SPDR® DoubleLine® Total Return Tactical ETF (TOTL) – Q2 2022 Commentary

For the second quarter of 2022, the DoubleLine Total Return Tactical ETF(TOTL) returned -4.69% on both a NAV and market price basis.1


During the second quarter, TOTL underperformed the Bloomberg US Aggregate Bond Index. The relative underperformance was driven by the fund’s larger credit allocation than the Index as credit spreads generally widened during the quarter. There was effectively nowhere to hide in financial markets during the second quarter of 2022 as inflation hit levels not seen in forty years and the Federal Reserve continued to press its hawkish agenda, raising its policy rate by 125 basis points (bps) over the period (50 bps in May and 75 bps in June) and commencing the official tapering of its asset purchasing program. Similar to the first quarter of 2022, yields increased across every tenor of the US Treasury curve during the period with 2-year yields rising by 62 bps and 10-year yields increasing by 68 bps.

Asset-backed securities (ABS) was the best performing sector in the portfolio as the sector’s short cash-flow profile and stronger spread performance helped keep losses to a minimum. Other shorter duration credit sectors, such as collateralized loan obligations, non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (MBS), also outperformed the benchmark, albeit to a lesser degree. High yield corporate credit and emerging market debt were the worst performing sectors as increased risk-off sentiment drove spread widening.

Standard Performance

Second Quarter Fund Positioning:

  • The duration of the fund increased by 0.18 years to finish the quarter at 5.09 years.
  • The US Treasuries allocation decreased by 2%
  • The agency mortgage-backed securities allocation increased by 2%

Asset Allocation:

Security Type TOTL
Agency Mortgage-Backed Securities 25.1%
23.5%Treasury 16.0%
Emerging Markets 2.7%
Commercial Mortgage Backed Securities 11.7%
Investment Grade Corporate 8.4%
Bank Loans 2.9%
High Yield Corporate 4.8%
Non-Agency MBS 17.7%
Cash 4.1%
Asset-Backed Securities 3.6%


CLO 2.9%


Source: DoubleLine, State Street Global Advisors. Allocations are as of June 30, 2022 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:

The Federal Reserve remained on its hawkish course during the second quarter, raising its policy rate aggressively and tapering its monthly asset purchases to combat rampant inflation. The unanimous unpopularity of inflation with American consumers, and therefore American politicians, has put tremendous pressure on the Federal Reserve to rectify the issue – regardless of financial market implications. As of quarter-end, headline CPI is showing an 8.6% year-over-year increase in May and core CPI results show only faint signs of declining.2 As a result, our expectations over the medium term are still for US interest rates to be biased upward. With the Federal Reserve taking strong measures to tighten financial conditions, we continue to favor carefully selected securitized credit over corporate credit as the securitized sectors tend to offer attractive yields at lower durations relative to corporate bonds. We continue to favor high quality assets and the improved opportunity set has allowed us to systematically upgrade the quality of the portfolio’s credit holdings without sacrificing yield.

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