HOLD: 1st Quarter 2021 Portfolio Manager 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/hold.
During the first quarter of 2021, the AdvisorShares Core Reserves (NYSE Arca: HOLD) returned 0.11% vs 0.02% on the Bloomberg Barclays 1-3 Month U.S Treasury Bill Index. The most recent dividend was 5.52 cents per share, for a Bloomberg indicated yield of 0.67%. The Bloomberg Barclays US Corporate 1-3 Year Average OAS was 6 basis-points wider on the quarter, ending at 0.41%.
During the second half of 2020 risk-assets did very well, driving spreads on both securitized products and corporate credit near historic tights. While short-dated spreads were relatively well-behaved in the first quarter of 2021, they did leak slightly wider.
Within the corporate credit sector, Industrials represent the largest portion of the fund at roughly 33%. During the first quarter it returned 18 basis-points. Some of the better performing positions include the QVCN 2023’s, TEVA 2021’s, and NGPLCO 2022’s, which returned 1.18%, 1.15%, and 0.55%. Some of the poorer performing positions were the Boston Scientific 2022’s, Occidental Petroleum 2022’s, and the Abbvie 2022’s which returned -0.40%, -0.28%, -0.06%.
Financial Institutions tracked Industrials very closely, returning 0.17% on the quarter. Among the better performing names were Aviation Capital 2021’s, and Air Lease 2022’s, which returned 1.03% and 0.41%. The Barclays 2023 floating rate position was one of the poorer performing positions, returning -.10%.
Within the securitized space, ABS also performed well, returning 0.11%.
|Security Description||Price $||Portfolio Weight %|
|US TREASURY N/B 1.375 1/31/2022||101.08||5.13%|
|US TREASURY N/B 1.125 2/28/2022||100.96||4.98%|
|US TREASURY N/B 1.25 10/31/2021||100.70||3.98%|
|US TREASURY N/B 1.75 11/30/2021||101.13||3.48%|
|AMERICAN EXPRESS CO FRN 5/20/2022||100.59||2.83%|
|VZOT 2019-A A1A 2.93 9/20/2023||101.37||2.76%|
|VMWARE INC 2.95 8/21/2022||103.15||2.50%|
|BANK OF AMERICA CORP 3.499 5/17/2022||100.37||2.47%|
|ARES CAPITAL CORP 3.625 1/19/2022||102.08||2.46%|
|AIR LEASE CORP 3.5 1/15/2022||102.27||2.23%|
As of 03.31.202. Cash is excluded.
|Portfolio Characteristics||Yield-to-Worst||Coupon||Maturity (Yrs)||Effective Duration|
|as of 03.31.2021||0.630||2.600||1.840||0.730|
As of 03.31.2021.
Source: Sage Advisory Services. Credit quality ratings are primarily sourced from Moody’s but in the event that Moody’s has not assigned a rating the Fund will use Standard & Poor’s (the “S&P”). If these ratings are in conflict the most conservative rating will be used. If none of the major rating agencies have assigned a rating the Fund will assign a rating of NR (non-rated security). The ratings represent their (Moody’s and S &P) opinions as to the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality. The credit ratings are published rankings based on detailed financial analyses by a credit bureau specifically as it relates the bond issue’s ability to meet debt obligations. The highest rating is Aaa, and the lowest is D. Securities with credit ratings of Bbb and above are considered investment grade.
Recent Headlines / Looking Ahead
The first quarter of 2021 marked a dramatic shift in the rates market. Long-end Treasury yields rose as the market anticipated increased Treasury issuance in the face of stimulus and infrastructure deals. This coincided with improving economic data which caused the market to begin pricing in rate hikes sooner than had previously been anticipated. This caused the Treasury curve to bear-steepen, with the long end of the curve over 75 basis-points higher, and the belly of the curve over 50 basis-points higher. The front-end of the curve continues to be pinned near zero and will likely remain there for some time. With the most recent jobs number coming in exceptionally strong, and the vaccine rollout continuing to be effective, there is a lot of economic optimism. However the rates market will likely remain volatile while discussions remain focused on the timing of Fed rate hikes and purchase tapers.