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Trending ETFs

FolioBeyond Alternative Income and Interest Rate Hedge ETF

Active ETF
RISR
Payout Change
Pending
Price as of:
$35.4879 -0.21 -0.59%
primary theme
N/A
RISR (ETF)

FolioBeyond Alternative Income and Interest Rate Hedge ETF

Payout Change
Pending
Price as of:
$35.4879 -0.21 -0.59%
primary theme
N/A
RISR (ETF)

FolioBeyond Alternative Income and Interest Rate Hedge ETF

Payout Change
Pending
Price as of:
$35.4879 -0.21 -0.59%
primary theme
N/A

Name

As of 11/07/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$35.49

$52.9 M

6.06%

$2.16

1.13%

Vitals

YTD Return

19.5%

1 yr return

13.0%

3 Yr Avg Return

19.2%

5 Yr Avg Return

N/A

Net Assets

$52.9 M

Holdings in Top 10

46.8%

52 WEEK LOW AND HIGH

$35.7
$30.90
$35.74

Expenses

OPERATING FEES

Expense Ratio 1.13%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

N/A

IRA

N/A


Fund Classification

Fund Type

Exchange Traded Fund


Name

As of 11/07/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$35.49

$52.9 M

6.06%

$2.16

1.13%

RISR - Profile

Distributions

  • YTD Total Return 19.5%
  • 3 Yr Annualized Total Return 19.2%
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 6.1%
  • Dividend Distribution Frequency Monthly

Fund Details

  • Legal Name
    FolioBeyond Alternative Income and Interest Rate Hedge ETF
  • Fund Family Name
    N/A
  • Inception Date
    Sep 30, 2021
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Yung Lim

Fund Description

The Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to generate attractive current income while providing protection against rising interest rates (i.e., an interest rate hedge). The Fund invests primarily in interest-only mortgage-backed securities (“MBS IOs”) and U.S. Treasury bonds. Under normal circumstances, the Fund will invest at least 80% of its net assets (plus any borrowings for investment purposes) in income producing fixed income securities.

Mortgage-backed securities (“MBS”) are fixed-income instruments that represent an interest in a pool of mortgages. Stripped MBS also represent interest in a pool of mortgages, the cash flow from which has been separated into interest and principal components. MBS IOs represent the interest portion of the MBS. To provide an interest rate hedge, the Fund seeks to achieve a general duration target of approximately negative three to negative ten years (the “Duration Target Range”).

“Duration” is a measure of the relationship between interest rates and price for a fixed income security. Positive duration refers to a relationship whereby prices decline as interest rates rise, while negative duration refers to a relationship whereby prices increase as interest rates rise. MBS IOs typically exhibit negative duration.
In the Duration Target Range, the market value of the Fund’s holdings is projected to increase as interest rates rise, which provides protection against falling valuations of most fixed income instruments. In general, at the low end of the Duration Target Range (i.e., negative 3 years), a one basis point (0.01%) increase in interest rates would lead to an approximately three basis point increase in the portfolio’s value, while a one basis point decrease in interest rates would cause an approximately three basis point decrease in the portfolio’s value. Similarly, at the high end of the Duration Target Range (i.e., negative 10 years), a one basis point (0.01%) increase in interest rates would lead to an approximately ten basis point increase in the portfolio’s value, while a one basis point decrease in interest rates would cause an approximately ten basis point decrease in the portfolio’s value.

  

The Fund considers MBS IOs as providing “alternative income” because they are not traditional fixed income securities (e.g., corporate bonds or municipal bonds) and, unlike traditional fixed income securities, the holders of MBS IOs are not entitled to receive any principal payments. MBS IOs generate income by collecting and distributing interest payments from a pool of mortgages to investors (such as the Fund), without including any of the principal repayments.

MBS IOs may benefit when interest rates are rising as the rate at which borrowers prepay or refinance their mortgages tends to decrease. During a rising interest rate environment, income from MBS IOs may remain steadier when compared to flat or falling interest rate environments. Further, in a rising interest rate environment, the market value of MBS IOs may increase due to slower prepayments and, as a result, interest cash flows received by MBS IOs on the aggregate mortgage principal balance generally decline more slowly.

