JMBS Mortgage Backed Securities ETF JMBS10

Overview

An actively managed, high-quality MBS ETF that…

Invests predominately in high-quality MBS assets

Seeks total returns in excess of the MBS market without taking additional risk

Offers the potential for broad portfolio diversification benefits with little to no corporate credit risk

Differentiates itself by employing fundamental loan-level analysis and quantitative modeling in an effort to identify mispriced assets with attractive borrower behavior

Provides the lower cost, transparency and liquidity characteristics of the ETF structure

Mortgage-Backed Securities:

A Quick Education

Looking for an introduction or refresher on MBS? Watch this short video to learn more.

Modeling Borrower Behavior and Prepayment Risk to Find Opportunity

Our team differentiates itself through loan-level analysis, continuously evaluating roughly $6.5 trillion in mortgages across more than 35 million loans. We believe the MBS market’s sheer size in value and number of loans makes it an attractive area for active management. We take a bottom-up, loan-by-loan approach in an effort to identify the best opportunities.

Investable Universe

35+ Million Mortgages

Analyzed By

Location, Coupon,Credit Score,Debt to Income,Cash Flow, Collateral

Security Selection

Bottom-up,loan-by-loan approach

Implementing in a Portfolio

JMBS is a potentially powerful building block for a diversified fixed income portfolio. JMBS may be used for:

DEDICATED MBS EXPOSURE

Historically low correlations and strong-risk adjusted returns of the asset class make a strategic allocation attractive

A COMPLEMENT TO EXISTING CORE FIXED INCOME

Pair with core bond funds that may be longer duration and corporate credit-focused

REBALANCING AWAY FROM NON-CORE FIXED INCOME

Investors may have over-allocated to riskier non-core fixed income given the fear of rising rates and proliferation of new investment options

JMBS – Our High-Quality MBS ETF

Actively Modeling Borrower Behavior to Seek Above-Market Total Returns

YIELDS (%)

Distribution Yield at NAV 12-Month (As of 04/01/2024)	4.83%
30-Day SEC Yield - With Waivers (As of 03/31/2024)	5.37%
30-Day SEC Yield - Without Waivers (As of 03/31/2024)	5.37%
Distribution Frequency	Monthly

ETF Details

Inception Date	Sep 12, 2018
Total Net Assets (As of 04/23/2024)	$3.92B
Gross Annual Expense Ratio (As of most recent prospectus)	0.26%
Net Annual Expense Ratio (As of most recent prospectus)	0.23%
CUSIP	47103U852
Morningstar Category (As of 03/31/2024)	Intermediate Government
NAV Ticker	JMBSNV
Exchange	NYSE Arca
Primary Benchmark	Bloomberg U.S. MBS Index

Net expense ratios reflect the expense waiver, if any, contractually agreed to through at least February 28, 2025. This contractual waiver may be terminated or modified only at the discretion of the Board of Trustees.

Creation Unit size is 25,000 shares.

Pricing Data (As of Market Close 04/23/2024)

Closing Market Price	$43.86
Bid/Ask Midpoint	$43.87
Day High	$43.98
Day Low	$43.65
Trading Volume (Shares)	510,022
Premium/Discount	0.09%
30-Day Median Bid/Ask Spread (As of 04/23/2024)	0.02%
Shares Outstanding	89.53M

Morningstar Data

(As of 03/31/2024)

Overall Rating (Based on risk-adjusted returns)	221 Funds Rated View All Ratings
Category	Intermediate Government

Important Morningstar Information

PORTFOLIO MANAGEMENT

John Kerschner, CFA

Head of US Securitised Products | Portfolio Manager

Industry since 1990. Joined Firm in 2010.

Nick Childs, CFA

Portfolio Manager

Industry since 2003. Joined Firm in 2017.

Performance

RETURNS (%) (As of 03/31/2024)

Nav Market-Price Bloomberg U.S. Mortgage Backed Securities (MBS) Index

	3M	YTD	1YR	3YR	5YR	Since Inception (09/12/2018)
Nav	-1.00	-1.00	1.52	-2.44	0.45	1.12
Market-Price	-1.00	-1.00	1.30	-2.46	0.42	1.12
Bloomberg U.S. Mortgage Backed Securities (MBS) Index	-1.04	-1.04	1.39	-2.84	-0.39	0.37

Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold.

Returns include reinvestment of dividends and capital gains. Returns greater than one year are annualized.

Shares of ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Market returns are based upon the midpoint of the bid/ask spread at 4:00 p.m. Eastern time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times. Ordinary brokerage commissions apply and will reduce returns.

RETURNS (%) (As of 03/31/2024)

Nav Market-Price Bloomberg U.S. Mortgage Backed Securities (MBS) Index

	3M	YTD	1YR	3YR	5YR	Since Inception (09/12/2018)
Nav	-1.00	-1.00	1.52	-2.44	0.45	1.12
Market-Price	-1.00	-1.00	1.30	-2.46	0.42	1.12
Bloomberg U.S. Mortgage Backed Securities (MBS) Index	-1.04	-1.04	1.39	-2.84	-0.39	0.37

Returns include reinvestment of dividends and capital gains. Returns greater than one year are annualized.

