YTD
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1 Year
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3 Year
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5 Year
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10 Year
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HIT Total Gross Rate of Return
|
6.62%
|
5.23%
|
7.97%
|
6.85%
|
6.14%
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||||
HIT Total Net Rate of Return
|
6.26%
|
4.77%
|
7.50%
|
6.40%
|
5.71%
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Barclays Capital Aggregate Bond Index
|
6.65%
|
5.26%
|
7.97%
|
6.53%
|
5.66%
|
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The performance data quoted represents past performance and is no guarantee of future results. Investment results and principal value will fluctuate so that units in the HIT, when redeemed, may be worth more or less than their original cost. The HIT's current performance may be lower or higher than the performance quoted. Performance data current to the most recent month-end is available from the HIT's website at www.aflcio-hit.com. Gross performance figures do not reflect the deduction of HIT expenses. Net performance figures reflect the deduction of HIT
expenses and are the performance figures investors experience in the HIT. Information about HIT expenses can be found on page 1 of the HIT’s current prospectus.
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●
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The HIT’s ongoing yield advantage over the Barclays Aggregate.
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●
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Poor performance by corporate bonds, which lagged all major sectors in the index with “excess returns” to Treasuries of -192 basis points (bps). The HIT does not invest in corporate bonds, whereas the sector comprised 19.7% of the Barclays Aggregate as of September 30, 2011.
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The portfolio’s overweight to the highest credit quality sector of the investment grade universe, whose “excess returns” were the highest among the four credit ratings buckets (AAA, AA, A, and BBB) of the Barclays Aggregate. Those returns were -28, -85, -180, and -267 bps, respectively. The HIT has an overweight with respect to the index in high credit quality investments. Approximately 94% of the HIT portfolio is AAA-rated or carries a government or government-sponsored enterprise (GSE) guarantee, compared to 75% for the Barclays Aggregate.
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●
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The portfolio’s underweight to single family mortgage-backed securities (RMBS), as this was the second worst performing sector in the Barclays Aggregate. As of September 30, 2011, the portfolio had a 26.6% allocation to RMBS compared to the index’s 32.4% allocation.
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The portfolio’s underweight to Treasuries as this sector was the best performing major sector in the Barclays Aggregate, with absolute returns of 1.75%. At the end of month, 34.3% of the index was comprised of Treasuries, whereas the HIT had a sector allocation to Treasuries of 6.4%.
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Widening of spreads relative to Treasuries on Fannie Mae multifamily DUS securities in the HIT’s portfolio. For example, the “benchmark” 10/9.5 structure widened by 5 bps for the month. Ginnie Mae permanent loan certificate spreads, however, were essentially flat and construction/permanent certificates tightened by approximately 5 bps.
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Sector
|
Absolute
Return
|
Excess Return
(bps)
|
Modified Adjusted
Duration
|
U.S. Treasuries
|
+1.75%
|
+0
|
5.94
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Agencies
|
+0.17%
|
-32
|
3.49
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Single family agency MBS (RMBS)
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+0.17%
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-62
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3.01
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Corporates
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+0.26%
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-192
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6.79
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Commercial MBS (CMBS)
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+0.01%
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-3
|
3.38
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Asset-backed securities (ABS)
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+0.31%
|
+6
|
3.15
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Maturity
|
8/31/11
|
9/30/11
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Change
|
3 Month
|
0.010%
|
0.020%
|
0.0102%
|
6 Month
|
0.041%
|
0.051%
|
0.0102%
|
1 Year
|
0.097%
|
0.102%
|
0.0051%
|
2 Year
|
0.200%
|
0.243%
|
0.0435%
|
3 Year
|
0.319%
|
0.402%
|
0.0828%
|
5 Year
|
0.961%
|
0.952%
|
-0.0097%
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7 Year
|
1.564%
|
1.432%
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-0.1323%
|
10 Year
|
2.223%
|
1.915%
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-0.3080%
|
30 Year
|
3.601%
|
2.913%
|
-0.6875%
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