CEF Advisors

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06. Taxable Bond & BDC Index

Data as of Feb. 17, 2017

About the Index

Funds need to have 90-day average trading dollar ($) liquidity over $500K and then ranked the top 50% of the constituent funds by their respective 90-day average trade liquidity (with a minimum of 2 funds per group; if needed, a lower average trading’s liquidity may be used) for the 13 groupings of CEFs according to CEFData.com: (1) Build America Bond (taxable municipals or BABs), (2) Convertible Bonds, (3) Emerging Market Income, (4) Global Income, (5) High Yield, (6) Investment Grade, (7) Limited Duration, (8) Senior Loan, (9) Mortgage, (10) Multi-Sector, (11) Preferred, (12) US Government Bonds, (13) Debt-Focused Business Development Companies (BDCs). We will combine levered and non-levered groupings to create one larger grouping. Each sector is then equal weighted into the index. The index constituents will be rebalanced each quarter.

Index Performance

Current($) Previous Day(%) 1 Week(%) 1 Month(%) 3 Month(%) 6 Month(%) 1 Year(%) 3 Year(%) 5 Year(%) MTD(%) QTD(%) YTD(%)
Price 1,038.33 0.25 -0.35 2.25 7.95 3.29 26.20 6.13 6.42 0.95 3.83 3.83
NAV 1,072.80 0.01 -0.12 1.23 3.78 3.03 16.88 5.64 7.19 0.60 2.06 2.06
Diference -0.24 0.23 -1.02 -4.17 -0.26 -9.32 -0.49 0.77 -0.35 -1.78 -1.78
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,051.18
2017 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 Jul Aug Sep Q3 Oct Nov Dec Q4 2017
Price 2.86 - - - - - - - - - - - - - - - -
NAV 1.45 - - - - - - - - - - - - - - - -

Performance Chart

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Discount

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Characteristics

PORTFOLIO
Weighted Average Data
Discount
-2.26%
1Yr Disc
-4.43%
3Yr Disc
-5.79%
5Yr Disc
-3.41%
Rel Disc Range (3yr)
73.42%
Mkt Yield
7.83%
Lev Adj NAV Yield
6.00%
After Tax Yield*
6.19%
Est Tax Friction*
1.64%
1 Yr RoC
15.12%
3 Yr Dest RoC
9.27%
Leverage
28.52%
Non Lev Exp Ratio
1.56%
3Yr NAV Volatiliy
5.84
Equity Exposure
1.49%
Bond Exposure
92.28%
# Holdings
85
Cash Weighted Duration
4.68
Beta (2yr)
0.25
Comp NAV TR
0.46%
Comp Discount
1.69%
Net Assets (M)
832
Liquidity - 90d (K)
3,342
* Based on marginal tax rates of 25% and long-term capital gains rates of 15%.

Asset Allocation

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Asset Allocation as reported by each fund's sponsor as of the last reporting period.

