For Financial Professionals in the US

JMBS Mortgage-Backed Securities ETF

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

NAV
$48.54
As of 05/16/2022

1-Day Change
$0.18 (0.37%)
As of 05/16/2022

YTD Return
-7.54%
As of 05/16/2022

Morningstar Rating

As of 04/30/2022

Overview

Quarterly Update

Watch the investment team recap this quarter.

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

418844_Graphs_Web-04

35+ Million Mortgages

Analyzed By

418844_Graphs_Web-05

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

Security Selection

418844_Graphs_Web-03

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 03/31/2022)
NAV Market Price Bloomberg U.S. MBS Index
 
3M YTD 1YR 3YR Since Inception
(09/12/2018)
NAV -5.12 -5.12 -4.83 1.58 2.47
Market Price -5.08 -5.08 -4.92 1.52 2.45
Bloomberg U.S. MBS Index -4.97 -4.97 -4.92 0.56 1.61
RETURNS (%) (As of 04/30/2022)
NAV Market Price Bloomberg U.S. MBS Index
 
3M YTD 1YR 3YR Since Inception
(09/12/2018)
NAV -6.86 -8.10 -8.35 0.51 1.51
Market Price -6.88 -8.07 -8.44 0.47 1.50
Bloomberg U.S. MBS Index -6.93 -8.31 -8.76 -0.61 0.58
Calendar Year Returns (%)
NAV Market Price Bloomberg U.S. MBS Index
2021 2020 2019
NAV -0.43 6.09 6.99
Market Price -0.26 5.80 7.01
Bloomberg U.S. MBS Index -1.04 3.87 6.35

PREMIUM/DISCOUNT HISTORY

DISTRIBUTION OVERVIEW
Ex-DateRecord DatePayable DateOrdinary IncomeShort-Term Capital GainsLong-Term Capital GainsTotal Distribution
05/02/202205/03/202205/06/2022$0.073220$0.000000$0.000000$0.073220
04/01/2022 04/04/2022 04/07/2022 $0.063126$0.000000$0.000000$0.063126
03/01/2022 03/02/2022 03/07/2022 $0.035443$0.000000$0.000000$0.035443
02/01/202202/02/202202/07/2022$0.030292$0.000000$0.000000$0.030292
12/23/2021 12/27/2021 12/30/2021 $0.035254 $0.000000 $0.000000 $0.035254
12/01/202112/02/202112/07/2021$0.044861$0.000000 $0.000000 $0.044861
11/01/2021 11/02/2021 11/05/2021 $0.049922 $0.000000 $0.000000 $0.0499220
10/01/202110/04/2021 10/07/2021 $0.052484 $0.000000 $0.000000 $0.052484
View Full History

MORNINGSTAR PERCENTILE

(As Of 03/31/2022)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 55 6 - - 10
Intermediate Government Category|Rank/Count 129/240 32/238 -/- -/- 35/238
(As Of 04/30/2022)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 62 14 - - 20
Intermediate Government Category|Rank/Count 140/240 46/238 -/- -/- 49/238

Portfolio

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

Top Holdings (As of 05/16/2022)
% of Fund
Fannie Mae or Freddie Mac|3|06/13/2022, 3.00%, 06/13/22 -16.61
UMBS TBA 30yr 2% June Delivery 13.52
Fannie Mae or Freddie Mac|2.5|06/13/2022, 2.50%, 06/13/22 -16.02
UMBS TBA 30yr 4.5% July Delivery 10.88
Fannie Mae or Freddie Mac|2|06/13/2022, 2.00%, 06/13/22 13.52
UMBS TBA 30yr 3.5% June Delivery 9.89
Fannie Mae or Freddie Mac|4.5|07/14/2022, 4.50%, 07/14/22 10.88
UMBS TBA 30yr 4% June Delivery 9.70
Fannie Mae or Freddie Mac|3.5|06/13/2022, 3.50%, 06/13/22 9.89
UMBS TBA 15yr 3% June Delivery 8.18
View Full Holdings

Documents