JMBS Mortgage-Backed Securities ETF

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

NAV
$53.51
As of 10/23/2020

1-Day Change
$0.00 (0.00%)
As of 10/23/2020

YTD Return
4.78%
As of 10/23/2020

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 09/30/2020)
NAV Market Price Bloomberg Barclays U.S. MBS Index
 
3M YTD 1YR Since Inception
(09/12/2018)
NAV 0.49 4.68 5.71 6.54
Market Price 0.36 4.69 5.73 6.56
Bloomberg Barclays U.S. MBS Index 0.11 3.62 4.36 5.81
RETURNS (%) (As of 09/30/2020)
NAV Market Price Bloomberg Barclays U.S. MBS Index
 
3M YTD 1YR Since Inception
(09/12/2018)
NAV 0.49 4.68 5.71 6.54
Market Price 0.36 4.69 5.73 6.56
Bloomberg Barclays U.S. MBS Index 0.11 3.62 4.36 5.81

PREMIUM/DISCOUNT HISTORY

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 4 1 59 0 0 0
Percent of Total Days 0.00% 0.00% 0.00% 6.25% 1.56% 92.19% 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 1 1 17 5 36 0 0 0
Percent of Total Days 0.00% 1.59% 1.59% 26.98% 7.94% 57.14% 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 2 1 17 4 35 1 1 1
Percent of Total Days 0.00% 3.23% 1.61% 27.42% 6.45% 56.45% 1.61% 1.61% 1.61%
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 12 5 47 0 0 0
Percent of Total Days 0.00% 0.00% 0.00% 18.75% 7.81% 73.44% 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 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
10/1/202010/2/202010/7/2020$0.144274$0.000000$0.000000$0.144274
9/1/20209/2/20209/8/2020$0.077382$0.000000$0.000000$0.077382
8/3/20208/4/20208/7/2020$0.102729$0.000000$0.000000$0.102729
07/01/2007/02/2007/08/20$0.103578$0.000000$0.000000$0.103578
06/01/202006/02/202006/05/2020$0.094612$0.000000$0.000000$0.094612
5/1/20205/4/20205/7/2020$0.112794$0.000000$0.000000$0.112794
4/1/20204/2/20204/7/2020$0.119951$0.000000$0.000000$0.119951
3/2/2020 3/3/2020 3/6/2020 $0.100523 $0.000000 $0.000000 $0.100523
2/3/2020 2/4/2020 2/7/2020 $0.076867 $0.000000 $0.000000 $0.076867
12/30/201912/31/20191/6/2020$0.284251$0.000000$0.000000$0.284251
12/2/2019 12/3/2019 12/6/2019 $0.337152$0.000000$0.000000$0.337152
11/1/2019 11/1/2019 11/7/2019 $0.219169 $0.000000$0.000000$0.219169
10/1/2019 10/2/2019 10/7/2019 $0.104568 $0.000000$0.000000$0.104568
9/3/2019 9/4/2019 9/9/2019 $0.121452 $0.000000$0.000000$0.121452
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.

Top Holdings (As of 10/23/2020)
% of Fund
UMBS TBA 30yr 4% November Delivery 9.16
UMBS TBA 30yr 3% November Delivery 7.80
GNMA II TBA 30yr 3.5% November Delivery 6.79
UMBS TBA 15yr 2% November Delivery 6.52
GNMA II TBA 30yr 2.5% November Delivery 6.52
UMBS TBA 30yr 1.5% November Delivery 6.29
UMBS TBA 15yr 1.5% November Delivery 5.49
FNMA 30yr Pool#FM3857 3.500% 01-Jul-2048 5.32
GNMA II TBA 30yr 2% November Delivery 5.05
UMBS TBA 30yr 3.5% November Delivery 4.07
View full holdings

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