FWDB: May 2020 Portfolio Review
Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. For the fund’s most recent standardized and month-end performance, please click www.advisorshares.com/etfs/fwdb.
FolioBeyond’s algorithm underlying the AdvisorShares FolioBeyond Smart Core Bond ETF (FWDB) returned +0.65% in May versus +0.47% for the Bloomberg Barclays U.S. Aggregate Bond Index (“AGG”). Over longer time periods, FWDB continues to outperform Morningstar’s US Fund Multisector Bond category as shown in the table below. Risk levels in the option markets continue to ratchet down with continued Fed intervention and slow renormalization of the economy. Consequently, the algorithm has gradually increased risk in short duration High Yield Credit and rate duration primarily in US Agency bonds.
PERFORMANCE SUMMARY FOR MAY 2020
|1-Month Return||YTD 2020 Return||1-Yr Return||3-Yr Return||5-Yr Return|
U.S. Aggregate Bond Index (“AGG”)
|Morningstar Multisector Bond Category Average||2.76%||-3.59%||0.61%||2.09%||2.76%|
|FWDB’s Morningstar Category Percentile Rank||—||—||18||21||18|
|# of Funds in Morningstar Multisector Bond Category||339||336||321||282||282|
Source: BNY Mellon, Morningstar.
Performance data quoted represents past performance and is no guarantee of future results. All Fund data and performance data quoted is believed to be accurate, and unless otherwise stated, is sourced from the Fund administrator, the Advisor’s or Sub-Advisor’s proprietary data, and Morningstar. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized.
Morningstar rankings are based on a fund’s average annual total return relative to all funds in the same Morningstar category. Fund performance used within the rankings, reflects certain fee waivers, without which, returns and Morningstar rankings would have been lower. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is 100.
Although information herein is believed to be reliable, FolioBeyond makes no representation or warranty as to its accuracy, and information and opinions reflected herein are subject to change at any time without notice. The past performance information presented herein is not a guarantee of future results.
The primary driver of returns in May was short duration High Yield Corporate Bonds, while other exposures were flattish to slightly positive. Given the backdrop of some distortions caused by Federal Reserve activity combined with uncertainly of the pace of economic recovery, FWDB’s fixed income algorithm should continue to provide an unbiased, optimized portfolio allocation based on daily updates of value and risk measures. As implied volatility levels fall closer to historical norms, the model will be able to increase allocations further to sectors that have not participated meaningfully in the initial rebound of certain credit products. Additionally, the momentum model embedded into the algorithm should capture technical aspects of price movements in the context of the overall optimization process.
|Ticker||Security Description||Portfolio Weight %|
|SHV||ISHARES SHORT TREASURY BOND||30.27%|
|AGZ||ISHARES AGENCY BOND ETF||27.61%|
|SJNK||SPDR BBG BARC ST HIGH YIELD||17.67%|
|SHY||ISHARES 1-3 YEAR TREASURY BO||12.64%|
|SHYG||ISHARES 0-5 YR HY CORP BOND||8.46%|
|TLH||ISHARES 10-20 YEAR TREASURY||3.04%|
As of 05.31.2020. Cash is not included.