Lord Abbett Core Plus Total Return Strategy Second Quarter 2021 Performance Commentary

Lord Abbett Core Plus Total Return Strategy
Second Quarter 2021 Performance Commentary
Performance Review
The Lord Abbett Core Plus Total Return Institutional Composite (2.39% gross of fees, 2.30% net of fees) outperformed its
benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (1.83%) over the second quarter of 2021.

Market Review
The U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 1.83% over the
second quarter.1 The U.S. Treasury component of the Aggregate Index returned 1.75%. Investment grade corporate bonds 2
returned approximately 3.55% and experienced modest spread tightening throughout the quarter.
High yield bonds3 posted positive performance in the second quarter. High yield spreads tightened 31 basis points from
March month-end levels to 306 basis points at the end of June. Within the asset class, the lowest quality segments of the
high yield market outperformed higher quality tiers. Leveraged loans underperformed their fixed rate peers over the second
quarter amid receding inflation concerns in May and June and heavy capital market activity. Demand is still strong for the
asset class, with loan funds tracking 25 consecutive weeks of inflows with $25.6bn of YTD inflows.4
The bullish narrative continued for the better part of the second quarter. Investor focus remained on the central bank liquidity
tailwind, fiscal stimulus, vaccine progress, reopening momentum, a strong corporate profit backdrop and robust equity
inflows. Inflation was seemingly the most important and complicated macro theme in Q2. There was an unrelenting flurry of
headlines and corporate commentary about upward pressure on prices from supply chain disruptions, higher raw-materials
costs, shipping constraints and a tightening labor market. Headline consumer prices rose 0.6% m/m in May following a 0.8%
gain in April. Core consumer prices increased 0.7% m/m in May following a 0.9% gain in April. Headline prices were up
5.0% y/y in May, the biggest increase since June 2008, while core prices were up 3.8% y/y, the biggest increase since June
1992.5
While concerns about an inflation overshoot were fairly pervasive, the Fed remained consistent in its messaging around
expectations that price pressures will be transitory and the peak inflation theme gained traction as the quarter progressed
even as economists suggested that ‘transitory’ may be longer than expected. The Fed delivered a hawkish surprise at the
June FOMC meeting, with most of the focus on the Summary of Economic Projections (SEP). The median dot showed two
hikes of the federal funds rate in 2023, up from zero in March. Some takeaways discussed how the shift in the dot plot came
despite the minimal changes in the out-year core PCE inflation forecasts. This led to some subsequent debate about the
extent of the Fed's commitment to a flexible average inflation target. While Fed Chair Powell stuck with the transitory
messaging on inflation, he also conceded that the Fed is cognizant about the risk that inflation could be more persistent.
Powell not surprisingly admitted the Fed has started to talk about tapering. However, he also noted that "substantial further
progress" is still a "a ways" away, a view shared by other Fed leaders. Powell said the central bank will not raise rates
preemptively because it fears the possible onset of inflation. 6 This helped growth and momentum stocks outperform value
and cyclicals.
Despite a late-quarter agreement between the White House and a bipartisan group of Senators on the framework of a
physical infrastructure package, the path to additional fiscal stimulus remained complicated by Democratic leadership's
insistence that the Senate also pass a separate package via reconciliation that includes Democratic priorities surrounding
climate change and human infrastructure.6 Also of note were corporate earnings. According to FactSet, Q1 earnings (the
bulk of which were reported during April and May) for the S&P 500 increased ~52% y/y, up from the ~24% expected at the
start of the quarter. In aggregate, companies reported earnings ~22% above expectations, much better than the already

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elevated 14.5% one-year average and five-year average of 6.9%.6 As has been the case over the last few quarters,
upside surprises were driven by outsized estimate cuts early in the pandemic, a resilient macro backdrop underpinned by
massive fiscal and monetary stimulus, and elevated profit margins.
Portfolio Review
The largest contributor to performance over the quarter was an allocation to high yield corporate debt. The asset class
posted strong positive returns over the quarter as the economy was bolstered by the central bank liquidity tailwind, fiscal
stimulus, vaccine progress, and reopening momentum.

