JMBS Mortgage-Backed Securities ETF

Seeking above-market total returns by modeling inefficiencies in borrower behavior

NAV
$52.27
As of 10/18/2019

1 Day Change
-$0.01 (-0.02%)
As of 10/18/2019

YTD Return
5.89%
As of 10/18/2019

30 Day SEC Yield
2.72%
As of 09/30/2019

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

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    35+ Million Mortgages

    Analyzed By

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

    Security Selection

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    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

    PORTFOLIO MANAGEMENT

    John Kerschner, CFA

    Head of U.S. Securitized Products | Portfolio Manager

    Industry since 1990. Joined Firm in 2010.

    Nick Childs, CFA

    Portfolio Manager | Securitized Products Analyst

    Industry since 2003. Joined Firm in 2017.

    Performance

    RETURNS (%) (As of 09/30/2019)
    NAV Market Price Bloomberg Barclays U.S. MBS Index
     
    3M YTD 1YR 3YR 5YR 10YR Since Inception
    (09/12/2018)
    NAV 1.52% 5.94% 8.07% - - - 7.33%
    Market Price 1.50% 5.96% 8.03% - - - 7.35%
    Bloomberg Barclays U.S. MBS Index 1.37% 5.60% 7.80% 2.32% 2.80% 3.14% 7.21%
    RETURNS (%) (As of 09/30/2019)
    NAV Market Price Bloomberg Barclays U.S. MBS Index
     
    3M YTD 1YR 3YR 5YR 10YR Since Inception
    (09/12/2018)
    NAV 1.52% 5.94% 8.07% - - - 7.33%
    Market Price 1.50% 5.96% 8.03% - - - 7.35%
    Bloomberg Barclays U.S. MBS Index 1.37% 5.60% 7.80% 2.32% 2.80% 3.14% 7.21%

    FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS

    Market price below NAV Market price equal to NAV Market price above NAV
    Percent of Difference < -1.50 -1.49 to -1.00 -0.99 to -0.50 -0.49 to -0.01 0 0.01 to 0.49 0.50 to 0.99 1.00 to 1.49 > 1.50
    Number of Days 0 0 0 10 3 50 0 0 0
    Percent of Total Days 0.00% 0.00% 0.00% 15.63% 4.69% 78.13% 0.00% 0.00% 0.00%
    Market price below NAV Market price equal to NAV Market price above NAV
    Percent of Difference < -1.50 -1.49 to -1.00 -0.99 to -0.50 -0.49 to -0.01 0 0.01 to 0.49 0.50 to 0.99 1.00 to 1.49 > 1.50
    Number of Days 0 0 0 14 8 41 0 0 0
    Percent of Total Days 0.00% 0.00% 0.00% 22.22% 12.70% 65.08% 0.00% 0.00% 0.00%
    Market price below NAV Market price equal to NAV Market price above NAV
    Percent of Difference < -1.50 -1.49 to -1.00 -0.99 to -0.50 -0.49 to -0.01 0 0.01 to 0.49 0.50 to 0.99 1.00 to 1.49 > 1.50
    Number of Days 0 0 0 32 3 26 0 0 0
    Percent of Total Days 0.00% 0.00% 0.00% 52.46% 4.92% 42.62% 0.00% 0.00% 0.00%
    Market price below NAV Market price equal to NAV Market price above NAV
    Percent of Difference < -1.50 -1.49 to -1.00 -0.99 to -0.50 -0.49 to -0.01 0 0.01 to 0.49 0.50 to 0.99 1.00 to 1.49 > 1.50
    Number of Days 0 0 0 14 3 46 0 0 0
    Percent of Total Days 0.00% 0.00% 0.00% 22.22% 4.76% 73.02% 0.00% 0.00% 0.00%
    Market price below NAV Market price equal to NAV Market price above NAV
    Percent of Difference < -1.50 -1.49 to -1.00 -0.99 to -0.50 -0.49 to -0.01 0 0.01 to 0.49 0.50 to 0.99 1.00 to 1.49 > 1.50
    Number of Days 0 0 0 3 0 9 0 0 0
    Percent of Total Days 0.00% 0.00% 0.00% 23.08% 0.00% 69.23% 0.00% 0.00% 0.00%
    DISTRIBUTION OVERVIEW
    Ex-DateRecord DatePayable DateOrdinary IncomeShort-Term Capital GainsLong-Term Capital GainsTotal Distribution
    8/1/2019 8/2/2019 8/7/2019 $0.092001$0.000000$0.000000$0.092001
    7/1/2019 7/2/2019 7/8/2019 $0.124564$0.000000$0.000000$0.124564
    6/3/2019 6/4/2019 6/7/2019 $0.131730$0.000000$0.000000$0.131730
    5/1/2019 5/2/2019 5/7/2019 $0.137661$0.000000$0.000000$0.137661
    4/1/2019 4/2/2019 4/5/2019 $0.152528$0.000000$0.000000$0.152528
    3/1/2019 3/4/2019 3/7/2019 $0.092880$0.000000$0.000000$0.092880
    2/1/2019 2/4/2019 2/7/2019 $0.093423$0.000000$0.000000$0.093423
    12/27/2018 12/28/2018 1/3/2018 $0.184249$0.000000$0.000000$0.184249
    12/3/2018 12/4/2018 12/7/2018 $0.122997$0.000000$0.000000$0.122997
    11/1/2018 11/2/2018 11/7/2018 $0.140422$0.000000$0.000000$0.140422

    Portfolio

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

    (As of 10/17/2019)
    % of Fund
    GNMA II TBA 30yr 3% December Delivery 13.84
    GNMA II TBA 30yr 4% November Delivery 10.73
    GNMA II TBA 30yr 3.5% November Delivery 9.61
    UMBS TBA 15yr 3% November Delivery 6.20
    UMBS TBA 15yr 2.5% November Delivery 5.98
    UMBS TBA 30yr 4.5% November Delivery 4.01
    Connecticut Avenue Securities Trust 2019-R05 4.01838% 25-JUL-2039 3.66
    UMBS TBA 30yr 5% November Delivery 3.31
    GNMA II TBA 30yr 4.5% November Delivery 3.30
    UMBS TBA 15yr 3.5% November Delivery 3.21
    View full holdings

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