SPDR® DoubleLine® Short Duration Total Return Tactical ETF (STOT) Q3 2022 Commentary

For the third quarter of 2022, the DoubleLine Short Duration Total Return Tactical ETF outperformed its benchmark index.


For the quarter ended September 30, 2022, STOT outperformed the Bloomberg U.S. Aggregate 1-3 Year Index’s return of -1.50%.1 This relative outperformance was driven by the fund’s shorter duration than the index as rates rose significantly during the quarter. Despite a July rally in the equity and bond markets, both sold off dramatically in August and September. Central banks reiterated their commitment to fight inflation, with cumulative policy rate hikes of 1% or more levied by the Federal Reserve (the Fed), the European Central Bank, and the Bank of England in this quarter alone. Yields rose across every tenor of the US Treasury yield curve, with the 2-year rising 132 basis points (bps) and the 10-year rising 82 bps.

The best performing sector within the fund was bank loans as the sector’s floating rate nature insulated it from price declines elsewhere due to rising rates. Structured credit sectors within the portfolio, such as non-agency residential mortgaged-backed security (RMBS), asset-backed securities (ABS), non-agency commercial mortgaged-backed security (MBS), and collateralized loan obligations (CLOs) also outperformed the benchmark driven in part by their shorter duration profiles. Safe-haven sectors, such as US Treasurys and agency MBS, detracted from relative performance due to their longer duration profiles.

Standard Performance

Standard Performance

Third Quarter Fund Positioning:

  • The duration of the fund was unchanged versus the prior quarter at 1.06 years.
  • Agency MBS allocation decreased by 2.5%
  • Non-agency MBS allocation decreased by 1.5%
  • CLO allocation increased by 0.5%
  • Emerging markets allocation decreased by 1.0%
  • US Treasurys allocation increased by 4.0%
  • Bank loans allocation increased by 0.5%

Asset Allocation:

Security Type




Non-Agency Mortgage-Backed Securities


Collateralized Loan Obligations


Investment Grade Corporates


Commercial Mortgage-Backed Securities


Bank Loans


Agency Mortgage-Backed Securities


Asset-Backed Securities


Emerging Markets


High Yield








Source: DoubleLine, State Street Global Advisors. Allocations are as of September 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:

Federal Reserve Chairman Jerome Powell’s speech in Jackson Hole sparked a sell-off in risk assets after he noted that reducing inflation will require “some pain” through a sustained period of slower economic growth and softer labor markets. In the current environment of robust US employment data and stubbornly high inflation, we expect interest rate volatility to remain high. Given a bias higher in shorter-term interest rate curves, we continue to position the fund with a shorter duration than the benchmark and remain relatively constructive on floating rate credit. This is balanced against the swift rise in US Treasury yields this year has created fixed income opportunities not seen in the past decade — even when weighed against a macroeconomic backdrop of slowing growth and restrictive policy from global central banks. We favor high quality assets in this environment and continue to utilize paydowns to systematically upgrade the quality of the portfolio’s credit holdings without sacrificing yield. We remain more constructive on structured credit compared to corporate credit as it offers better risk-adjusted returns with less interest rate risk while also benefitting from structural protections such as credit enhancement.

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