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Monthly and quarterly details of your Brandywine Global investments, including performance, portfolio positioning and portfolio details.
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Investment Strategy Spotlight
Global Opportunistic Fixed Income
Global Sovereign Credit
Global Multi-Sector Income
Diversified Small Cap Value Equity
Dynamic Large Cap Value Equity
Global High Yield
Global Alternative Credit
At a Glance
  • Primary Benchmark: FTSE World Government Bond Index (unhedged) or other global bond benchmark, as specified by client direction
  • Universe: The sovereign debt and currencies of countries in the FTSE World Government Bond Index, as well as the investment-grade corporate bond and mortgage-backed securities markets in those countries. We may also invest, to limited degrees, in emerging market and high yield debt, as well as in non-index countries rated A- or better by a nationally recognized statistical rating organization
  • Real yield is our primary measure of value, followed closely by currency valuation. Inflation, monetary trends, political risks, the business cycle, and liquidity measures are also considered
  • We strive for efficient duration management and country rotation (driven primarily by currency considerations) to add incremental value
  • Investments typically are concentrated in 10-20 countries that we believe have the best total return potential
Annualized Composite Returns
Gross (%) Net (%) FWGBI (%) BGA (%)
QTD -6.61 -6.72 -3.35 -2.78
YTD -2.83 -3.05 -0.94 -1.46
1 Year 0.04 -0.41 1.90 1.36
3 Year 3.54 3.08 2.81 2.58
5 Year 2.72 2.26 1.10 1.49
7 Year 3.90 3.44 0.51 1.14
10 Year 5.42 4.95 2.07 2.58
Since Inception 7.55 7.02 4.31 4.39
Inception 1/1/1998
Strategy AUM ($M) 28,019
Characteristics*
Brandywine Global
Average Quality1 A
Average Effective Duration (Years) 3.48
Average Coupon (%) 4.27
Average Yield To Worst (%) 4.22
Average Yield To Maturity (%) 4.23
Number of Issues 62
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
FWGBI = FTSE WGBI (USD)  BGA = Bloomberg Barclays Global Aggregate 
Inception Date: 1/1/1998
Data and returns shown in $USD terms.
1.  The "Average Quality" is determined by using the middle rating from the three major NRSROs (S&P, Moody's, and Fitch) assigned to each security. In the event that ratings are provided by only two agencies, the lowest rating will be assigned. If only one agency assigns a rating, that rating will be applied. If the security is not rated by one of the three major agencies, U.S. treasuries and certain U.S. agencies are given the U.S. issuer rating. Sovereign treasuries are given the sovereign issuer rating. All other unrated securities are given a rating equivalent to a defaulted bond. The equivalent numerical rating is assigned to each security based on the Security Level scale. A Portfolio Level scale is applied on the weighted average calculation to round for fractional numerical ratings and then converted to an alpha weighted average rating. Cash is included and received the highest rating.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.
At a Glance
  • Primary Benchmark: Bloomberg Barclays Global Sovereign Credit Index (60% Emerging / 40% Developed)
  • Real yield is our primary measure of value, followed closely by currency valuation. Inflation, monetary trends, political risks, the business cycle, and liquidity measures are also considered
  • Efficient duration management and country rotation add incremental value
  • Investments are typically concentrated in 10-20 countries deemed to have the best total return potential
Annualized Composite Returns
Gross (%) Net (%) B6040 (%)
QTD -7.08 -7.25 -5.27
YTD -3.22 -3.56 -2.51
1 Year 0.34 -0.36 1.09
3 Year 2.62 1.91 1.86
5 Year 2.35 1.64 0.21
Since Inception 3.40 2.68 -0.13
Inception 5/1/2012
Strategy AUM ($M) 4,318
Characteristics*
Brandywine Global
Average Quality1 A+
Average Effective Duration (Years) 3.93
Average Coupon (%) 4.59
Average Yield To Worst (%) 4.38
Average Yield To Maturity (%) 4.38
Number of Issues 35
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
B6040 = Bloomberg Barclays 60/40 Sovereign Credit (USD) 
Inception Date: 5/1/2012
Data and returns shown in $USD terms.
1.  The "Average Quality" is determined by using the middle rating from the three major NRSROs (S&P, Moody's, and Fitch) assigned to each security. In the event that ratings are provided by only two agencies, the lowest rating will be assigned. If only one agency assigns a rating, that rating will be applied. If the security is not rated by one of the three major agencies, U.S. treasuries and certain U.S. agencies are given the U.S. issuer rating. Sovereign treasuries are given the sovereign issuer rating. All other unrated securities are given a rating equivalent to a defaulted bond. The equivalent numerical rating is assigned to each security based on the Security Level scale. A Portfolio Level scale is applied on the weighted average calculation to round for fractional numerical ratings and then converted to an alpha weighted average rating. Cash is included and received the highest rating.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.
At a Glance
  • The investment objective for the strategy is to generate a high and consistent level of income in all market conditions over a full market cycle with a secondary objective of capital preservation
  • Portfolio construction combines the Global Fixed Income team's macroeconomic, country, and currency themes with the quantitative and fundamental sector and security selection analysis of the Global Credit team
  • Derivatives may be used to enhance credit exposure in advantageous market conditions or, more commonly, as a hedging mechanism to protect principal during market drawdowns, manage portfolio volatility, and dampen idiosyncratic market risks
  • Investments typically are concentrated in sectors and individual issuers that we believe offer the best combination of yield and total return potential while minimizing potential loss
  • Portfolios normally consist of 75 to 125 corporate, sovereign, or securitized issues from domestic and foreign issuers
Annualized Composite Returns
Gross (%) Net (%) USL3M (%) BGHY (%)
QTD -0.89 -1.02 0.58 -2.17
YTD -0.83 -1.10 1.05 -2.53
1 Year 1.61 1.05 1.75 1.11
3 Year 4.58 3.91 1.08 5.49
5 Year 5.00 4.22 0.74 5.15
Since Inception 4.60 3.81 0.72 4.61
Inception 4/1/2013
Strategy AUM ($M) 2,063
Characteristics*
Brandywine Global
Average Quality1 A
Average Effective Duration (Years) 5.23
Average Coupon (%) 3.44
Average Yield To Worst (%) 3.75
Average Yield To Maturity (%) 3.77
Number of Issues 61
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
USL3M = US 3 month LIBOR  BGHY = Bloomberg Barclays Global High Yield 
Inception Date: 4/1/2013
Data and returns shown in $USD terms.