An allocation to and security selection within commercial mortgage-backed securities (CMBS) also contributed to
performance over the quarter. Commercial real estate valuations have been driven higher by the distribution of the
COVID-19 vaccine and a shift in momentum to sectors more leveraged to the return of normalcy. We remain constructive
on idiosyncratic single-asset/ single-borrower (SASB) opportunities and are underweight agency CMBS.

An underweight to and security selection within investment grade corporate bonds detracted from performance over the
quarter. Specifically, selection within the technology sector hurt relative performance. Investment grade corporate credit
as an asset class posted strong positive returns on the back of robust corporate earnings.

Also detracting from relative performance was an overweight to high quality asset-backed securities (ABS). High quality
ABS underperformed corporate credit over the period.
Portfolio Positioning
Over the quarter, we added risk exposure to the portfolio’s bank loan and collateralized loan obligation (CLO) allocations.
A reflationary environment, rising rates, and strong flows into each asset class all are strong tailwinds for bank loans and
CLOs. Specifically, we found attractive relative value in investment grade bank loans versus investment grade corporate
bonds and found attractive risk-adjusted carry in high quality CLOs.

We also added to the portfolio’s CMBS allocation. We continue to favor CMBS as a reopening-centric asset class and are
finding attractive relative value in BBB-rated single-asset/single-borrower issues versus like-rated corporate bonds.

We decreased the portfolio’s risk exposure to both high yield and investment grade corporate bonds as we believe
valuations on specific issues are full. Specifically, we sold risk exposure within the portfolio’s energy bond allocation.
Outlook
While there are short-term volatility risks stemming from residual effects of COVID-19, we believe economic fundamentals
will continue to have an upward trajectory in 2021 as vaccinations have led to a reopening of the economy and latent
demand, dormant services, and consumer spending all begin to normalize to pre-pandemic levels. With the Fed’s new
approach to monetary policy, an anchored short end of the yield curve, negative real yields, and very low volatility, the
demand for risk can be very strong. We will continue to look for attractive risk-adjusted carry using high quality assets.

1
 As represented by the Bloomberg Barclays U.S. Aggregate Bond Index as of 06/30/2021.
2
 As represented by the ICE BofA U.S. Corporate (A-BBB) as of 06/30/2021
3
 As represented by the ICE BofA U.S. High Yield Constrained Index. The ICE BofA U.S. High Yield Constrained Index is a capitalization weighted index
of all U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. Indexes are unmanaged, do not reflect
the deduction of fees or expenses, and an investor cannot invest directly in an index.
4
 JP Morgan, data represents U.S.-registered mutual funds
5
 U.S. Bureau of Labor Statistics
6
 Factset

Past performance is not a reliable indicator or guarantee of future results. The gross performance shown does not reflect the
deduction of investment advisory fees, but does reflect the deduction of any applicable transaction costs. Net of fees
performance reflects the deduction of the actual fees charged to the accounts in the strategy’s composite.

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Portfolio discussions are based on the strategy’s representative portfolio.

The holdings identified as contributors or detractors relative to the strategy’s benchmark, the Bloomberg Barclays U.S.
Aggregate Bond Index, do not represent all of the securities purchased, sold, or recommended for advisory clients. The
calculation methodology for determining the holdings that contributed most positively and negatively to the model portfolio’s
performance for the period as well as a list of the contribution of each holding in the portfolio to the portfolio’s performance
are available upon request.

The information provided is not directed at any investor or category of investors and is provided solely as general information
about Lord Abbett’s products and services and to otherwise provide general investment education. None of the information
provided should be regarded as a suggestion to engage in or refrain from any investment-related course of action as neither
Lord Abbett nor its affiliates are undertaking to provide impartial investment advice, act as an impartial adviser, or give advice
in a fiduciary capacity. If you are an individual retirement investor, contact your financial advisor or other fiduciary about
whether any given investment idea, strategy, product or service may be appropriate for your circumstances.

