MENV - AdvisorShares North Square McKee ESG Core Bond ETF

Alpha Potential and ESG in Your Bond Fund

MENV seeks to outperform the Bloomberg U.S. Aggregate Bond Index while investing in issuers with positive environmental, social, and corporate governance characteristics

Symbol Exchange Inception Date CUSIP Indicative NAV
MENV NYSE Arca 6/20/2011 00768Y834 MENV.NV
<strong>What does MENV invest in?</strong>

The AdvisorShares North Square McKee ESG Core Bond ETF (NYSE Arca: MENV) is actively managed and seeks to outperform the Bloomberg U.S. Aggregate Bond Index’s (“AGG”) price and yield performance while also investing in issuers with positive environmental, social, and corporate governance (“ESG”) characteristics. MENV invests in a broad range of U.S. dollar-denominated fixed income securities, including investment grade corporate debt, mortgage- or asset-backed, and government securities. MENV’s relies on a proprietary ESG assessment model – the “Holistic Stakeholder Score”– which looks to provide an unbiased evaluation of a company’s actions and dedication to sustainable practices. The Holistic Stakeholder Score is determined using a comprehensive multi-phase, quantitatively-driven process. It examines a company’s corporate actions and policies, reporting transparency, ESG-related improvements over time, and alignment with the UN’s Principles for Responsible Investment (“PRI”) Sustainable Development Goals (“SDGs”).

<strong>Why Invest in MENV?</strong>
  • Responsible Investing with ESG Fixed Income – MENV’s goal is to offer fixed income exposure while also making a positive ESG impact. The proprietary ESG model used by MENV employs a variety of data sources, reviews multiple factors, and seeks to arrive at an unbiased ESG assessment of each issuer within its investment universe.
  • Experienced Fixed Income Team – MENV’s sub-advisor, CS McKee, has been providing fixed income solutions to the institutional marketplace since 1972. MENV’s portfolio management team has worked together for over 20 years and have a combined 97 years in the investment industry.
  • Active Fixed Income – MENV’s portfolio team actively manages the portfolio seeking to add alpha through security selection of undervalued issuers, sector allocation and active risk management. Additionally, MENV expands the U.S. Government investment universe beyond traditional AGG sectors in an effort to to add yield potential without extending credit risk.
<strong>Where can MENV fit in a portfolio?</strong>

MENV can serve as alpha-seeking core bond position that also emphasizes ESG investing. 

<strong>Key Attributes</strong>
  • High Quality Liquid Portfolio – MENV’s portfolio managers seek to deliver consistent risk-adjusted performance greater than benchmark while maintaining investment grade credit quality and liquidity in the portfolio.
  • Risk-Controls – MENV’s portfolio team use quantitative and qualitative measures in an effort to maximize returns under managed levels of risk; monitor risk at both a sector and portfolio level; and analyze traditional measures to manage interest rate risk and to capture yield.
  • Portfolio Diversification – MENV seeks to add diversification among security types and U.S. Government issuers to help reduce risk.
  • Emphasis on Largest Issuers – Due to a combination of fundamental and ESG factors, MENV’s corporate bond holdings will be more greatly weighted towards the top issuers of corporate debt, who tend to exhibit higher quality and sustainability characteristics.
<strong>What Does ESG Mean in MENV</strong>

CS McKee’s proprietary ESG assessment model – the “Holistic Stakeholder Score” – looks to provide an unbiased, comprehensive evaluation of a company’s actions and dedication to sustainable practices. It is calculated on a monthly basis.

  • Evaluates the holistic sustainability of a company relative to its ESG positioning, focusing on
    • Company actions, sustainable metrics, and policies
    • Evaluations of trusted third-party evaluation entities
    • ESG-related improvements over time
    • Alignment with UN PRI SDGs
  • Relies on both internal calculations and external scoring and assessment and relies on multiple sources of data from trusted providers to try to eliminate bias
  • Employs a process-driven approach that is focused heavily on quantitative analysis, but does incorporate adjustments for qualitative factors
  • Apply ESG “materiality” weighting by industry (i.e., environmental factors are more important in the Oil & Gas industry than the Asset Management industry, which would place greater importance on governance)
  • Companies that achieve a minimum score in overall ranking are included in the investable universe
  • If a company’s score is no longer favorable, portfolio adjustments will be made on a timely basis when it is beneficial to shareholders
<strong>About the Portfolio Manager</strong>

Brian S. Allen, CFA | Senior Vice President and Portfolio Manager, Fixed Income
Mr. Allen is primarily responsible for investment decisions related to the mortgage-backed and asset-backed sectors. He also provides input to the sector allocation, duration and yield-curve decisions. Before joining C.S. McKee, Mr. Allen managed fixed income funds for institutional clients at Patterson Capital Corporation in Los Angeles. There he also directed research on mortgage-backed, asset- backed and other fixed income securities. He has also served as an equity and fixed income manager at C&S/Sovran Trust Company.