Constituents


85 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
BBN BR Taxable Muni BndTr BlackRock 3.80 -2.98 7.14 0.00 36.17 1,304 4,782
NBB Nuv Bld Amrc Bnd Fd Nuveen 3.72 -4.67 5.99 0.00 28.57 572 1,891
CHI Calamos Convt Opp & Incm Calamos 2.02 -1.36 10.45 59.12 28.20 774 4,075
CHY Calamos Convt & Hi Incm Fd Calamos 2.00 -3.17 10.62 54.04 28.35 847 3,036
NCV AG Convt & Incm Fd Allianz 2.02 0.58 11.34 0.00 37.15 603 2,909
CCD Calamos Dyn Convt & Incm Fd Calamos 2.05 -5.04 10.42 63.91 28.53 494 1,861
EMD WA Emrg Mkt Dbt Fd Legg Mason 2.59 -12.05 7.83 44.81 22.12 1,059 4,282
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.65 -9.84 9.35 75.68 32.98 573 2,202
TEI Tmp Emrg Mkt Incm Fd Franklin 2.62 -8.82 6.91 50.00 0.00 610 1,907
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.57 -10.46 8.61 43.98 30.10 1,380 5,017
GIM Tmp Glbl Incm Fd Franklin 1.52 -11.16 3.03 28.43 0.00 998 2,497
JGH Nuv Glbl Hi Incm Fd Nuveen 1.56 -8.91 8.64 1.62 28.04 425 1,427
MIN MFS Imd Incm Tr MFS 1.46 -6.26 9.14 77.54 0.00 545 1,458
RCS PIMCO Stgc Incm Fd PIMCO 1.57 20.52 9.37 16.76 28.55 324 1,375
PHK PIMCO Hi Incm Fd PIMCO 0.55 33.03 11.03 16.66 27.52 842 6,155
HYT BR Corp Hi Yld Fd BlackRock 0.58 -9.25 7.64 0.00 27.58 1,531 4,740
GHY Pru Glbl Srt Dur Hi Yld Fd Prudential 0.57 -9.66 8.02 0.00 29.60 678 2,610
ISD Pru Srt Dur Hi Yld Fd Prudential 0.58 -6.91 7.87 0.00 26.86 558 2,168
DSU BR Dbt Stgs Fd BlackRock 0.58 -8.56 6.55 0.00 29.20 779 2,248
HIO WA Hi Incm Opp Fd Legg Mason 0.59 -8.90 7.15 2.41 0.00 726 2,541
FSD FT Hi Incm Lng/Srt Fd First Trust 0.60 -6.80 7.83 0.00 20.25 637 2,369
EAD WF Incm Opp Fd Wells Fargo 0.58 -7.69 9.58 0.00 26.30 652 2,446
HIX WA Hi Incm Fd II Legg Mason 0.59 -6.09 8.69 2.23 26.80 665 1,915
EHI WA Glbl Hi Incm Fd Legg Mason 0.59 -10.13 8.98 8.24 25.04 504 1,760
BGH Barings Glbl Srt Dur Hi Yld Fd Barings 0.60 -6.28 9.20 0.00 25.14 428 1,753
HYI WA Hi Yld Dfin Opp Fd Legg Mason 0.58 -9.16 7.90 0.25 0.00 383 1,190
ACP Avenue Incm Cr Stgs Fd Avenue Capital 0.60 -9.51 10.22 6.02 29.94 204 1,401
PTY PIMCO Corp & Incm Opp Fd PIMCO 2.68 10.49 10.14 0.00 44.40 999 4,847
PCN PIMCO Corp & Incm Stgy Fd PIMCO 2.65 8.41 8.59 0.00 20.49 565 1,730
IGI WA Inv Grd Dfin Opp Tr Legg Mason 2.54 1.80 5.17 0.00 0.00 222 931
EVV EV Ltd Dur Incm Fd Eaton Vance 2.57 -6.15 7.33 10.95 35.98 1,757 5,510
BLW BR Ltd Dur Incm Tr BlackRock 2.56 -6.59 6.63 0.00 29.17 624 1,797
ERC WF Mlt-Sctr Incm Fd Wells Fargo 2.55 -8.37 9.43 9.90 27.50 589 1,790
JQC Nuv Cr Stgs Incm Fd Nuveen 0.57 -6.06 7.13 0.00 35.65 1,276 5,360
JFR Nuv Flt Rt Incm Fd Nuveen 0.60 2.54 6.69 0.00 34.92 651 4,116
VTA Invsc Dyn Cr Opp Fd Invesco 0.58 -6.05 6.86 0.64 30.00 980 4,035
BGB B/GSO Stgc Cr Fd Blackstone 0.59 -7.07 7.92 0.00 36.01 764 4,427
VVR Invsc Sr Incm Tr Invesco 0.58 -4.89 6.04 6.22 28.30 884 3,575
FIV FT Sr Flt Rt 2022 Tgt Trm Fd First Trust 0.57 2.55 4.97 N/A 12.02 351 1,114
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.59 7.15 6.72 0.00 34.86 452 3,342
EFT EV Flt-Rt Incm Tr Eaton Vance 0.58 -2.52 5.65 0.00 34.70 617 2,999
PPR Voya Prime Rt Tr Voya 0.57 -3.99 5.85 0.00 28.62 853 2,842
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.58 -2.20 4.99 0.00 27.87 559 3,273
