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For Institutional Investors in the US

JMBS Mortgage-Backed Securities ETF

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

NAV
$44.07
As of 12/24/2024

1-Day Change
$0.00 (0.00%)
 As of 12/24/2024

YTD Return
1.31%
As of 12/24/2024

Morningstar Rating

As of 11/30/2024

Overview

About this ETF

For investors looking to generate income while also insulating their portfolio during material risk-off environments. JMBS provides exposure to agency mortgage-backed securities (MBS), which has historically provided low correlation to both corporate credit and equities.

Why Invest in this ETF

Our team
Culture of collaboration across portfolio managers and dedicated team of securitized analysts.

Fundamental and quantitative
Fundamental loan-level analysis combined with quantitative modeling to identify mispriced assets with attractive borrower behavior.

Active allocation
Aiming to minimize risk exposure and maximize excess return potential by balancing agency and non-agency MBS allocations.

What are MBS?

Hear from Tom Polus, MBS Associate Portfolio Manager, as he dives into the world of Mortgage-Backed Securities (MBS), and their pivotal part of the fixed-income market. Learn more about the complexities of MBS and discover their potential role in investment portfolios.

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 09/30/2024)
Nav Market-Price Bloomberg U.S. Mortgage Backed Securities (MBS) Index
 
3M YTD 1YR 3YR 5YR Since Inception
(09/13/2018)
Nav 5.81 5.00 13.10 -0.76 0.93 2.01
Market-Price 5.88 5.15 13.17 -0.73 0.95 2.04
Bloomberg U.S. Mortgage Backed Securities (MBS) Index 5.53 4.50 12.32 -1.20 0.04 1.25
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 11/30/2024)
Nav Market-Price Bloomberg U.S. Mortgage Backed Securities (MBS) Index
 
3M YTD 1YR 3YR 5YR Since Inception
(09/13/2018)
Nav -0.51 3.24 7.74 -1.18 0.45 1.68
Market-Price -0.66 3.15 7.50 -1.25 0.42 1.66
Bloomberg U.S. Mortgage Backed Securities (MBS) Index -0.37 2.89 7.33 -1.61 -0.35 0.97
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
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.

Premium/Discount History

Morningstar Percentile

 (As of 09/30/2024)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 5 17 18 - 38
Intermediate Government | Rank/Count 22/459 56/431 69/402 -/- 152/394
 (As of 11/30/2024)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 3 14 5 - 3
Intermediate Government | Rank / Count 3/236 18/226 17/224 -/- 6/224

Returns-Based Statistics (As of 11/30/2024)

RISK / REWARD
VS. Bloomberg U.S. MBS Index		 3YR 5YR
Information Ratio 0.62 0.55
Alpha 0.55 0.85
Tracking Error 0.71 1.47
Beta 1.02 1.01
R-squared (%) 99.40 95.45
UP/DOWN MARKET CAPTURE (%)
Bloomberg U.S. MBS Index		 3YR 5YR
Up Capture Ratio 103.70 106.83
Down Capture Ratio 99.52 96.59
STANDARD DEVIATION 3YR 5YR
MBS ETF 8.77 6.92
Bloomberg U.S. MBS Index 8.58 6.69
SHARPE RATIO 3YR 5YR
MBS ETF -0.56 -0.28
Bloomberg U.S. MBS Index -0.62 -0.41
DISTRIBUTION OVERVIEW
Ex-DateRecord DatePayable DateOrdinary IncomeShort-Term Capital GainsLong-Term Capital GainsTotal Distribution
12/23/202412/23/202412/30/2024$0.209135$0.000000$0.000000$0.209135
12/02/202412/02/202412/06/2024$0.309801$0.000000$0.000000$0.309801
11/01/202411/01/202411/07/2024$0.191891$0.000000$0.000000$0.191891
10/01/202410/01/202410/07/2024$0.197857$0.000000$0.000000$0.197857
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
View Full History

Portfolio

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

Top Holdings (As of 12/24/2024)
% of Fund
Fannie Mae or Freddie Mac|2.5|01/14/2025, 2.50%, 01/14/25 19.75
Fannie Mae or Freddie Mac|3|01/14/2025, 3.00%, 01/14/25 10.10
Fannie Mae or Freddie Mac|3.5|01/14/2025, 3.50%, 01/14/25 9.34
Ginnie Mae|5|01/21/2025, 5.00%, 01/21/25 6.32
Fannie Mae or Freddie Mac|2|01/14/2025, 2.00%, 01/14/25 6.26
Ginnie Mae|4.5|01/21/2025, 4.50%, 01/21/25 4.91
Ginnie Mae|5.5|01/21/2025, 5.50%, 01/21/25 4.49
Fannie Mae Pool|5.5|11/01/2054, 5.50%, 11/01/54 4.25
Ginnie Mae|3|01/21/2025, 3.00%, 01/21/25 3.25
Fannie Mae REMICS|6.35682|12/25/2054, 6.36%, 12/25/54 3.21
View full holdings

Download

Portfolio Characteristics (As of 12/23/2024)
 
Number of Holdings
Debt Issues		 569
Portfolio Turnover Rate
(1-year trailing)		 44.57%
Weighted Average Maturity
(years)		 10.11
Effective Duration
(years)		 7.19
Yield to Worst
 5.82%
Sector Allocation % of Fund % of Fund As of 12/23/2024
Fixed Income country and/or regional weights primarily based on Bloomberg classifications.
Regional Allocation % of Fund % of Fund As of December 23, 2024
Credit Quality of Fixed Income Holdings % of Fund % of Fund As of December 23, 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 12/23/2024

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