Bryan R. Johanson, CFA | Senior Vice President and Portfolio Manager, Fixed Income
Mr. Johanson’s primary responsibility is security selection with the corporate sector. He also provides input to the sector allocation, duration and yield-curve decisions. Mr. Johanson has been in the investment business since 1988 and with C.S. McKee since 1994. Prior to joining the firm, he managed mortgage-backed and asset-backed securities with a wholesale bank.

Jack P. White, CFA |Senior Vice President and Portfolio Manager, Fixed Income
Mr. White is responsible for investment decisions related to the government and structured securities. He also provides input into the sector allocation, duration and yield curve decisions. Before joining C.S. McKee, he was a consultant providing primary and secondary market research and analysis to business clients.

Andrew Faderewski, CFA | Vice President and Portfolio Manager, Fixed Income
Mr. Faderewski is currently responsible for macroeconomic and quantitative research, corporate sector trading, and TIPS analysis. He also shares the responsibility of authoring the firm’s periodic outlooks. Since joining C.S. McKee, Mr. Faderewski has served as a portfolio accountant and fixed income research analyst.

Fund

Price History

As of 12/1/2021

NAV $25.83 Closing Price $25.82
Change $0.00 Close Change $0.08
Shares Outstanding 145,000 Volume 1003
4PM Bid/Offer Midpoint $25.82 Premium Discount $-0.01
Assets Under Management $3,745,574.73 30-Day Median bid-ask Spread 0.5055415
Premium/Discount Historical Data | NAV Historical Data | Daily Premium/Discount Historical Data
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.

FUND

Characteristics

As of 11/1/2021

MENV Sector Allocation

Source: Bloomberg & AdvisorShares

FUND

Performance

As of 10/31/2021

  NAV Market Price Return Barclays Capital Aggregate Bond Index
1 Month -0.12 -0.07 -0.03
3 Months -0.52 -0.47 -1.08
YTD -0.13 -0.22 -1.58
1 Year 2.96 2.8 -0.48
3 Years 4.28 4.26 5.63
5 Years 3.39 3.37 3.1
10 Years 3.33 3.28 3
Since Inception (6/20/2011, Annualized) 3.43 3.42 3.22

As of 9/30/2021

  NAV Market Price Return Barclays Capital Aggregate Bond Index
1 Month -0.44 -0.44 -0.87
3 Months 0.37 0.25 0.05
YTD -0.01 -0.15 -1.55
1 Year 2.86 2.77 -0.9
3 Years 3.77 3.74 5.36
5 Years 3.18 3.16 2.94
10 Years 3.6 3.56 3.01
Since Inception (6/20/2011, Annualized) 3.47 3.46 3.25

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.

The Fund’s objective and strategies changed effective November 1st, 2021. Fund performance prior to November 1st, 2021 reflects the investment objective and strategy of the Fund when it was the AdvisorShares FolioBeyond Smart Core Bond ETF (FWDB). The primary changes to the Fund’s principal investment strategies were that (1) the Fund will no longer be a fund of funds, but instead will invest in fixed income securities directly, and (2) the Fund’s portfolio is now managed with a view to environmental, social, and corporate governance (ESG) factors.

Fund

Holdings

As of

Excel    CSV

Holdings and allocations are subject to risks and to change. A holding identified with an “MM” at the end of its name indicates it is a Money Market fund.

FUND

Fees & Expenses

Management Fee 0.24%
Other Expenses 1.65%
Total Annual Operating Expenses 1.89%
Fee Waiver and/or Expense Reimbursement -1.42%
Total Annual Operating Expenses After Fee Waiver/Expense Reimbursement 0.47%

*The Advisor has contractually agreed to keep net expenses from exceeding 0.47% of the Fund’s average daily net assets for at least one year from the date of the prospectus and for successive one-year periods thereafter unless the agreement is terminated. This agreement is limited to the Fund’s direct operating expenses and, therefore, does not apply to “Acquired Fund Fees and Expenses.”

Last Ten

Fund Distributions