EFR EV Sr Flt-Rt Tr Eaton Vance 0.59 0.07 5.94 0.00 34.70 558 2,223
BGT BR Flt Rt Incm Fd BlackRock 0.59 0.00 4.83 0.00 27.09 343 1,515
BSL B/GSO Sr Flt Rt Trm Fd Blackstone 0.58 2.70 6.39 0.00 32.82 270 1,213
RA Brkf Real Ast Incm Fd Brookfield 2.57 -9.36 10.36 0.00 22.82 928 3,542
DMO WA Mortg Dfin Opp Fd Legg Mason 2.55 11.72 12.12 0.00 32.01 217 1,659
JLS Nuv Mortg Opp Trm Fd Nuveen 2.52 -4.42 5.57 4.77 26.70 406 838
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.84 -4.59 9.58 0.00 45.42 2,957 13,622
DSL DbLin Incm Solutions Fd Doubleline 0.88 -5.47 8.98 0.22 26.58 2,150 9,714
PDI PIMCO Dyn Incm Fd PIMCO 0.84 7.03 9.44 0.00 47.27 1,218 6,596
BTZ BR Cr Alloc Incm Tr BlackRock 0.83 -9.47 6.46 5.31 25.05 1,561 4,188
DBL DbLin Opportunistic Cr Fd Doubleline 0.84 5.81 8.60 2.59 15.50 327 2,774
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.84 -7.11 6.55 0.00 44.83 1,188 2,889
BIT BR Mlt-Sctr Incm Tr BlackRock 0.86 -8.32 8.15 0.00 38.00 719 2,825
BHK BR Core Bnd Tr BlackRock 0.84 -7.38 5.86 0.10 29.89 775 1,917
PFN PIMCO Incm Stgy Fd II PIMCO 0.86 -0.41 9.78 0.00 23.76 583 2,062
JPS Nuv Qlty Pref Incm Fd 2 Nuveen 1.09 -2.06 7.81 0.00 32.39 1,983 7,004
FPF FT Imd Dur Pref & Incm Fd First Trust 1.10 -2.21 8.33 0.00 30.72 1,455 4,738
JPC Nuv Pref Incm Opp Fd Nuveen 1.08 -4.51 7.71 0.00 28.73 1,011 3,329
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.11 1.66 7.82 0.00 33.70 850 2,749
PDT JH Prm Div Fd John Hancock 1.07 0.51 7.41 13.85 34.41 758 2,250
LDP C&S Ltd Dur Pref & Incm Fd Cohen & Steers 1.10 -3.33 7.41 15.86 30.00 753 2,179
DFP F&C Dyn Pref and Incm Fd Flaherty & Crumrine 1.11 -1.75 7.76 0.00 33.30 482 1,960
WIW WA/C Inf-Lnk Opp & Incm Fd Western Asset 3.74 -10.25 3.59 36.57 28.02 764 1,510
WIA WA/C Inf-Lnk Sec & Incm Fd Western Asset 3.70 -10.36 3.36 46.25 28.57 371 590
ARCC Ares Capital Corp Ares 0.44 6.45 8.61 0.00 41.43 7,067 55,461
PSEC Prospect Capital Corp Prospect Capital 0.47 -1.87 10.59 0.00 41.99 3,456 22,123
MAIN Main Street Cap Corp Main Street Capital 0.42 72.34 5.96 0.00 40.31 1,147 11,258
AINV Apollo Inv Corp Apollo Investment 0.44 -8.60 9.57 11.43 39.95 1,507 8,560
FSIC FS Investment Corp FB Income 0.43 13.59 8.33 0.00 41.77 2,299 10,454
NMFC New Mountain Fin Corp New Mountain Capital 0.43 11.82 9.16 0.00 44.44 924 4,870
HTGC Hercules Capital Hercules 0.44 53.85 8.17 0.00 45.74 761 6,634
TCAP Triangle Capital Corp Triangle Capital 0.45 30.01 9.03 0.00 44.26 619 4,072
FSC Fifth St Fin Corp Fifth Street 0.36 -36.80 5.19 4.05 49.36 1,030 5,934
GBDC Golub Capital BDC Golub Capital 0.42 18.87 6.84 0.00 50.14 869 3,493
TSLX TPG Specialty Lending TSL Advisers 0.43 22.24 8.09 0.00 40.84 942 4,678
GSBD Goldman Sachs BDC Goldman Sachs 0.44 35.04 7.17 0.00 40.09 675 3,226
PNNT PennantPark Inv Corp PennantPark 0.46 -6.48 13.15 0.00 47.03 647 3,933
MCC Medley Capital Corp MCC Advisors 0.42 -18.42 11.49 0.00 49.05 512 3,087
BKCC BR Cap Inv Corp BlackRock 0.46 -7.40 10.82 0.00 33.09 609 3,049
TCPC TCP Capital Corp Tennenbaum Capital 0.42 16.17 8.35 0.00 44.36 787 2,894
SLRC Solar Capital Solar Capital 0.44 1.89 7.23 0.00 26.14 918 2,413
TICC TICC Capital Corp TICC Management 0.49 10.31 14.85 0.00 45.09 364 3,159

