Bond Compass Q2 2021

Emerging Market Debt — Indexing on the Rise


Source: Barclays, JP Morgan, State Street Global Advisors, as of December 31, 2020. Values are expressed in billions of US dollars.

 

1 Year (%)

3 Years (%)

5 Years (%)

Local Currency Sovereign Universe

61

79

73

Hard Currency Sovereign Universe

48

81

48

March 31, 2013 – March 31, 2021, monthly

EMBI-G Div. High Yield Sub-Index

BB

B

C

Total Return (ann.)

4.51%

6.50%

4.01%

-2.08%

Volatility (ann.)

11.18%

8.27%

12.31%

25.95%

Sharpe Ratio

0.34

0.70

0.27

-0.11

Max Drawdown

-22.93%

-14.37%

-25.87%

-60.10%

March 31, 2013 – March 31, 2021, monthly

Bloomberg Barclays EM USD Core Index

JPM EMBI Global Diversified Index

Difference

Total Return (ann.)

4.54%

4.45%

0.09%

Volatility (ann.)

8.05%

8.27%

-0.22%

Sharpe Ratio

0.47

0.45

0.02

Max Drawdown

-14.20%

-14.68%

0.48%

Footnotes
Glossary
Disclosures