Calendar Year Returns (%)

Nav Bloomberg U.S. Mortgage Backed Securities (MBS) Index

	2023	2022	2021	2020	2019
Nav	5.68	-11.51	-0.43	6.09	6.99
Bloomberg U.S. Mortgage Backed Securities (MBS) Index	5.05	-11.81	-1.04	3.87	6.35

(As Of 03/31/2024)

	1 YR	3 YR	5 YR	10 YR	SINCE INCEPTION
Percentile Ranking	16	20	7	-	7
Intermediate Government \| Rank/Count	27/229	38/220	15/219	-/-	14/220

(As Of 03/31/2024)

	1 YR	3 YR	5 YR	10 YR	SINCE INCEPTION
Percentile Ranking	16	20	7	-	7
Intermediate Government \| Rank / Count	27/229	38/220	15/219	-/-	14/220

GROWTH OF A HYPOTHETICAL INVESTMENT

@Nav Bloomberg U.S. Mortgage Backed Securities (MBS) Index Intermediate Government

Source: Morningstar, Inc.

This graph compares the performance of a hypothetical $1 investment in the fund, the fund’s Morningstar category average and its benchmark(s).

RETURNS-BASED STATISTICS (As of 03/31/2024 )

RISK / REWARD VS. Bloomberg U.S. MBS Index	3YR	5YR
Information Ratio	0.59	0.36
Alpha	0.49	0.70
Tracking Error	0.70	2.32
Beta	1.01	0.94
R-squared (%)	99.26	86.73

UP/DOWN MARKET CAPTURE (%) VS. Bloomberg U.S. MBS Index	3YR	5YR
Up Capture Ratio	102.21	95.84
Down Capture Ratio	98.00	94.65

STANDARD DEVIATION	3YR	5YR
MBS ETF	7.97	6.39
Bloomberg U.S. MBS Index	7.84	6.35

SHARPE RATIO	3YR	5YR
MBS ETF	-0.63	-0.24
Bloomberg U.S. MBS Index	-0.69	-0.37

PREMIUM/DISCOUNT HISTORY

	Calendar Year 2023	Q1 2024
Days at Premium	178	46
Days at Discount	48	10

DISTRIBUTION OVERVIEW

Ex-Date	Record Date	Payable Date	Ordinary Income	Short-Term Capital Gains	Long-Term Capital Gains	Total Distribution
04/01/2024	04/02/2024	04/05/2024	$0.194143	$0.000000	$0.000000	$0.194143
03/01/2024	03/04/2024	03/07/2024	$0.190366	$0.000000	$0.000000	$0.190366
02/01/2024	02/02/2024	02/07/2024	$0.182686	$0.000000	$0.000000	$0.182686
12/22/2023	12/26/2023	12/29/2023	$0.198112	$0.000000	$0.000000	$0.198112
12/01/2023	12/04/2023	12/07/2023	$0.190006	$0.000000	$0.000000	$0.190006
11/01/2023	11/02/2023	11/07/2023	$0.181991	$0.000000	$0.000000	$0.181991
10/02/2023	10/06/2023	10/03/2023	$0.169221	$0.000000	$0.000000	$0.169221
09/01/2023	09/05/2023	09/08/2023	$0.183807	$0.000000	$0.000000	$0.183807
						View Full History

Portfolio

Index represents the Bloomberg Barclays U.S. MBS Index.

Top Holdings (As of 04/23/2024)

	% of Fund
Fannie Mae or Freddie Mac\|2.5\|05/13/2024, 2.50%, 05/13/24	28.40
Fannie Mae or Freddie Mac\|2\|05/13/2024, 2.00%, 05/13/24	7.30
Fannie Mae or Freddie Mac\|3\|05/13/2024, 3.00%, 05/13/24	6.25
Fannie Mae or Freddie Mac\|6\|05/13/2024, 6.00%, 05/13/24	5.02
Ginnie Mae\|3\|05/20/2024, 3.00%, 05/20/24	3.83
Ginnie Mae\|5.5\|05/20/2024, 5.50%, 05/20/24	3.77
Ginnie Mae\|5\|05/20/2024, 5.00%, 05/20/24	3.29
Fannie Mae Pool\|4\|10/01/2051, 4.00%, 10/01/51	3.21
Fannie Mae Pool\|4\|03/01/2051, 4.00%, 03/01/51	2.97
Fannie Mae or Freddie Mac\|3.5\|05/13/2024, 3.50%, 05/13/24	2.63
View full holdings

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Portfolio Characteristics (As of 04/23/2024)


Number of Holdings Debt Issues	603
Portfolio Turnover Rate (1-year trailing)	28.28%
Weighted Average Maturity (years)	8.04
Effective Duration (years)	6.60
Yield to Worst	5.99%

Sector Allocation	% OF FUND	% OF FUND	(As of 04/23/2024)

Fixed Income country and/or regional weights primarily based on Bloomberg classifications.

Regional Allocation	% OF FUND	% OF FUND	(As of 04/23/2024)

Maturity Breakdown of Fixed Income Holdings	% OF FUND	% OF FUND	(As of 04/23/2024)

Credit Quality of Fixed Income Holdings	% OF FUND	% OF FUND	(As of 04/23/2024)

Credit quality ratings reflect the middle rating received from Moody’s, Standard & Poor’s and Fitch, where all three agencies have provided a rating. If only two agencies rate a security, the lowest rating is used. If only one agency rates a security, that rating is used. Ratings are measured on a scale that ranges from Aaa (highest) to D (lowest).

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JMBS Mortgage-Backed Securities ETF