1.  The "Average Quality" is determined by using the middle rating from the three major NRSROs (S&P, Moody's, and Fitch) assigned to each security. In the event that ratings are provided by only two agencies, the lowest rating will be assigned. If only one agency assigns a rating, that rating will be applied. If the security is not rated by one of the three major agencies, U.S. treasuries and certain U.S. agencies are given the U.S. issuer rating. Sovereign treasuries are given the sovereign issuer rating. All other unrated securities are given a rating equivalent to a defaulted bond. The equivalent numerical rating is assigned to each security based on the Security Level scale. A Portfolio Level scale is applied on the weighted average calculation to round for fractional numerical ratings and then converted to an alpha weighted average rating. Cash is included and received the highest rating.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.
At a Glance
  • Primary Benchmark: Russell 2000® Value Index
  • Universe: Small-capitalization U.S. common stocks
  • We purchase stocks with a low valuation based on either P/E or P/B that pass through our quantitative and fundamental deselection processes
  • Our portfolios generally purchase all holdings on a capitalization-weighted basis
  • Cash is residual of the investment process, and we manage portfolios with the goal of remaining fully invested at all times
Annualized Composite Returns
Gross (%) Net (%) R2000V (%) R2000 (%)
QTD 4.79 4.59 8.30 7.75
YTD 3.39 2.98 5.44 7.66
1 Year 12.44 11.55 13.10 17.57
3 Year 12.07 11.18 11.21 10.95
5 Year 13.06 12.17 11.17 12.45
7 Year 13.04 12.15 11.09 11.82
10 Year 10.87 9.99 9.87 10.59
Since Inception 11.79 10.91 10.88 9.96
Inception 10/1/1988
Strategy AUM ($M) 1,584
Characteristics*
Brandywine Global
Price/Earnings 1 16.7
Price/Book 1.5
Price/Cash Flow 8.8
Dividend Yield (%) 1.4
Average Market Capitalization ($B) 2.0
Number of Securities 383
Turnover (% Last 12 Months) 60.2
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
R2000V = Russell 2000 Value  R2000 = Russell 2000 
Inception Date: 10/1/1988
Data and returns shown in $USD terms.
1.  Portfolio characteristics calculation uses weighted harmonic average methodology.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.
At a Glance
  • Primary Benchmark: Russell 1000® Value Index
  • Universe: Large-capitalization U.S. common stocks
  • We purchase stocks with attractive valuations as indicated by either a low P/E or P/B and with high rankings based on our quantitative multifactor score.
  • The factor weights in our multifactor score vary depending on market conditions as determined by our dynamic shifting tool.
  • Our portfolios generally purchase all stocks on a capitalization-weighted basis.
  • Cash is residual of the investment process. We manage portfolios with the goal of remaining fully invested at all times.
Annualized Composite Returns
Gross (%) Net (%) R1000V (%) SP500 (%)
QTD 0.52 0.36 1.18 3.43
YTD -2.17 -2.49 -1.69 2.65
1 Year 12.53 11.81 6.77 14.37
3 Year 7.88 7.15 8.25 11.92
5 Year 12.13 11.34 10.34 13.41
7 Year 13.84 13.03 11.26 13.22
10 Year 11.72 10.91 8.49 10.16
Since Inception 10.08 9.29 5.97 8.09
Inception 1/1/2007
Strategy AUM ($M) 859
Characteristics*
Brandywine Global
Price/Earnings 1 14.7
Price/Book 2.3
Price/Cash Flow 11.1
Dividend Yield (%) 2.2
Average Market Capitalization ($B) 140.4
Number of Securities 100
Turnover (% Last 12 Months) 85.3
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
R1000V = Russell 1000 Value  SP500 = S&P 500 
Inception Date: 1/1/2007
Data and returns shown in $USD terms.
1.  Portfolio characteristics calculation uses weighted harmonic average methodology.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.
At a Glance
  • Primary Benchmark: Bloomberg Barclays Global Unhedged High Yield Index or other high yield benchmark, as specified by client direction
  • Portfolio construction combines the Global Fixed Income team macroeconomic and currency strategy with the quantitative and fundamental sector and security selection analysis of the High Yield team
  • Yield, option-adjusted spread, and expected total return adjusted for default probability are our primary measures of value
  • Investments typically are concentrated in sectors and individual issuers that we believe offer the best total return potential
  • Portfolios normally consist of 50 to 100 corporate domestic and foreign issuers with position sizes limited to 5% at purchase
Annualized Composite Returns
Gross (%) Net (%) BGHY (%) BAGHY (%)
QTD -1.48 -1.64 -2.17 -1.31
YTD -2.37 -2.69 -2.53 -1.52
1 Year 1.81 1.15 1.11 2.08
3 Year 4.59 3.91 5.49 5.45
5 Year 5.06 4.39 5.15 5.06
7 Year 6.45 5.76 5.89 5.80
Since Inception 8.07 7.38 7.29 7.13
Inception 1/1/2010
Strategy AUM ($M) 777
Characteristics*
Brandywine Global
Average Quality1 BBB-
Average Effective Duration (Years) 2.66
Average Coupon (%) 4.95
Average Yield To Worst (%) 5.01
Average Yield To Maturity (%) 5.07
Number of Issues 69
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
BGHY = Bloomberg Barclays Global High Yield  BAGHY = ICE BofAML Global High Yield Index 
Inception Date: 1/1/2010
Data and returns shown in $USD terms.
1.  The "Average Quality" is determined by using the middle rating from the three major NRSROs (S&P, Moody's, and Fitch) assigned to each security. In the event that ratings are provided by only two agencies, the lowest rating will be assigned. If only one agency assigns a rating, that rating will be applied. If the security is not rated by one of the three major agencies, U.S. treasuries and certain U.S. agencies are given the U.S. issuer rating. Sovereign treasuries are given the sovereign issuer rating. All other unrated securities are given a rating equivalent to a defaulted bond. The equivalent numerical rating is assigned to each security based on the Security Level scale. A Portfolio Level scale is applied on the weighted average calculation to round for fractional numerical ratings and then converted to an alpha weighted average rating. Cash is included and received the highest rating.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.
At a Glance
  • Portfolio construction combines the Global Fixed Income team macroeconomic strategy with the quantitative and fundamental sector and security selection analysis of the High Yield Credit and Mortgage team
  • Yield, option-adjusted spread and expected total return adjusted for default probability are our primary measures of value
  • Portfolio normally consists of 40 to 70 positions
  • Investments typically are concentrated in sectors and individual issuers we believe offer the best total return potential
Annualized Composite Returns
Gross (%) Net (%) USL600 (%) BGHY (%)
QTD 0.25 -0.06 2.02 -2.17
YTD 1.34 0.71 3.97 -2.53
1 Year 4.56 3.27 7.75 1.11
3 Year 4.65 3.35 7.07 5.49
5 Year 6.25 4.83 6.74 5.15
7 Year 8.27 6.71 6.64 5.89
Since Inception 12.97 11.31 6.60 6.85
Inception 9/1/2010
Strategy AUM ($M) 746
Characteristics*
Brandywine Global
Average Quality1 A-
Average Effective Duration (Years) 0.76
Average Coupon (%) 3.17
Average Yield To Worst (%) 3.21
Average Yield To Maturity (%) 3.25
Number of Issues 72
Additional Information

