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Latest Performance

February 2017 Portfolio Review

The Portfolio performed in line with the benchmark** in the month. On a year-to-date basis, the Portfolio is performing in line with the benchmark, after last year’s strong relative performance.

The Portfolio continues to offer a shorter effective rate duration than the benchmark. At present, our interest rate duration is slightly shorter than our spread duration, mostly due to our treasury and derivatives exposure. 

 

*JPM EMBI Global Diversified 95%, JPM Cash 1 Month Euro 5%. For the remainder of this note, the term 'benchmark' will refer to the above definition.

 

**JPM EMBI Global Diversified 95%, JPM Cash 1 Month Euro 5%