Conversely, when interest rates are falling, the rate at which borrowers prepay or refinance their mortgages tends to increase. As a result, the income from MBS IOs may decline and the market value of MBS IOs may decrease, which will result in a decline in MBS IO valuations. The Fund’s portfolio is structured such that a potential decline in MBS IO valuations may be partially offset by gains in the Fund’s U.S. Treasury positions, which have a positive duration, as discussed further below. In this scenario, the Fund’s portfolio will likely be rebalanced to bring the overall duration in line with the Duration Target Range, which will generally involve selling the U.S. Treasury positions and increasing the Fund’s holdings of MBS IOs. The Fund intends to invest solely in MBS IOs that are issued or guaranteed by the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac) or the Government National Mortgage Administration (Ginnie Mae). These securities are referred to as “agency MBS.” Ginnie Mae securities and are backed by the full faith and credit of the U.S. government. Fannie Mae and Freddie Mac securities are guaranteed as to payment of principal and interest by Fannie Mae and Freddie Mac, that are in turn backed by a line of credit with the U.S. Treasury. It should be noted, however, that in the case of MBS IOs, a default by an underlying borrower, will have the same effect as a voluntary prepayment (i.e., it will reduce the balance of the underlying mortgage pool, thereby reducing the market value of the MBS IO, notwithstanding such guarantee).

The Fund’s investment sub-adviser (“FolioBeyond” or the “Sub-Adviser”) will determine the Fund’s overall asset allocation of the portfolio by analyzing the relative value of MBS IOs and constructing a core portfolio of MBS IOs with various coupon payments and other loan attributes. These loan attributes will include geography, loan purpose (purchase or refinancing), and loan size, among other factors that the Sub-Adviser analyzes as the most favorable to protect against rising interest rates. FolioBeyond will utilize U.S. Treasury securities, through either direct investment or through investments in ETFs, to rebalance the Fund’s portfolio to protect against falling interest rates by providing some offsetting positive duration to the portfolio, as U.S. Treasury holdings with a positive duration will offset the negative duration of MBS IO holdings. Generally, the MBS IO portion of the Fund’s portfolio is likely to have negative duration exceeding -10 years while the positive duration of the Fund’s U.S. Treasury holdings will have the effect of bringing the Fund’s overall portfolio duration to be less negative (e.g., a certain percentage of the Fund’s portfolio with -15 year duration MBS IO portfolio holdings can be combined with a percentage of the Fund’s portfolio with +10 year duration Treasury bonds to achieve the Target Duration of -10 years). The allocation ratio between MBS IOs and U.S. Treasuries will vary depending on relative value relationships, including historical yield levels compared to other financial assets, volatility and other risk measures (as determined by the Sub-Adviser), macro-environment determinants, such as inflation and economic growth, and other factors that FolioBeyond evaluates to be relevant.

To achieve its Duration Target Range, the Fund may also invest, to a lesser extent, in MBS coupon swaps and MBS inverse IOs (“Inverse IOs”). The Fund may also purchase options on bonds or swaps to mitigate the risk of downward movement in interest rates. MBS coupon swaps are transactions that involve the sale of one MBS and the simultaneous purchase of another MBS, which may be with different agencies and have different coupon payments. MBS inverse IOs are also funded through interest only payments, however, an inverse IO is a leveraged position and the payment received is adjusted based on the current level of a floating interest rate. Inverse IOs are created from a structured collateralized mortgage obligation (“CMO”) where the coupon formula is determined based on the difference between the underlying CMO tranche coupon and a floating rate (e.g., 1-month LIBOR), subject to a floor. The resulting coupon payment is based on the principal balance of the underlying CMO tranche. An Inverse IO, therefore, will exhibit a combination of its coupon rate declining as short-term interest rates rise (and vice versa for falling short-term interest rates) along with sensitivity to prepayments as the present value of interest cash flows will increase as prepayments decline (and vice versa for rising prepayment rates). Since both prepayment and yield curve components increase the risk of Inverse IOs, they will be utilized infrequently and only when valuations are determined by the Sub-Adviser to be attractive. An option on a bond or swap gives the holder the right to receive, upon exercise of the option, an amount of cash if the closing value of the underlying bond or swap is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option.

