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SPDR® DoubleLine® Short Duration Total Return Tactical ETF (STOT) – Q4 2023 Commentary

For the quarter ended December 31, 2023, the DoubleLine Short Duration Total Return Tactical ETF (STOT) returned 2.28% at NAV.

Performance Commentary

Bonds continued to sell off in the fourth quarter before interest rates reached their peak in mid-October. This was followed by a major reversal as rates fell for the remainder of the period on the back of a more dovish tone from the Federal Reserve. The rally reverberated through credit markets and risk assets, sending credit spreads largely tighter. US Treasury yields fell, with the 2-year yield falling 79 basis points (bps) and the 10-year yield falling 69 bps.

Every sector in the portfolio generated a positive return, with two of the largest contributions coming from US Treasurys and investment-grade corporate bonds, as these longer-duration sectors benefitted most from the significant rate rally during the quarter. Non-agency residential mortgage-backed securities (MBS) were another top contributor to performance as the sector enjoyed high carry and spread tightening, while home prices remained resilient. Though still generating positive returns, the fund’s exposure to floating-rate and shorter-duration sectors contributed the least to performance. These sectors experienced less significant price gains than longer-duration, fixed-rate bonds.

Fund Performance

1 Year
3 Year
5 Year
10 Year Since Inception
Apr 13 2016
NAV 2.28% 6.33% 6.33% 0.73% 1.85% - 1.68%
Market Value 2.60% 6.38% 6.38% 0.84% 1.88% - 1.71%
Bloomberg U.S. Aggregate 1-3 Year Index 2.71% 4.65% 4.65% 0.08% 1.46% 1.26% 1.30%

Source: State Street Global Advisors, as of December 31, 2023. Past performance is not a reliable indicator of future performance. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quotes. All results are historical and assume the reinvestment of dividends and capital gains. Visit for most recent month-end performance. The gross expense ratio is the fund’s total annual operating expense ratio. It is gross of any fee waivers or expense reimbursements. Performance returns for periods of less than one year are not annualized. The market price used to calculate the Market Value return is the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the fund are listed for trading, as of the time that the fund’s NAV is calculates. If you trade your shares at another time, your returns may differ. It is not possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular fund.


Gross Expense Ratio: 0.45% Net Expense Ratio: 0.45%

Fourth Quarter Fund Positioning

  • The duration of the fund increased by 0.03 years, finishing the quarter at 1.22 years.
  • During the quarter, the team identified opportunities in the consumer sector of asset-backed securities and subsequently increased the fund’s allocation to asset-backed securities, while decreasing its allocation to bank loans, commercial MBS, and collateralized loan obligations.

Asset Allocation

Security Description  Weight (%)
Treasurys 31.50
Collateralized Loan Obligations 12.30
Non-Agency Mortgage-Backed Securities 11.70
Investment Grade Corporates 11.60
Commercial Mortgage-Backed Securities 10.20
Asset-Backed Securities 6.20
Bank Loans 4.90
Emerging Markets 4.40
Agency Mortgage-Backed Securities 3.80
Cash 3.40
Total 100

Source: DoubleLine, State Street Global Advisors. Allocations are as of December 31, 2023 and are subject to change without notice. Asset allocation is a method of diversification that positions assets among major investment categories. Asset allocation may be used in an effort to manage risk and enhance returns. It does not, however, guarantee a profit or protect against loss.

Fund Positioning and Outlook

Yields remain attractive across many fixed income sectors despite the recent momentum shift in the US Treasury market. The risk of a US recession remains elevated; however the timing of such an event remains unclear. Restrictive monetary policy is likely to persist until economic data deteriorates, although we believe the Fed is nearing the end of its hiking cycle. We favor structured credit over corporate credit as we believe it offers more attractive spread levels while benefitting from structural protections such as credit enhancement.

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