Agency MBS Composite

August 31, 2021 to December 31, 2023

 

Year Ended

Composite Gross of Fee Returns (%)

Composite Net of Fee Returns (%)

Bloomberg US MBS Index Returns (%)

Composite Gross of Fee 3-Yr St Dev (%)

Bloomberg US MBS Index 3-Yr St Dev (%)

Composite Assets ($ in Millions)

# of Accounts

Internal Dispersion (Equal-Weighted)

Total Firm Assets ($ in Millions)

Inception – 12/31/21

-0.84

-0.91

-0.73

N/A

N/A

24.8

1

N/A

245,584.9

2022

-10.75

-10.92

-11.81

N/A

N/A

22.2

1

N/A

164,123.0

2023

5.53

5.32

5.05

N/A

N/A

23.4

1

N/A

194,154.9

  1. Jennison Associates LLC (Jennison or the Firm) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Jennison has been independently verified for the period from January 1, 1993 through December 31, 2023. A firm that claims compliance with the GIPS Standards must establish policies and procedures for complying with all applicable requirements of the GIPS Standards.  Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS Standards and have been implemented on a firm-wide basis.   The Agency MBS Composite (“Composite”) has had a performance examination for the period from September 1, 2021 through December 31, 2023. The verification and performance examination reports are available upon request.
  2. GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
  3. Jennison Associates LLC is an investment adviser registered under the Investment Advisers Act of 1940, as amended, and an indirect wholly owned subsidiary of Prudential Financial, Inc. (“Parent”). Registration does not imply a certain level of skill or training. Prudential Financial, Inc. of the United States is not affiliated in any manner with Prudential plc, a company incorporated in the United Kingdom, or with Prudential Assurance Company, a subsidiary of M&G plc, incorporated in the United Kingdom. On January 1, 2006, Jennison redefined the Firm to include JMA assets, for all periods after January 1, 2006.
  4. The net of fee 1 year and Inception to date returns for the composite as of 12/31/2023:  5.32%, -3.08%, respectively. The 1 year and Inception to date returns for the benchmark as of 12/31/2023:  5.05%, -3.53%, respectively.
  5. The Agency MBS Composite inception date was August 31, 2021 and the Composite creation date under the GIPS standards was August 2021. Accounts in the Agency MBS Strategy (“Strategy”) are managed versus the Bloomberg US Mortgage-Backed Securities Index or another similar index that is comprised entirely of agency mortgage-backed securities.  Accounts in this composite are actively managed using US agency-guaranteed and US government-guaranteed securities.  Where allowed by client guidelines, the Strategy includes the use of exchange-traded US Treasury futures. These derivative instruments are used to manage duration and implement moderate yield curve strategies.  The investment objective is to provide better performance than the benchmark over a market cycle through sector rotation, the careful selection of individual securities, and yield curve management. A list of Jennison’s composite and limited distribution pooled fund descriptions is available upon request. Policies for valuing investments, calculating performance, and preparing GIPS Reports are available upon request.
  6. Where allowed by client guidelines, the Strategy includes the regular use of Treasury futures for non-speculative, hedging purposes only. These derivative instruments are used to implement yield curve and duration management strategies. The risk characteristics of these instruments are similar to the underlying Treasury securities.
  7. Performance results are calculated in US dollars and reflect reinvestment of income and other earnings. Gross of fee performance is presented before custodial and Jennison’s actual advisory fees but after transaction costs. Net of fee performance is presented net of Jennison’s actual advisory fees and transaction costs. For an Agency MBS separate account, the fee schedule offered to institutional clients is as follows: 0.20% on all assets.  The minimum account size for a new separate account is generally $100 million. Actual advisory fees charged, and actual account minimum size may vary by account due to various conditions described in Jennison Associates LLC’s Form ADV.
  8. The data presented represents past performance and does not guarantee future results. Performance results fluctuate, and there can be no assurances that objectives will be achieved. Client’s principal may be at risk under certain market conditions.
  9. The Internal Dispersion (dispersion) is the standard deviation of individual gross account returns within a composite. It is a measure of how consistently a strategy has been applied across accounts within a composite. The dispersion is calculated when there are at least six accounts in the Composite for a full year and is based on the gross of fee annual returns of accounts in the Composite for the full year. For those periods where fewer than 6 accounts are in the Composite for a full year, or where the period is less than a full year, “N/A” is presented.
  10. The three-year annualized standard deviation measures the variability of the composite’s gross return the benchmark over the preceding 36-month period. This measure is not required to be presented for annual periods ended prior to 2011 or when 36 monthly composite returns are not yet available.  
  11. The benchmark for the strategy is the Bloomberg US Mortgage Backed Securities (MBS) Index. The Bloomberg US MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates. Index returns are not covered by the report of the independent verifier. The financial indices referenced herein are provided for informational purposes only. When comparing the performance of a manager to its benchmark(s), please note that the manager's holdings and portfolio characteristics may differ from those of the benchmark(s). Additional factors impacting the performance displayed herein may include portfolio-rebalancing, the timing of cash flows, and differences in volatility, none of which impact the performance of the financial indices. Financial indices are unmanaged and assume reinvestment of income and other earnings but do not reflect the impact of fees, applicable taxes or trading costs which may also reduce the returns shown. All indices referenced in this presentation are registered trade names or trademark/service marks of third parties. References to such trade names or trademark/service marks and data is proprietary and confidential and cannot be redistributed without Jennison's prior consent. Investors cannot directly invest in an index.