Western Asset Mortgage Defined Opp (DMO)

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21.84 -0.04  -0.17% NYSE Jun 18, 16:50 Delayed 2m USD
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Performance & Returns

  Total Return (Price) Total Return (NAV) Cat. Total Return (NAV) % Rank in Cat. (NAV)
1M 3.79% 1.57% 0.78% 10
3M 9.16% 4.49% 2.67% 3
6M 15.45% 6.40% 6.47% 57
YTD 11.92% 6.90% 9.06% 77
1Y 8.00% 10.39% 5.27% 1
3Y 12.58% 13.13% 8.48% 1
5Y 12.55% 10.17% 5.02% 1
10Y -- -- 10.44% --
15Y -- -- 8.05% --
20Y -- -- 7.37% --
As of June 17, 2019. Returns for periods of 1 year and above are annualized.

Asset Allocation

Type % Net % Long % Short
Cash 4.70% 4.73% 0.03%
Stock 0.00% 0.00% 0.00%
Bond 95.30% 143.5% 48.16%
Convertible 0.00% 0.00% 0.00%
Preferred 0.00% 0.00% 0.00%
Other 0.00% 0.00% 0.00%
As of April 30, 2019

Region Exposure

Americas 100.0%
North America 99.55%
Latin America 0.45%
Greater Europe 0.00%
United Kingdom 0.00%
Europe Developed 0.00%
Europe Emerging 0.00%
Africa/Middle East 0.00%
Greater Asia 0.00%
Japan 0.00%
Australasia 0.00%
Asia Developed 0.00%
Asia Emerging 0.00%
Market Classification
% Developed Markets 100.0%
% Emerging Markets --
As of April 30, 2019. Region breakdown data is calculated by using the long position holdings of the portfolio.

DMO Bond Exposure

Government 0.00%
Corporate 1.24%
Securitized 95.51%
Municipal 0.00%
Cash 3.22%
Derivative 0.02%
As of April 30, 2019

DMO Bond Credit Quality Exposure

AAA --
AA --
A --
BBB --
BB --
B --
Below B --
Date Unavailable

DMO Bond Maturity Exposure

1 to 7 Days 0.00%
8 to 30 Days 0.00%
31 to 90 Days 0.00%
91 to 182 Days 0.00%
183 to 364 Days 0.00%
1 to 3 Years 4.62%
3 to 5 Years 1.19%
5 to 7 Years 0.78%
7 to 10 Years 13.94%
10 to 15 Years 9.04%
15 to 20 Years 46.69%
20 to 30 Years 14.06%
Over 30 Years 9.68%
As of April 30, 2019
View More Holdings

Top 10 Holdings

Symbol Name % Weight Price % Chg
-- Societe Generale Repo Loan -48.16% -- --
-- Federal Home Loan Mortgage Corporation 14.23% 3.18% -- --
-- Federal National Mortgage Association 11.73% 2.64% -- --
-- Schron Healthcare Portfolio 2019 2019 2.50% -- --
-- Csmc Tr 2018-Plum 7.44% 2.47% -- --
-- BANC AMERICA FDG 2015-R4 10.59% 2.30% -- --
-- Banc America Fdg 2015-R2 3.12% 1.90% -- --
-- Federal Home Loan Mortgage Corporation 12.98% 1.89% -- --
-- Bellemeade Re Limited 5.38% 1.84% -- --
-- Legacy Mtg Asset Tr 2019-Gs2 4.25% 1.80% -- --
As of April 30, 2019
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One Page Reports

Basic Info

Style
Broad Asset Class Taxable Bond
Broad Category Fixed Income
Category Name High Yield Bond
Prospectus Objective Government Bond - Mortgage
Fund Owner Firm Name Legg Mason
Benchmark Index
ICE BofAML US MBS TR USD
100.0%

Manager Info

Name Tenure
Anup Agarwal 5.34 yrs
Greg Handler 5.62 yrs
S. Leech 4.84 yrs

Net Fund Flows

1M --
3M --
6M --
YTD --
1Y --
3Y --
5Y --
10Y --
Date Unavailable

Risk Info

Beta (5Y) 0.8025
Max Drawdown (All) 14.52%
Historical Sharpe Ratio (10Y) --
Historical Sortino (All) 1.767
30-Day Rolling Volatility 7.57%
Daily Value at Risk (VaR) 1% (All) 2.66%
Monthly Value at Risk (VaR) 1% (All) 7.03%

Fundamentals

Dividend Yield TTM (6-18-19) 9.77%
30-Day SEC Yield (9-30-10) 6.05%
7-Day SEC Yield (4-17-19) 0.00%
Current Yield 6.72%
Yield to Maturity --
Effective Duration --
Average Coupon 6.16%
Average Credit Score --
Average Price 90.24
Number of Holdings 286
As of April 30, 2019

Comparables

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Attributes

Key Dates
Inception Date 2/24/2010
Termination Date
Last Annual Report Date 12/31/2018
Last Prospectus Date 2/24/2010
Attributes
Exchange Traded Share No
Exchange Traded Note No
Enhanced Index Fund No
Fixed Distribution Fund No
High-Net Worth Individual Fund No
Index Fund No
Inverse Fund No
Leveraged Fund Yes
Fund of Funds No
Currency Hedged Fund No
Synthetic Replication Fund No
Has Dividend Investment Plan Yes
Socially Responsible Fund No
General Availability
Available for Insurance Product No
Available for Retirement Plan No
Available for RRSP No

Excel Add-In Codes

  • Name: =YCI("DMO","name")
  • Broad Asset Class: =YCI("DMO", "broad_asset_class")
  • Broad Category: =YCI("DMO", "broad_category_group")
  • Prospectus Objective: =YCI("DMO", "prospectus_objective")

To find the codes for any of our financial metrics, see our Complete Reference of Metric Codes.

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