For Institutional Investors in the US

JMBS Mortgage-Backed Securities ETF

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

NAV
$45.89
As of 11/25/2022

1-Day Change
$0.09 (0.20%)
As of 11/25/2022

YTD Return
-11.29%
As of 11/25/2022

Morningstar Rating

As of 10/31/2022

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 US Securitised Products | Portfolio Manager

    Industry since 1990. Joined Firm in 2010.

    Nick Childs, CFA

    Portfolio Manager | Securitised Products Analyst

    Industry since 2003. Joined Firm in 2017.

    Performance

    RETURNS (%) (As of 09/30/2022)
    NAV Market Price Bloomberg U.S. MBS Index
     
    3M YTD 1YR 3YR Since Inception
    (09/12/2018)
    NAV -5.43 -13.46 -13.85 -2.63 -0.14
    Market Price -5.43 -13.40 -13.92 -2.64 -0.15
    Bloomberg U.S. MBS Index -5.35 -13.66 -13.98 -3.67 -0.96
    RETURNS (%) (As of 10/31/2022)
    NAV Market Price Bloomberg U.S. MBS Index
     
    3M YTD 1YR 3YR Since Inception
    (09/12/2018)
    NAV -9.50 -14.73 -14.89 -3.20 -0.49
    Market Price -9.35 -14.55 -14.81 -3.18 -0.47
    Bloomberg U.S. MBS Index -9.60 -14.89 -15.04 -4.25 -1.29
    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
    11/01/202211/02/202211/07/2022$0.140182$0.000000$0.000000$0.140182
    10/03/202210/04/202210/07/2022$0.135501$0.000000$0.000000$0.135501
    09/01/202209/02/202209/08/2022$0.131152$0.000000$0.000000$0.131152
    08/01/202208/02/202208/05/2022$0.101666$0.000000$0.000000$0.101666
    07/01/202207/05/202207/08/2022$0.093091$0.000000$0.000000$0.093091
    06/01/202206/02/202206/07/2022$0.088244$0.000000$0.000000$0.088244
    05/02/202205/03/202205/06/2022$0.073220$0.000000$0.000000$0.073220
    View Full History

    MORNINGSTAR PERCENTILE

    (As Of 09/30/2022)
    1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
    Percentile Ranking 73 26 - - 38
    Intermediate Government Category|Rank/Count 157/238 59/236 -/- -/- 71/236
    (As Of 10/31/2022)
    1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
    Percentile Ranking 71 28 - - 42
    Intermediate Government Category|Rank/Count 153/238 62/236 -/- -/- 76/236

    RETURNS-BASED STATISTICS (As of 10/31/2022 )

    RISK / REWARD
    VS. Bloomberg U.S. MBS Index
    3YR 5YR
    Information Ratio 0.56 -
    Alpha 0.98 -
    Tracking Error 1.86 -
    Beta 0.97 -
    R-squared (%) 87.79 -
    UP/DOWN MARKET CAPTURE (%)
    VS. Bloomberg U.S. MBS Index
    3YR 5YR
    Up Capture Ratio 114.51 -
    Down Capture Ratio 92.27 -
    STANDARD DEVIATION 3YR 5YR
    Mortgage-Backed Securities ETF 5.30 -
    Bloomberg U.S. MBS Index 5.11 4.38
    SHARPE RATIO 3YR 5YR
    Mortgage-Backed Securities ETF -0.72 -
    Bloomberg U.S. MBS Index -0.95 -0.54

    Portfolio

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

    Top Holdings (As of 11/25/2022)
    % of Fund
    Fannie Mae or Freddie Mac|2.5|12/13/2022, 2.50%, 12/13/22 30.59
    Ginnie Mae II Pool|4.5|12/20/2022, 4.50%, 12/20/22 14.01
    Fannie Mae or Freddie Mac|6|12/13/2022, 6.00%, 12/13/22 10.67
    Ginnie Mae II Pool|4|12/20/2022, 4.00%, 12/20/22 6.90
    Ginnie Mae II Pool|3|12/20/2022, 3.00%, 12/20/22 5.83
    Fannie Mae Pool|5|07/01/2052, 5.00%, 07/01/52 5.26
    Freddie Mac Pool|5|08/01/2052, 5.00%, 08/01/52 5.21
    Fannie Mae Pool|3|12/01/2051, 3.00%, 12/01/51 5.21
    Fannie Mae or Freddie Mac|3.5|12/15/2022, 3.50%, 12/15/22 4.49
    Fannie Mae or Freddie Mac|4|12/15/2022, 4.00%, 12/15/22 4.13
    View full holdings
    Portfolio Characteristics (As of 11/25/2022)
     
    Number of Holdings
    Debt Issues
    288
    Portfolio Turnover Rate
    (1-year trailing)
    112.08%
    Weighted Average Maturity
    (years)
    6.47
    Effective Duration
    (years)
    6.16
    Yield to Worst
    6.58%

    Yield to Worst calculation excludes cash.

    Sector Allocation % OF FUND % OF FUND (As of 11/25/2022)
    Regional Allocation % OF FUND % OF FUND (As of November 25, 2022)
    Maturity Breakdown of Fixed Income Holdings % OF FUND % OF FUND (As of 11/25/2022)
    Credit Quality of Fixed Income Holdings % OF FUND % OF FUND (As of November 25, 2022)

    Documents