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For Individual Investors in the US

JMBS Mortgage-Backed Securities ETF

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

How to buy

NAV
$46.90
As of 09/17/2024

1-Day Change
-$0.10 (-0.21%)
 As of 09/17/2024

YTD Return
5.67%
As of 09/17/2024

Morningstar Rating

As of 08/31/2024

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

    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

    John Kerschner, CFA

    Head of US Securitised Products | Portfolio Manager

    Industry since 1990. Joined Firm in 2010.

    Nick Childs, CFA

    Nick Childs, CFA

    Head of Structured and Quant Fixed Income| Portfolio Manager

    Industry since 2003. Joined Firm in 2017.

    Performance

    RETURNS (%) (As of 06/30/2024)
    Nav Market-Price Bloomberg U.S. Mortgage Backed Securities (MBS) Index
     
    3M YTD 1YR 3YR 5YR Since Inception
    (09/13/2018)
    Nav 0.23 -0.77 2.53 -2.48 0.10 1.11
    Market-Price 0.32 -0.68 2.51 -2.49 0.11 1.12
    Bloomberg U.S. Mortgage Backed Securities (MBS) Index 0.07 -0.98 2.12 -2.92 -0.32 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 08/31/2024)
    Nav Market-Price Bloomberg U.S. Mortgage Backed Securities (MBS) Index
     
    3M YTD 1YR 3YR 5YR Since Inception
    (09/13/2018)
    Nav 5.78 3.77 8.39 -1.17 0.70 1.84
    Market-Price 5.80 3.84 8.32 -1.18 0.72 1.85
    Bloomberg U.S. Mortgage Backed Securities (MBS) Index 5.51 3.27 7.46 -1.70 0.53 1.07
    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.
    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
    Calendar Year Returns (%)
    Year (N/A) (Net) Bloomberg U.S. MBS Index US Fund Intermediate Government
    2023 5.68 5.05
    2022 -11.51 -11.81
    2021 -0.43 -1.04
    2020 6.09 3.87
    2019 6.99 6.35
    2018 from 09/12/2018 1.67 1.87

    PREMIUM/DISCOUNT HISTORY

    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 08/31/2024 )

    RISK / REWARD
    VS. Bloomberg U.S. MBS Index    		 3YR 5YR
    Information Ratio 0.77 0.08
    Alpha 0.63 0.10
    Tracking Error 0.70 2.17
    Beta 1.02 0.95
    R-squared (%) 99.36 89.46
    UP/DOWN MARKET CAPTURE (%)
    VS. Bloomberg U.S. MBS Index    		 3YR 5YR
    Up Capture Ratio 103.59 97.61
    Down Capture Ratio 98.42 95.69
    STANDARD DEVIATION 3YR 5YR
    Mortgage-Backed Securities ETF 8.51 6.73
    Bloomberg U.S. MBS Index 8.35 6.72
    SHARPE RATIO 3YR 5YR
    Mortgage-Backed Securities ETF -0.53 -0.23
    Bloomberg U.S. MBS Index -0.60 -0.26
    DISTRIBUTION OVERVIEW
    Ex-DateRecord DatePayable DateOrdinary IncomeShort-Term Capital GainsLong-Term Capital GainsTotal Distribution
    09/03/202409/03/202409/09/2024$0.196427$0.000000$0.000000$0.196427
    08/01/2024 08/01/2024 08/07/2024 $0.196569 $0.000000$0.000000$0.196569
    07/01/202407/01/202407/08/2024$0.190669$0.000000$0.000000$0.190669
    06/03/202406/03/202406/07/2024$0.189885$0.000000$0.000000$0.189885
    05/01/202405/02/202405/07/2024$0.192066$0.000000$0.000000$0.192066
    04/01/202404/02/202404/05/2024$0.194143$0.000000$0.000000$0.194143
    03/01/202403/04/202403/07/2024$0.190366$0.000000$0.000000$0.190366
    02/01/202402/02/202402/07/2024$0.182686$0.000000$0.000000$0.182686
    View Full History

    Portfolio

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

    Top Holdings (As of 09/16/2024)
    % of Fund
    Fannie Mae or Freddie Mac|2.5|10/15/2024, 2.50%, 10/15/24 27.18
    Fannie Mae or Freddie Mac|3|10/15/2024, 3.00%, 10/15/24 10.89
    FNCL 2 10/23|2|10/15/2024, 2.00%, 10/15/24 6.82
    Ginnie Mae|5|09/23/2024, 5.00%, 09/23/24 4.64
    Ginnie Mae|3|09/23/2024, 3.00%, 09/23/24 3.48
    Ginnie Mae|4.5|09/23/2024, 4.50%, 09/23/24 3.31
    Freddie Mac REMICS|6.49884|08/25/2054, 6.50%, 08/25/54 3.22
    Fannie Mae Pool|4|10/01/2051, 4.00%, 10/01/51 2.80
    Fannie Mae Pool|4|03/01/2051, 4.00%, 03/01/51 2.58
    Ginnie Mae|4|09/23/2024, 4.00%, 09/23/24 2.26
    View full holdings

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    Portfolio Characteristics (As of 09/16/2024)
     
    Number of Holdings
    Debt Issues    		 584
    Portfolio Turnover Rate
    (1-year trailing)    		 36.52%
    Weighted Average Maturity
    (years)    		 7.32
    Effective Duration
    (years)    		 6.19
    Yield to Worst
    		 4.71%
    Sector Allocation % of Fund % of Fund As of 09/16/2024
    Fixed Income country and/or regional weights primarily based on Bloomberg classifications.
    Regional Allocation % of Fund % of Fund As of September 16, 2024
    Credit Quality of Fixed Income Holdings % of Fund % of Fund As of September 16, 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).
    Maturity Breakdown of Fixed Income Holdings % of Fund % of Fund As of 09/16/2024

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