DISCLOSURES:

These indexes were created and developed by Closed-End Fund Advisors, Inc. CEF Advisors launched these indexes in January 2017 based on December 31, 2016 data and began pricing on January 1, 2017. CEF Advisors does not guarantee the accuracy or the completeness of the index or any data included therein and CEF Advisors shall have no liability for any errors, omissions or interruptions therein. CEF Advisors makes no warranty, express or implied, as to results to be obtained by any person or entity from the use of the index or any data included therein. CEF Advisors makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Without limiting any of the foregoing, in no event shall CEF Advisors have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the index, even if notified of the possibility of such damages.

The historical values above have not been verified by an independent third party. The historical performance data is for illustrative purposes only and does not represent the actual performance of any investment product. No representation is being made that any investment will achieve performance similar to that shown. The index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the historical performance shown. The index is unmanaged and an investor cannot invest directly in the index.

Performance information for the index is for illustrative purposes only and does not represent the performance of any actual investment. The historical performance of the price and NAV of the index should not be taken as an indication of future performance, and no assurance can be given as to the index's value on any date. The data for the historical performance of the index was calculated on materially the same basis on which the performance of the index is now calculated. Discounts are the result of a closed-end fund’s market price deviating from its Net Asset Value (NAV).

In case any constituents of the index experience a liquidation, merger, open-ending or are no longer a closed-end fund, we will remove them as of their last day of existence. For mergers, if the merged fund is in the same sub-grouping inside CEFdata.com, then we will replace the merged fund with it's replacement in equal dollar terms. If the fund is liquidated, open-ended, etc, we will remove the fund and its allocation from the index. In this case, for example. If a fund was 2% of the index then future pricing would assume a full allocation was 98%. The 2% is adsorbed on a pro-rata basis by all surviving funds.

© Closed-End Fund Advisors Inc.(CEFadvisors) and CEFdata.com 2017. All rights reserved. Any copying, republication or redistribution of CEFadvisors, CEFdata.com, content, including by caching, framing or similar means, is expressly prohibited without the prior written consent of CEFAdvisors. CEFAdvisors shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.