive.
• Over the month, we trimmed our Italian bond exposure, added a long Canada position and added short positions to Poland and Chile government bonds. We marginally reduced our EM FX exposure. Duration moved from 1.6 to 1.3 years.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-5.pdfJuly, 2021
• The best-performing sector for the fund was corporate investment grade, which benefitted primarily from the continued rally in rates as corporate fundamentals remained supportive. Another key contributor was securitised products, led by commercial mortgage-backed securities.
• Emerging market debt and corporate high yield also added marginally, as the sectors posted positive total returns despite spread widening, although convertible bonds offset some of the positive performance as the sector sold off in sympathy with equities.
• Government rates were a significant detractor from performance, primarily due to our short US rates positioning as yields fell further. Short positioning in Germany also dragged on returns. Long exposure to Italy slightly offset the negative overall rates contribution.
• Over the month, duration was flat at 1.6 years as we remained short US Treasuries.
• We continued to add to high yield and short duration securitised credit, having rotated out of agency mortgage-backed securities.
• We marginally reduced our emerging mar
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-4.pdfJune, 2021
• Corporate investment grade was the largest contributor, as the sector saw strong inflows in the US and spreads tightened by 3 basis points (bps) over the month. The duration component of investment grade credit also helped as rates fell. Fundamentals continue to look supportive amid a strong earnings season.
• Corporate high yield also added, across both the US and Europe, as spreads tightened by 29 bps and 7 bps, respectively. Similar to investment grade credit, corporate balance sheets look in good shape and earnings season indicated a strong recovery post-Covid-19.
• Emerging market debt, with an attractive carry profile and longer duration, also added as core rates fell. Hard currency led the contribution to returns despite spreads widening modestly.
• We continue to be short US government rates, which impacted the fund negatively given the fall in 10-year yields. This was slightly offset by positive performance from our long exposure to Italy, where yields also moved lower. • EM currencies also detracted, in particular our ZAR, CNY and IDR positions. Over the month, we moved net short Bunds and added Italy exposure; duration remained flat at 1.7 years.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-3.pdfMay, 2021
EM debt was the main contributor, with all sub-sectors adding to performance. After a challenging first quarter, volatility in EM has since been subdued, and the growth backdrop is broadly encouraging. Spreads continued to tighten across the sovereign space, and local currency bonds did well, particularly South Africa and Mexico. EM currencies provided an additional source of return over the month.
• Corporate investment grade credit spreads tightened at the margin, and the sector added to fund performance. Flows continued into the asset class, reflecting strong demand in the US. Supply has slowed down somewhat, and from a fundamental perspective, corporate earnings reports have been very strong.
• Securitised products also added to performance, and positive earnings have also helped corporate high yield, which posted positive returns over the month and contributed modestly to the fund despite a slight widening of spreads.
• Our short exposure to US government rates was the sole detractor from the fund, impacted by the slight move lower in Treasury yields.
• Over the month, we moved to a neutral German Bund position and further increased our short US Treasury. We reduced our agency mortgage-backed securities (MBS) exposure, rotating into short-dated securitised credit and commercial MBS. The fund’s duration fell from 2.5 years to 1.8 years. We also added marginally to high yield and emerging market debt and FX.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund-2.pdfApril, 2021
• Corporate investment grade was a key contributor, as the sector stabilised following a challenging first quarter. Earnings season has proven a positive tailwind, beating expectations as the re-opening gathers pace Fundamentals also look strong in high yield, which contributed to performance as spreads tightened by 7 basis points (bps) in the US and 10 bps in Europe.
•Emerging market debt also added, led by hard currency sovereigns as flows returned to the market and spreads compressed by 15 bps. Despite several idiosyncratic risks playing out across emerging markets, demand has remained healthy overall, with the China growth story underpinning the wider recovery. Finally, securitised products outperformed, led by agency mortgage-backed securities as rates rallied. The only detractor from performance was government rates, where our short positioning in US Treasuries impacted given the drop in yields over the month.
• Over the month, we reduced overall fund duration from 3.1 years to 2.5 years, and increased net exposure to European high yield from 3.9% to 4.7.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/monthly-commentary-jpmorgan-global-strategic-bond-fund.pdfDecember, 2020
• Emerging market debt was the top contributor, primarily driven by hardcurrency sovereigns (as in previous months). China’s recovery remained a tailwind for emerging markets, and the announcement of an effective AstraZeneca/Oxford vaccine boosted risk sentiment further.
• Local currency bonds also added to the fund, with positive contributions from China, Indonesia, Mexico and South Africa. EM currencies were an additional key contributor.
• Corporate high yield, to which we have recently increased exposure, and convertible bonds, benefitted from positive vaccine news, with US high yield spreads tightening by 47 bps.
• Continued strong technicals meant that investment grade credit finished 2020 strong, and we also saw a marginal contribution from our Italy (long) and US (short) government rates positions.
• We marginally increased our emerging market bond and currency exposure over the month. We also added some US high yield exposure and rotated out of some asset-backed securities positions into commercial mortgage-backed securities. We added a long Canada government bond position, while removing our exposure to New Zealand and EU bonds. The fund’s duration was flat at 2.1 years
asset_class: Fixed Income
asset_category: Multi-Strategy Income
peer_benchmark: Fixed Income - Multi-Strat Income Index
broad_market_index: Global Aggregate Hdg Index
manager_contact_details: Array
ticker: PER0727AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
Fund Commentary
fund_features:
JPMorgan Global Strategic Bond Fund’s investment objective is to achieve a return in excess of the Bloomberg AusBond Bank Bill Index (iBenchmarki) by exploiting investment opportunities in, amongst others, the debt and currency markets, and using financial derivatives instruments where appropriate. The Fund will invest pursuant to its Investment Objective the majority of its assets in debt securities issued in developed and emerging markets, including, but not limited to, debt securities of governments and their agencies, state and provincial governmental entities, supranational organizations, corporations, banks, asset-backed securities and mortgage-backed securities.
structure: Managed Fund