Overview

GIPS Composite

Allocation

Team

Factsheet
Data as of 6/30/2018
USL600 = US 3 month LIBOR + 600bps  BGHY = Bloomberg Barclays Global High Yield 
Inception Date: 9/1/2010
Data and returns shown in $USD terms.
1.  The "Average Quality" is determined by using the middle rating from the three major NRSROs (S&P, Moody's, and Fitch) assigned to each security. In the event that ratings are provided by only two agencies, the lowest rating will be assigned. If only one agency assigns a rating, that rating will be applied. If the security is not rated by one of the three major agencies, U.S. treasuries and certain U.S. agencies are given the U.S. issuer rating. Sovereign treasuries are given the sovereign issuer rating. All other unrated securities are given a rating equivalent to a defaulted bond. The equivalent numerical rating is assigned to each security based on the Security Level scale. A Portfolio Level scale is applied on the weighted average calculation to round for fractional numerical ratings and then converted to an alpha weighted average rating. Cash is included and received the highest rating.
Brandywine Global Investment Management, LLC claims compliance with the Global Investment Performance Standards (GIPS®). Brandywine Global Investment Management, LLC, offers an array of equity, fixed income, and balanced portfolios that invest in U.S., international, and global markets.
*Supplemental Information. Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures. Past performance is no guarantee of future results.