Bloomberg Barclays Index Information:

Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and
its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with
its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary
rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees
the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be
obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or
damages arising in connection therewith.

ICE BofA Index Information:

Source ICE Data Indices, LLC (“ICE”), used with permission. ICE PERMITS USE OF THE ICE BofA INDICES AND RELATED
DATA ON AN "AS IS" BASIS, MAKES NO WARRANTIES REGARDING SAME, DOES NOT GUARANTEE THE SUITABILITY,
QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE ICE BofA INDICES OR ANY DATA INCLUDED IN,
RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THE USE OF THE FOREGOING,
AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND LORD ABBETT, OR ANY OF ITS PRODUCTS OR SERVICES.

These materials do not take into account individual client circumstances, objectives, or needs. No determination has been
made regarding the suitability of any securities, financial instruments, or strategies for particular clients or prospects.

The information contained herein is provided on the basis and subject to the explanations, caveats, and warnings set out in
this notice and elsewhere herein. Any discussion of risk management is intended to describe Lord Abbett’s efforts to monitor
and manage risk but does not imply low risk.

The views and information discussed in this commentary are as of June 30th, 2021, are subject to change, and may not reflect
the views of the firm as a whole. The views expressed regarding the markets are at a specific point in time, are opinions only,

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and should not be relied upon as a forecast, research, or investment advice regarding a particular investment or the markets in
general. Information discussed should not be considered a recommendation to purchase or sell securities.

The Global Investment Performance Standards (GIPS®) compliant performance results shown represent the investment performance record for
the Lord, Abbett & Co. LLC (Lord Abbett) Core Plus Total Return Institutional Composite. Prior to December 31, 2015, the composite was named
Core Plus Fixed Income Institutional Composite. This composite is comprised of all fully discretionary portfolios managed on behalf of
institutional investors investing primarily in various types of fixed-income securities, including securities issued by the U.S. government, its
agencies and instrumentalities, mortgage-backed and other asset-backed securities, investment and non-investment grade corporate debt,
senior loans, convertible securities and high yield securities, including securities by non-U.S. entities and denominated currencies other than
U.S. dollars. Effective November 2017, only accounts with a value of $40 million or more are included in the composite. Effective July 2014, only
accounts with an initial value of $50 million or more are included in the composite. Effective March 2012, only accounts with an initial value of
$40 million or more are included in the composite. Effective July 21, 2009, only accounts with an initial value of $20 million or more are included
in the composite. Effective January 2018, accounts funded on or before the 15th of the month will be included in the Composite effective the
first day of the first following month. Accounts funded after the 15th of the month will be included effective on the first day of the second
following month. Prior to January 2018, other than registered investment companies sponsored by Lord Abbett, accounts opened/funded on
or before the 15th day of the month were included in the Composite effective the first day of the third following month and accounts
opened/funded after 15th of the month were included effective on the first day of the fourth following month. Registered investment companies
sponsored by Lord Abbett are included in the Composite in the first full month of management. Closed accounts are removed from the
Composite after the last full month in which they were managed in accordance with applicable objectives, guidelines and restrictions.
Performance results are expressed in U.S. dollars and reflect reinvestment of any dividends and distributions. The Composite was created and
incepted in 1999. A list of all composite and pooled fund investment strategies offered by the firm, with a description of each strategy, is
available upon request. The type of portfolios in which each strategy is available (segregated account, limited distribution pooled fund, or broad
distribution pooled fund) is indicated in the description of each strategy. Policies for valuing investments, calculating performance, and
preparing GIPS Reports are available upon request.