The Sub-Adviser performs both top-down and security-specific analysis. The Sub-Adviser makes buy and sell decisions for the Fund based on a multi-factor optimization model that provides broad asset allocation guidance while specific bond analysis will be performed for security selection. Rebalancing of the MBS IOs portion of the portfolio will generally be less frequent while the U.S. Treasury portion will be more actively rebalanced as required, depending on changes in interest rates.

The Fund is deemed to be non-diversified under the Investment Company Act of 1940, as amended (the “1940 Act”), which means that it may invest a greater percentage of its assets in the securities of a single issuer or a smaller number of issuers than if it was a diversified fund.

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RISR - Performance

Return Ranking - Trailing

Period RISR Return Category Return Low Category Return High Rank in Category (%)
YTD 19.5% -21.8% 17.7% 0.14%
1 Yr 13.0% -26.4% 18.0% N/A
3 Yr 19.2%* -29.6% 52.0% N/A
5 Yr N/A* -33.0% 28.7% N/A
10 Yr N/A* -27.0% 12.7% N/A

* Annualized

Return Ranking - Calendar

Period RISR Return Category Return Low Category Return High Rank in Category (%)
2023 -0.9% -31.8% 18.4% N/A
2022 26.4% -14.3% 103.5% N/A
2021 N/A -20.2% 60.6% N/A
2020 N/A -13.4% 10.9% N/A
2019 N/A -12.3% 4.1% N/A

Total Return Ranking - Trailing

Period RISR Return Category Return Low Category Return High Rank in Category (%)
YTD 19.5% -21.8% 28.6% 0.14%
1 Yr 13.0% -26.4% 38.5% N/A
3 Yr 19.2%* -29.6% 52.0% N/A
5 Yr N/A* -33.0% 29.9% N/A
10 Yr N/A* -27.0% 16.1% N/A

* Annualized

Total Return Ranking - Calendar

Period RISR Return Category Return Low Category Return High Rank in Category (%)
2023 7.0% -31.8% 18.4% N/A
2022 32.0% -14.3% 103.5% N/A
2021 N/A -20.2% 60.6% N/A
2020 N/A -13.4% 10.9% N/A
2019 N/A -12.3% 4.7% N/A

RISR - Holdings

Concentration Analysis

RISR Category Low Category High RISR % Rank
Net Assets 52.9 M 100 124 B 80.46%
Number of Holdings 57 2 8175 85.34%
Net Assets in Top 10 26.9 M -1.57 B 20.5 B 64.87%
Weighting of Top 10 46.79% 4.3% 100.0% 27.15%

Top 10 Holdings

  1. Government National Mortgage Association 8.96%
  2. First American Government Obligations Fund 8.10%
  3. Government National Mortgage Association 5.47%
  4. Government National Mortgage Association 5.41%
  5. Freddie Mac REMICS 3.43%
  6. Freddie Mac REMICS 3.27%
  7. Government National Mortgage Association 3.09%
  8. Government National Mortgage Association 3.04%
  9. Government National Mortgage Association 3.03%
  10. Freddie Mac REMICS 2.99%

Asset Allocation

Weighting Return Low Return High RISR % Rank
Bonds
90.17% -150.81% 188.92% 22.27%
Cash
9.83% -261.12% 258.91% 57.81%
Stocks
0.00% -38.22% 261.12% 68.33%
Preferred Stocks
0.00% 0.00% 31.88% 53.67%
Other
0.00% -25.82% 276.99% 36.65%
Convertible Bonds
0.00% 0.00% 33.50% 85.20%

Bond Sector Breakdown

Weighting Return Low Return High RISR % Rank
Cash & Equivalents
8.10% 0.00% 100.00% 67.22%
Derivative
0.00% 0.00% 72.98% 61.53%
Securitized
0.00% 0.00% 99.65% 1.81%
Corporate
0.00% 0.00% 100.00% 94.86%
Municipal
0.00% 0.00% 54.26% 40.69%
Government
0.00% 0.00% 99.43% 77.36%

