Quarter
|
1 Year
|
3 Year
|
5 Year
|
10 Year
|
|||||
HIT Total Gross Rate of Return
|
(0.02%)
|
4.35%
|
5.77%
|
6.02%
|
5.44%
|
||||
HIT Total Net Rate of Return
|
(0.13%)
|
3.92%
|
5.31%
|
5.56%
|
5.01%
|
||||
Barclays Capital Aggregate Bond Index
|
(0.12%)
|
3.77%
|
5.52%
|
5.47%
|
5.02%
|
||||
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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The portfolio’s short relative duration position as interest rates rose across most of the yield curve. Five-, 10-, and 30-year rates increased by 4, 9, and 15 basis points (bps), respectively, between December 31, 2012 and March 31, 2013. In addition, price compression on the portfolio’s high premium multifamily securities decreased as a result of higher discount rates.
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●
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The portfolio’s underweight to agency single family mortgage-backed securities (RMBS) as the sector was the worst performing major sector in the index. Excess returns for the quarter were -13 bps. At March 31, 2013, the HIT had a 24.8% allocation compared to 29.3% for the Barclays Aggregate.
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●
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Strong performance by corporate bonds, the best performing major sector in the Barclays Aggregate, with excess returns to Treasuries of 28 bps. The HIT does not invest in corporate bonds, whereas the sector comprised 21.7% of the index as of March 31, 2013.
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Weak performance from the HIT’s agency multifamily mortgage-backed securities (MBS) as spreads to Treasuries expanded. Spreads for Ginnie Mae multifamily MBS widened the most relative to other multifamily securities, with permanent loan certificate and construction/permanent loan certificate spreads widening by 31 and 56 bps, respectively. Spreads to Treasuries on Fannie Mae multifamily DUS securities increased less, with the widening due primarily to the increase in swap spreads. The 10/9.5 structure expanded by 9 bps and shorter duration 5/4.5s widened by 8 bps.
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●
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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 -5, 28, 13, and 24 bps, respectively. The HIT has an overweight with respect to the index in high credit quality investments. Approximately 91% of the HIT portfolio was AAA-rated or carried a government or government-sponsored enterprise (GSE) guarantee compared to 73% for the Barclays Aggregate at the end of March.
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●
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The portfolio’s overweight to spread-based assets as swap spreads widened across the maturity curve. Two-, 5-, and 10-year spreads widened by 4, 7, and 10 bps, respectively. Moreover, the HIT’s underweight to Treasuries hurt relative performance as Treasuries were the second best performing major sector in the Barclays Aggregate. As of the end of March, the portfolio held 8.4% Treasuries compared to 36.5% in the index.
|
Sector
|
Absolute
Return
|
Excess Return
(bps)
|
Modified Adjusted
Duration
|
U.S. Treasuries
|
-0.19%
|
0
|
5.32
|
Agencies
|
-0.03%
|
-4
|
3.91
|
Single family agency MBS (RMBS)
|
-0.05%
|
-13
|
4.04
|
Corporates
|
-0.11%
|
+28
|
7.10
|
Commercial MBS (CMBS)
|
+0.13%
|
-3
|
3.17
|
Asset-backed securities (ABS)
|
+0.05%
|
-5
|
2.96
|
Maturity
|
12/31/2012
|
3/28/13
|
Change
|
3 Month
|
0.043%
|
0.074%
|
0.030%
|
6 Month
|
0.114%
|
0.104%
|
-0.010%
|
1 Year
|
0.140%
|
0.124%
|
-0.015%
|
2 Year
|
0.249%
|
0.244%
|
-0.005%
|
3 Year
|
0.353%
|
0.350%
|
-0.003%
|
5 Year
|
0.724%
|
0.765%
|
0.041%
|
7 Year
|
1.180%
|
1.213%
|
0.033%
|
10 Year
|
1.758%
|
1.850%
|
0.091%
|
30 Year
|
2.950%
|
3.103%
|
0.153%
|
Net Assets
|
$4,637,648,598
|
Portfolio Effective Duration
|
4.497 years
|
Portfolio Average Coupon
|
3.88%
|
Portfolio Current Yield
|
3.72%
|
Portfolio Yield to Worst
|
2.37%
|
Convexity
|
-0.005
|
Maturity
|
9.403 years
|
Average Price
|
106.53
|
Number of Holdings
|
861
|
Multifamily MBS
|
63.88%
|
Agency Single-Family MBS
|
24.84%
|
U.S. Treasury
|
8.35%
|
AAA Private-Label CMBS
|
1.49%
|
Cash & Short-Term Securities
|
1.44%
|
Agency Single-Family MBS
|
24.84%
|
CMBS – Agency Multifamily*
|
54.94%
|
Federal Agency Notes
|
0.00%
|
U.S. Treasury Notes/Bonds
|
8.35%
|
State Housing Bonds
|
7.26%
|
Construction & Permanent Mortgages
|
3.17%
|
Cash & Short-Term Securities
|
1.44%
|
West
|
7.10%
|
Midwest
|
13.19%
|
South
|
2.33%
|
East
|
28.10%
|
National Mortgage Pools
|
49.28%
|
Cash
|
1.44%
|
5-5.99 years
|
7.44%
|
|
0-0.99 years
|
13.62%
|
6-6.99 years
|
1.42%
|
|
1-1.99 years
|
17.59%
|
7-7.99 years
|
7.87%
|
|
2-2.99 years
|
20.50%
|
8-8.99 years
|
4.17%
|
|
3-3.99 years
|
9.61%
|
9-9.99 years
|
1.94%
|
|
4-4.99 years
|
5.24%
|
Over 10 years
|
9.16%
|
0 – 1 year
|
8.17%
|
1 – 2.99 years
|
27.78%
|
3 – 4.99 years
|
28.72%
|
5 – 6.99 years
|
10.97%
|
7 – 9.99 years
|
12.77%
|
10 – 19.99 years
|
6.96%
|
Greater than 20 years
|
4.63%
|
U.S. Government or Agency
|
89.39%
|
AAA
|
1.51%
|
AA
|
3.49%
|
A
|
2.75%
|
Not Rated
|
2.86%
|
MBS
|
91.53%
|
Treasury
|
8.47%
|
Agency
|
0.00%
|