For GIPS® purposes, the firm is defined as Lord, Abbett & Co. LLC (“Lord Abbett”). Total Firm Assets are the aggregate fair value of all
discretionary and non-discretionary assets for which the Firm has investment management responsibility. Accordingly, Total Firm Assets
include, but are not limited to, mutual funds (all classes of shares), privately placed investment funds, non-U.S. domiciled investment funds,
separate/institutional portfolios, individual portfolios and separately managed accounts (“Wrap Fee/SMA Portfolios”) managed by Lord Abbett.
Total Firm Assets also include any collateralized, structured investment vehicle, such as a collateralized debt obligation or collateralized loan
obligation, for which Lord Abbett has been appointed as the collateral manager. For the period prior to January 1, 2000, the definition of the
Firm does not include any hedge fund or SMA program accounts where Lord, Abbett & Co. LLC did not have the records so long as it is
impossible for Lord, Abbett & Co. LLC to have the records (within the meaning of relevant GIPS® standards interpretations). Total Firm Assets
also exclude separately managed program accounts that involve model delivery.

The number of portfolios and total assets in the Composite, and the percentage of total “firm” assets represented by the Composite at the end
of each calendar year for which performance information is provided are as follows:

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Calendar Year Ended                                                  2020       2019          2018    2017       2016       2015       2014       2013       2012       2011
# of Portfolios                                                         6          5          6          6          4          6          4          7          7          6
Total Assets ($M)                                                    $6,959     $5,855     $4,886     $5,223     $4,130     $3,860     $3,262     $2,685     $2,999     $2,832
Percentage of Firm Assets                                            3.13%      2.87%      3.03%      3.35%      3.07%      3.11%      2.40%      1.98%      2.30%      2.60%
Total Firm Assets ($M)                                              $222,535   $204,031   $161,055   $156,110   $134,565   $124,007   $135,945   $135,786   $127,753   $107,449
Dispersion                                                            N/A        N/A        N/A        N/A        N/A        N/A        N/A        0.03        0.2       0.05
Lord Abbett Core Plus Total Return Institutional Composite Gross
                                                                     8.06%      9.08%     -0.20%      4.47%      4.80%      0.02%      6.89%     -0.55%      8.54%      8.15%
(Annual)
Lord Abbett Core Plus Total Return Institutional Composite Gross
                                                                     5.56%      4.38%      3.00%      3.07%      3.86%      2.07%      4.88%      5.30%      8.43%     11.02%
(3 year Annualized Return)
Lord Abbett Core Plus Total Return Institutional Composite Gross
                                                                     4.21%      2.41%      2.65%      2.69%      2.93%      2.89%      2.79%      2.81%      2.30%      3.59%
(3 year Annualized Ex-Post Standard Deviation)
Lord Abbett Core Plus Total Return Institutional Composite Net
                                                                     7.63%      8.61%     -0.61%      4.00%      4.36%     -0.39%      6.38%     -1.03%      8.03%      7.61%
(Annual)
Lord Abbett Core Plus Total Return Institutional Composite Net (3
                                                                     5.13%      3.93%      2.56%      2.63%      3.41%      1.60%      4.38%      4.79%      7.90%     10.50%
year Annualized Return)

Bloomberg Barclays U.S Aggregate Bond Index/Bloomberg
                                                                     7.51%      9.29%     -0.26%      4.09%      3.91%      0.43%      5.56%     -1.35%      5.53%      7.40%
Barclays U.S Universal Bond Index Prior to 01/01/2020 (Annual)

Bloomberg Barclays U.S Aggregate Bond Index/Bloomberg
Barclays U.S Universal Bond Index Prior to 01/01/2020 (3 year        5.43%      4.30%      2.56%      2.80%      3.28%      1.51%      3.20%      3.79%      6.70%      7.72%
Annualized Return)
Bloomberg Barclays U.S Aggregate Bond Index/Bloomberg
Barclays U.S Universal Bond Index Prior to 01/01/2020 (3 year        3.19%      2.65%      2.71%      2.68%      2.89%      2.86%      2.69%      2.70%      2.26%      2.74%
Annualized Ex-Post Standard Deviation)