Bond Geographic Breakdown

Weighting Return Low Return High RISR % Rank
US
90.17% -151.11% 194.51% 4.15%
Non US
0.00% -136.75% 90.11% 95.30%

RISR - Expenses

Operational Fees

RISR Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.13% 0.01% 6.46% 50.00%
Management Fee 0.99% 0.00% 2.29% 80.48%
12b-1 Fee N/A 0.00% 1.00% 1.76%
Administrative Fee N/A 0.00% 0.70% N/A

Sales Fees

RISR Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 0.00% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

RISR Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 0.50% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

RISR Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A 0.00% 496.00% N/A

RISR - Distributions

Dividend Yield Analysis

RISR Category Low Category High RISR % Rank
Dividend Yield 6.06% 0.00% 17.29% 83.42%

Dividend Distribution Analysis

RISR Category Low Category High Category Mod
Dividend Distribution Frequency Monthly Monthly Monthly Monthly

Net Income Ratio Analysis

RISR Category Low Category High RISR % Rank
Net Income Ratio N/A -1.55% 11.51% N/A

Capital Gain Distribution Analysis

RISR Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually

Distributions History

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RISR - Fund Manager Analysis

Managers

Yung Lim


Start Date

Tenure

Tenure Rank

Sep 30, 2021

0.67

0.7%

Mr. Lim serves as Chief Executive Officer and Co-Chief Investment Officer of FolioBeyond since December 2017. Mr. Lim also co-founded and serves as Managing Partner of Treesdale Partners, LLC, a fixed income fund of hedge funds, since 2002. Lim co-founded Treesdale Partners, LLC in 2002 and hold the position of Managing Partner. He founded Pedestal in 1997 and served as CEO and Chairman. Lim was also a senior consultant for Andrew Davidson & Co from July 1992 to February 1997. Lim also worked with Merrill Lynch from 1987 to 1992 and served as vice president of risk management. He holds a MBA from The University of Chicago Booth School of Business and BS in Electrical Engineering from the California Institute of Technology.

Michael Venuto


Start Date

Tenure

Tenure Rank

Sep 30, 2021

0.67

0.7%

Mr. Venuto is a co-founder and has been the Chief Investment Officer of the Toroso Investments, LLC since 2012. Mr. Venuto is an ETF industry veteran with over a decade of experience in the design and implementation of ETF-based investment strategies. Previously, he was Head of Investments at Global X Funds where he provided portfolio optimization services to institutional clients. Before that, he was Senior Vice President at Horizon Kinetics where his responsibilities included new business development, investment strategy and client and strategic initiatives.

Charles Ragauss


Start Date

Tenure

Tenure Rank

Sep 30, 2021

0.67

0.7%

Mr. Ragauss currently serves as Director of Product Management at CSat Investment Advisory, having joined the it in April 2016. Prior to joiningCSat Investment Advisory, Mr. Ragauss was Assistant Vice President at Huntington National Bank (“Huntington”), where he was Product Manager for the Huntington Funds and Huntington Strategy Shares ETFs, a combined fund complex of almost $4 billion in assets under management. At Huntington, he led ETF development bringing to market some of the first actively managed ETFs. Mr. Ragauss joined Huntington in 2010. Mr. Ragauss attended Grand Valley State University where he received his Bachelor of Business Administration in Finance and International Business, as well as a minor in French. He is a member of both the National and West Michigan CFA societies and holds the CFA designation.

Dean Smith


Start Date

Tenure

Tenure Rank

Sep 30, 2021

0.67

0.7%

Mr. Smith serves as Chief Strategist of FolioBeyond since December 2017. Mr. Smith also founded and serves as Principal of Stonehenge Financial Partners, LLC since 1996. Mr. Smith is also an adjunct professor of finance for the College of Charleston. Mr. Smith currently serves on the College of Charleston Business School Department Finance Advisory Board. He holds a BA from the University of California and an MA in Economics from Columbia University. He has been a Portfolio Manager to the Fund since its inception in 2021.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 28.19 5.64 3.19