Stable Value 2021 06 30 DRAFT v2 - Fidelity Investments
Stable Value
FIXED INCOME
INVESTMENT OBJECTIVE
Fidelity Stable Value portfolios seek to achieve preservation of capital, while the secondary objective is
to provide a level of income over time that is consistent with the preservation of capital.
INVESTMENT PHILOSOPHY AND APPROACH
The investment team employs a dynamic multi-sector approach that leverages the entire opportunity set
of U.S. fixed income sectors, with the ability to invest in investment contracts issued by insurance
companies, banks, or other financial institutions. Our philosophy and approach:
? Sustains a portfolio structured with underlying quality assets, management of market-to-book
volatility, and maintenance of globally wrapped, totally synthetic structure
? Optimizes risk-adjusted returns by continuously evaluating risk based on historical and expected
assumptions across sectors and securities
? Maintains adequate liquidity to take advantage of investment opportunities and mitigate
downside risk
COMPETITIVE ADVANTAGES
FACT SHEET JUNE 30, 2024
KEY FACTS
Inception date:
Style focus:
Duration emphasis:
Expected tracking error (bps):
Total product assets
(USD):
1986
Stable Value
Neutral
60¨C80
$35.0 Billion
PORTFOLIO MANAGEMENT
David DeBiase
Robert Galusza
Julian Potenza
Industry
Experience
Since
Firm
Experience
Since
2000
1985
2003
2006
1987
2007
? A disciplined team-based investment approach that drives security selection and sector rotation
to help deliver performance within an acceptable level of volatility
? Size and scale to maintain wrap capacity and seek competitive contract terms
? Fidelity's proprietary quantitative risk measurement techniques and internally developed risk
technology platform, which may help to deliver competitive results in all markets
CONTACT INFORMATION
Sean Walker
Institutional Portfolio Manager
603-791-6289
sean.walker@
Chris Lewis
Institutional Portfolio Manager
603-791-1588
christopher.lewis@
Benchmark consists of 60% Bloomberg 1-5 Government/Credit A or Better Bond Index, 20% Bloomberg Intermediate Government/Credit A or Better Bond Index, and 20% Bloomberg U.S.
15 Year MBS Conventional Bond Index.
Not FDIC Insured - No Bank Guarantee - May Lose Value
For Institutional Use Only
Stable Value
FACT SHEET JUNE 30, 2024
FIXED INCOME
PHILOSOPHY
We focus our attention on areas of the
market where we believe our resources
have the greatest competitive advantage,
managing sustainable stable value
portfolios by adhering to the following
principles:
? Primary focus on capital preservation
and portfolio liquidity
? Emphasis on sector valuation and
security selection
? Independent, broad-based fundamental
research
? Proprietary quantitative research
REPRESENTATIVE ACCOUNT - WRAP ALLOCATION
Wrap
AGL
A+/A2
% of
Portfolio
9.68%
Pac Life
AA/Aa3
Prudential
AA-/Aa3
9.99%
7.46%
12.34%
8.26%
PORTFOLIO CHARACTERISTICS
? Disciplined risk management
HOW CAN FIDELITY¡¯S STABLE VALUE
STRATEGY BENEFIT YOUR PORTFOLIO?
14.93%
Nationwide
A+/A1
State Street
AA-/Aa2
Trans
America
A+/A1
Mass
Mutual
AA+/Aa3
10.70%
14.26%
11.44%
Source: FMR LLC., S&P, and Moody's, as of June 30, 2024.
? Team structure that facilitates
multidimensional investment
perspectives
JP Morgan Met Life
AA-/Aa3
A+/Aa1
SECTOR ALLOCATION (%)*
Stable Value
Benchmark
3.02
5.17
2.98
4.79
Duration (yrs)
Yield (%)
QUALITY ALLOCATION (%)*
? Be fully invested by our ability to secure
sufficient unbundled synthetic wrap
capacity with favorable terms and
pricing
U.S. Government
AAA
AA
? Retain ownership of portfolio assets with A
full fee transparency through the use of BBB
a globally wrapped, fully synthetic, book
Not Rated/Not Available
value structure
Cash & Net Other Assets
Total
Stable Value
Benchmark
50.86
14.84
5.96
20.94
5.30
82.14
3.59
4.83
9.41
0.00
0.99
0.03
1.11
100.00
0.00
U.S. Treasury
U.S. Agency
Other Government Related
Corporate
MBS Passthrough
ABS
CMBS
CMO
Cash & Net Other Assets**
Total
Stable Value
Benchmark
29.44
0.00
0.40
31.97
15.88
12.51
2.63
5.06
2.11
100.00
60.68
1.69
4.54
13.30
19.79
0.00
0.00
0.00
0.00
100.00
? Align portfolio liabilities with the
100.00
appropriate investment and maintain an
acceptable range for the portfolio¡¯s
market-to-book ratio through
Ratings are derived using highest of Moody¡¯s, S&P & Fitch.
comprehensive liability analysis
? Emphasis on diversification, credit
quality, and duration management via
conservative asset management
? Maintain a competitive fee structure
Benchmark consists of 60% Bloomberg 1-5 Government/Credit A or Better Bond Index, 20% Bloomberg Intermediate Government/Credit A or Better Bond Index, and 20% Bloomberg U.S.
15 Year MBS Conventional Bond Index.
* Due to rounding, the total may not add up to 100%.
** May include Derivatives, Futures, Swaps, Credit Default Swaps, Total Return Swaps, or Currency Contracts. Cash/Other Assets include cash, repurchase agreements, receivables and
payables, and may include notional assets/liabilities of certain derivative instruments if held by the portfolio.
