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
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3.91%
|
7.79%
|
6.97%
|
7.39%
|
5.99%
|
||||
HIT Total Net Rate of Return
|
3.66%
|
7.34%
|
6.51%
|
6.94%
|
5.56%
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Barclays Capital Aggregate Bond Index
|
3.78%
|
7.25%
|
6.85%
|
6.91%
|
5.65%
|
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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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The HIT’s ongoing yield advantage over the Barclays Aggregate.
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Good performance of the agency multifamily mortgage-backed securities (MBS) in the HIT’s portfolio. Spreads to Treasuries for Ginnie Mae construction loan certificates tightened by 5 basis points (bps) and Ginnie Mae permanent loan certificate spreads contracted by 6 bps. Fannie Mae multifamily DUS securities had a mixed performance, depending on structure. Longer duration structures with more optionality underperformed while the “benchmark” 10/9.5 structure tightened by approximately 1 bp.
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Strong performance by corporate bonds, which were the best performing major sector in the index with excess returns of 162 bps. The HIT does not invest in corporate bonds, whereas the sector comprised approximately 21% of the index as of July 31, 2012.
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The HIT’s short relative duration compared to the Barclays Aggregate as interest rates declined across most maturities. Two-year Treasury rates fell 9 bps, 5-year rates declined 14 bps, 10-year rates slid 18 bps, and 30-year rates dropped 21 bps. Helping offset the impact of declining rates was the portfolio’s overweight to spread-based assets as swap spreads tightened across the curve. Two-year, 5-year, and 10-year spreads came in by 4.4, 4.6, and 0.6 bps, respectively.
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The portfolio’s overweight to the highest credit quality sector of the investment grade universe, whose excess returns were the lowest among the four credit ratings buckets (AAA, AA, A, and BBB) of the Barclays Aggregate. Those returns were 14, 78, 162, and 177 bps, respectively. The HIT has an overweight with respect to the index in high credit quality investments. Over 93% of the HIT portfolio is AAA-rated or carries a government or government-sponsored enterprise (GSE) guarantee compared to nearly 74% for the Barclays Aggregate.
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The portfolio’s underweight to single family agency MBS (RMBS) as this was the third best performing major sector in the index with excess returns of 28 bps. At the close of the month, the portfolio had an allocation of 24% compared to 30% for the index.
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Sector
|
Absolute
Return
|
Excess Return
(bps)
|
Modified Adjusted
Duration
|
U.S. Treasuries
|
+1.01%
|
0
|
5.72
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Agencies
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+0.83%
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24
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3.73
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Single family agency MBS (RMBS)
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+0.80%
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28
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2.64
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Corporates
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+2.88%
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162
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7.19
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Commercial MBS (CMBS)
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+1.66%
|
119
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3.11
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Asset-backed securities (ABS)
|
+0.76%
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26
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3.13
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Maturity
|
6/30/12
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7/31/12
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Change
|
1 Month
|
0.033%
|
0.048%
|
0.015%
|
3 Month
|
0.084%
|
0.099%
|
0.015%
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6 Month
|
0.155%
|
0.134%
|
-0.020%
|
1 Year
|
0.206%
|
0.160%
|
-0.046%
|
2 Year
|
0.303%
|
0.213%
|
-0.090%
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3 Year
|
0.395%
|
0.281%
|
-0.114%
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5 Year
|
0.719%
|
0.582%
|
-0.137%
|
7 Year
|
1.106%
|
0.969%
|
-0.137%
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10 Year
|
1.646%
|
1.469%
|
-0.177%
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30 Year
|
2.754%
|
2.547%
|
-0.207%
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