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.

Commentary

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
FWDB (NAV) 0.65% -1.33% 4.39% 3.44% 3.70%
Bloomberg Barclays
U.S. Aggregate Bond Index (“AGG”)
0.47% 5.47% 9.42% 3.94% 3.70%
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. 

Top Holdings

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.

Respectfully,

Yung Lim
CEO of FolioBeyond
AdvisorShares FolioBeyond Smart Core Bond ETF (FWDB) Research Strategist

 

 


Before investing you should carefully consider the Fund’s investment objectives, risks, charges and expenses. This and other information is in the prospectus, a copy of which may be obtained by visiting www.advisorshares.com. Please read the prospectus carefully before you invest. Foreside Fund Services, LLC, distributor.

There is no guarantee that the Fund will achieve its investment objective. An investment in the Fund is subject to risk, including the possible loss of principal amount invested. ETNs have a maturity date and generally, are backed only by the creditworthiness of the issuer. The value of an ETN may be influenced by time to maturity, level of supply and demand for the ETN, volatility and lack of liquidity in the underlying market (e.g., the commodities market), changes in applicable interest rates, and changes in the issuer’s credit rating and economic, legal, political or geographic events that affect the market. Other Fund risks include market risk, equity risk, early closing risk, liquidity risk and trading risk. The Fund will be subject to the risks associated the Underlying ETFs’ or ETP’s investments such as commodity risk, concentration risk, credit risk, fixed income risk, high yield risk, income risk, interest rate risk, and investment risk.

Shares are bought and sold at market price (closing price) not NAV and are not individually redeemed from the Fund. Market price returns are based on the midpoint of the bid/ask spread at 4:00 pm Eastern Time (when NAV is normally determined), and do not represent the return you would receive if you traded at other times. 

Holdings and allocations are subject to risks and change.

The views in this commentary are those of the portfolio manager and many not reflect his views on the date this material is distributed or any time thereafter. These views are intended to assist shareholders in understanding their investments and do not constitute investment advice.