Representative account information is shown and is based on an account in this strategy¡¯s composite that generally reflects the strategy¡¯s management and is not based on performance. An
individual account¡¯s performance will vary due to many factors, including inception dates, portfolio size, account guidelines, and type of investment vehicle.
Indices may not be representative of the types of investments made by the strategy and there can be no assurance any such historical trends will continue in the future.
2
For Institutional Use Only
Stable Value
FIXED INCOME
FACT SHEET JUNE 30, 2024
Information provided in, and presentation of, this document are for informational and educational purposes only and are not a recommendation to take any particular action, or any
action at all, nor an offer or solicitation to buy or sell any securities or services presented. It is not investment advice. Fidelity does not provide legal or tax advice.
Before making any investment decisions, you should consult with your own professional advisers and take into account all of the particular facts and circumstances of your individual
situation. Fidelity and its representatives may have a conflict of interest in the products or services mentioned in these materials because they have a financial interest in them, and
receive compensation, directly or indirectly, in connection with the management, distribution, and/or servicing of these products or services, including Fidelity funds, certain thirdparty funds and products, and certain investment services.
Fidelity has prepared this material for, and only intends to provide it to, institutional, sophisticated, and/or qualified investors. Do not distribute or reproduce this material.
This information is current as of the date indicated and may change based on market and other conditions.
The value of a strategy's investments will vary in response to many factors, including adverse issuer, political, regulatory, market or economic developments. The value of an individual
security or a particular type of security can be more volatile than and perform differently from the market as a whole. Nearly all accounts are subject to volatility in non-U.S. markets,
either through direct exposure or indirect effects on U.S. markets from events abroad, including fluctuations in foreign currency exchanges rates and, in the case of less developed
markets, currency illiquidity. Developments that disrupt global economies and financial markets, such as war, acts of terrorism, the spread of infectious illness or other public health
issues, recessions or other events may magnify factors that affect performance. In addition, some countries experience low or negative interest rates, from time to time, which may
magnify interest rate risk for the markets as a whole and for the funds or accounts. The discontinuation and replacement of LIBOR (an indicative measure of the average interest rate
at which major global banks could borrow from one another) and other benchmark rates may have a significant impact on the financial markets and may adversely impact fund or
account performance. Additionally, funds or accounts that pursue debt investments are subject to risks of prepayment or default, as well as changes to bankruptcy or debtor relief
laws, which may impede collection efforts or alter timing and amount of collections.
Current performance may substantially differ from, and could be significantly lower than, performance shown due to recent significant market volatility. Please contact FIAM for
updated performance numbers after the tenth business day following quarter end.
This strategy¡¯s performance will change daily based on changes in interest rates and market conditions and in response to other economic, political or financial developments. Debt
securities are sensitive to changes in interest rates depending on their maturity, and may involve the risk that their prices may decline if interest rates rise or, conversely, if interest
rates decline, their prices may increase. Debt securities carry the risk of default, prepayment risk, and inflation risk. Changes specific to an issuer, such as its financial condition or
its economic environment, can affect the credit quality or value of an issuer's securities. Lower-quality debt securities (those of less than investment-grade quality, also referred to as
high-yield debt securities) and certain types of other securities are more volatile, speculative and involve greater risk due to increased sensitivity to adverse issuer, political, regulatory
and market developments, especially in periods of general economic difficulty. The value of mortgage securities may change due to shifts in the market's perception of issuers and
changes in interest rates, regulatory, or tax changes.
Tracking Error and Information Ratio are provided for illustrative purposes and are not intended to represent performance of the strategy. They are presented gross of any fees and
expenses that would apply to an investment in the strategy. Historical risk metrics do not necessarily guarantee future risk profile of the strategy.
Derivatives may be volatile and involve significant risk, including but not limited to credit risk, currency risk, leverage risk, counterparty risk, leverage risk, valuation risk, and liquidity
risk. Using derivatives can disproportionately increase losses and reduce opportunities for gains in certain circumstances. Derivatives involve leverage because they can provide
investment exposure in an amount exceeding the initial investment. Leverage can magnify investment risks and cause losses to be realized more quickly. A small change in the
underlying asset, instrument, or index can lead to a significant loss. Assets segregated to cover these transactions may decline in value and are not available to meet redemptions.
Government legislation or regulation could affect the use of these transactions and could limit the ability to pursue such investment strategies.
Stable Value is not a mutual fund. It is a commingled pool of the Fidelity Group Trust for Employee Benefit Plans and managed by Fidelity Management Trust Company, a
Massachusetts trust company.
Certain data and other information in this presentation have been supplied by outside sources and are believed to be reliable and current. Data and information from third-party
databases, such as eVestment Alliance, Callan, and Morningstar are self-reported by firms that generally pay a subscription fee to use such databases, and the database sponsors do
not guarantee or audit the accuracy, timeliness, or completeness of the data and information provided, including any rankings. Rankings or similar data reflect information at the time
rankings were retrieved from a third-party database, and such rankings may vary significantly as additional data from managers is reported. Rankings may include a variety of product
structures, including some in which certain clients may not be eligible to invest. FIAM and its affiliated advisory entities cannot verify the accuracy of information from outside
sources, and potential investors should be aware that such information is subject to change without notice.
Third-party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or its affiliated companies.
Index comparisons are presented for illustrative purposes only. Indices are not investments, are not professionally managed and do not reflect deductions for fees or expenses.
Assets and securities contained within this these indices are different than the assets and securities contained in the strategy and will therefore have different risk and reward
profiles. There can be no assurance any such correlations or trends would persist in the future.
Fidelity Brokerage Services LLC, Member NYSE, SIPC, 900 Salem Street, Smithfield, RI 02917
Fidelity Distributors Company LLC, 500 Salem Street, Smithfield, RI 02917
3
For Institutional Use Only
691178.22.6 FIAM-BD
1.9885420.127
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