Supplemental Information:*
Number of Portfolios Managed in Style*                                 13         17          19        23         22         22         23         22         20         20
Total Assets Managed in Style*                                       $7,292     $6,532     $5,606     $6,112     $5,023     $4,601     $4,213     $3,208     $3,465     $3,352

Dispersion is represented by the asset-weighted standard deviation, a measure that explains deviations of gross portfolio rates
of return from the asset-weighted composite return. Only portfolios that have been managed within the Composite style for a
full year are included in the asset-weighted standard deviation calculation. The measure may not be meaningful (N/A) for
composites consisting of five or fewer portfolios or for periods of less than a full year.

The performance of the Composite is shown net and gross of advisory fees, and reflects the deduction of transaction costs.
The deduction of advisory fees and expenses (and the compounding effect thereof over time) will reduce the performance
results and, correspondingly, the return to an investor. The table on the above page also includes net performance for the
Composite and reflects the deduction of the actual advisory fee borne by each account in the Composite and other trading
expenses and performance incentive fees. Portfolio incentive fees are applied on a cash basis in the period in which they are
paid. The effect of fees and expenses on performance will vary with the relative size of the fee and account performance. For
example, if $10 million were invested and experienced a 10% compounded annual return for 10 years, its ending dollar value,
without giving effect to the deduction of the advisory fee, would be $25,937,425. If an advisory fee of 0.30% of average net
assets per year for the 10-year period were deducted, the annual total return would be 9.67% and the ending dollar value would
be $25,238,659. The management fee schedule is as follows: 0.30% on the first $50 million, 0.23% on the next $100 million,
0.20% on the next $100 million and 0.19% on all assets over $250 million. The Pooled Funds management fee is 0.21%. Certain
securities held in portfolios contained in this composite may have valuations determined using both subjective observable and
subjective unobservable inputs. The Firm’s valuation hierarchy does not materially differ from the hierarchy in the GIPS
Valuation Principles. Portfolios in this composite may have sector weights that vary significantly from the Index. Any portfolio
with a market value of less than $200 million will be excluded from the composite if the portfolio has an aggregate monthly
inflow/outflow equal to or above 15% of the portfolio’s beginning monthly balance. Portfolios removed from composites will be
treated as new accounts, and will adhere to the standard composite inclusion policy before being re-introduced to the
composite.

*Supplemental information includes accounts managed in Lord Abbett’s Core Plus Total Return style but not included in the
Composite due to the existence of certain investment restrictions that have a material effect on implementation of Lord Abbett’s
investment strategies. This information has not been examined by Deloitte & Touche LLP.

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Lord Abbett claims compliance with the Global investment Performance Standards (GIPS®) and has prepared and presented
this report in compliance with the GIPS standards. Lord Abbett has been independently verified for the periods 1993-2019. A
firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the
applicable requirements of the GIPS standards. Verification provides assurance on whether the firm's policies and procedures
related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance,
have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. The Core Plus
Total Return Institutional composite has had a performance examination for the periods 1999-2019. The verification and
performance examination reports are available upon request.

Effective January 2020, the benchmark for the composite is the Bloomberg Barclays U.S. Aggregate Bond Index as that is more
reflective of the strategy’s investment universe. Prior to January 2020, the benchmark for the composite was the Bloomberg
Barclays U.S. Universal Index. The Bloomberg Barclays U.S. Universal Index represents the union of the U.S. Aggregate Index,
the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA
portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the
Universal Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index. The
benchmarks have not been examined by Deloitte & Touche LLP.

Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its
affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its
affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights
in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the
accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained
therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages
arising in connection therewith.

Past performance is not a reliable indicator or a guarantee of future results. Differences in account size, timing of transactions,
and market conditions prevailing at the time of investment may lead to different results among accounts. Differences in the
methodology used to calculate performance also might lead to different performance results than those shown. Composite
performance is compared to that of an unmanaged index, which does not incur management fees, transaction costs, or other
expenses associated with a managed account.

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