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07. Taxable Bond & BDC Index

Data as of

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 1,114.02 0.10 -0.46 1.05 0.10 1.22 9.97 7.28 4.50 0.35 0.35 0.35
NAV 1,113.43 -0.02 -0.09 1.09 1.64 3.71 10.61 6.15 5.48 0.63 0.63 0.63
Difference -0.12 0.37 0.04 1.53 2.50 0.64 -1.13 0.98 0.28 0.28 0.28
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00
2017 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2017
Price 2.86 2.17 -0.32 4.75 2.20 0.62 0.83 3.68 8.43 2.09 -0.63 0.97 2.44 -0.45 -1.08 1.33 -0.21 2.22 10.66
NAV 1.42 1.61 0.25 3.32 1.28 0.96 0.57 2.84 6.16 1.39 0.67 0.54 2.61 0.65 0.24 0.59 1.49 4.10 10.26
Difference -1.43 -0.55 0.57 -1.43 -0.92 0.34 -0.25 -0.85 -2.28 -0.70 1.29 -0.43 0.18 1.09 1.32 -0.74 1.70 1.88 -0.40
2016 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2016
Price -1.47 0.44 6.33 5.23 2.79 0.55 2.43 5.86 11.08 4.38 1.82 -0.67 5.58 -1.82 -1.42 2.74 -0.57 5.00 16.09
NAV -0.98 -0.69 3.41 1.69 2.45 0.54 1.27 4.31 6.00 2.61 1.17 0.85 4.70 0.16 -1.74 1.33 -0.27 4.44 10.44
Difference 0.50 -1.13 -2.92 -3.53 -0.34 -0.01 -1.16 -1.55 -5.08 -1.77 -0.65 1.52 -0.88 1.99 -0.31 -1.41 0.31 -0.57 -5.65
2015 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2015
Price 1.59 1.51 -0.71 2.39 1.77 -1.19 -3.77 -3.23 -0.84 -1.43 -2.33 -2.65 -6.29 4.69 -0.98 -0.73 2.90 -3.39 -4.23
NAV 1.08 1.14 -0.25 1.98 1.20 0.07 -1.28 -0.02 1.96 -0.15 -1.63 -1.73 -3.48 1.77 -0.48 -2.07 -0.82 -4.31 -2.35
Difference -0.51 -0.37 0.46 -0.41 -0.57 1.26 2.50 3.21 2.80 1.28 0.70 0.92 2.80 -2.92 0.50 -1.34 -3.72 -0.92 1.89

Performance Chart

Discount

Characteristics

PORTFOLIO
Weighted Average Data
Discount
-3.24%
1Yr Disc
-2.04%
3Yr Disc
-5.05%
5Yr Disc
-4.06%
Rel Disc Range (3yr)
62.79%
Mkt Yield
7.76%
Lev Adj NAV Yield
5.92%
After Tax Yield*
5.99%
Est Tax Friction*
1.77%
3Yr NAV Volatiliy
5.83
1 Yr RoC
6.69%
3 Yr Dest RoC
3.93%
Leverage
28.53%
Non Lev Exp Ratio
1.50%
Beta (2yr)
0.27
Equity Exposure
2.51%
Bond Exposure
94.71%
# Holdings
90
Cash Weighted Duration
4.32
Comp NAV TR
0.52%
Comp Discount
1.74%
Net Assets (M)
811
Liquidity - 90d (K)
2,934
* Based on marginal tax rates of 25% and long-term capital gains rates of 15%.

Asset Allocation

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

Constituents


90 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
BBN BR Taxable Muni BndTr BlackRock 3.74 -4.09 7.03 0.00 36.14 1,341 2,817
NBB Nuv Bld Amrc Bnd Fd Nuveen 3.69 -4.30 5.84 0.00 27.69 585 1,142
CHY Calamos Convt & Hi Incm Fd Calamos 1.98 0.75 9.88 44.94 32.73 876 2,528
CHI Calamos Convt Opp & Incm Calamos 1.94 -1.67 10.16 44.41 32.42 806 3,346
NCV AG Convt & Incm Fd Allianz 1.96 5.94 10.94 0.00 37.60 597 2,554
NCZ AG Convt & Incm Fd II Allianz 1.96 4.30 10.95 11.10 37.92 452 1,465
EMD WA Emrg Mkt Dbt Fd Legg Mason 2.59 -10.13 7.60 13.02 25.60 1,067 4,176
EDF SH Emrg Mkt Incm Fd Stone Harbor 2.62 8.81 13.25 38.65 21.65 239 2,030
TEI Tmp Emrg Mkt Incm Fd Franklin 2.67 -10.76 5.31 0.00 0.00 629 2,588
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.31 -9.82 8.47 51.47 30.56 1,387 3,875
JGH Nuv Glbl Hi Incm Fd Nuveen 1.29 -8.67 8.44 0.00 28.95 434 2,275
RCS PIMCO Stgc Incm Fd PIMCO 1.28 19.45 9.44 5.66 23.60 327 1,936
GIM Tmp Glbl Incm Fd Franklin 1.28 -12.57 3.30 0.00 0.00 993 2,225
PPT Putnam Prmr Incm Tr Putnam 1.26 -7.42 5.95 1.19 35.82 607 1,866
MIN MFS Imd Incm Tr MFS 1.23 -7.39 9.34 67.69 0.00 510 1,242
HYT BR Corp Hi Yld Fd BlackRock 0.59 -10.99 7.69 0.00 30.21 1,553 4,704
GHY Pru Glbl Srt Dur Hi Yld Fd Prudential 0.59 -12.03 7.50 1.98 27.41 670 3,263
KIO KKR Incm Opp Fd KKR Credit 0.59 -8.11 9.39 0.00 29.58 354 2,804
ISD Pru Srt Dur Hi Yld Fd Prudential 0.60 -9.68 7.43 0.00 20.86 550 3,202
FSD FT Hi Incm Lng/Srt Fd First Trust 0.60 -8.00 9.26 11.64 20.09 539 2,529
HIO WA Hi Incm Opp Fd Legg Mason 0.58 -10.89 6.61 3.81 0.00 724 2,370
HIX WA Hi Incm Fd II Legg Mason 0.59 -9.74 7.94 3.19 26.35 664 2,478
EAD WF Incm Opp Fd Wells Fargo 0.59 -9.91 8.10 0.00 25.96 651 2,156
BGH Barings Glbl Srt Dur Hi Yld Fd Barings 0.59 -8.17 9.25 0.00 25.93 420 1,800
DSU BR Dbt Stgs Fd BlackRock 0.59 -8.71 7.07 0.00 30.53 757 1,902
EHI WA Glbl Hi Incm Fd Legg Mason 0.58 -10.06 7.54 4.67 25.00 508 2,069
ACP Abd Incm Cr Stgs Fd Aberdeen 0.61 -6.78 10.07 0.00 29.88 201 1,288
CBH AG Convt & Incm 2024 Tgt Trm Allianz 0.60 -7.17 6.01 0.00 28.10 181 1,377
PTY PIMCO Corp & Incm Opp Fd PIMCO 1.94 10.43 9.44 2.00 42.33 1,211 5,573
PCN PIMCO Corp & Incm Stgy Fd PIMCO 1.88 11.11 8.04 4.28 21.36 593 1,581
GDO WA Glbl Corp Dfin Opp Fd Legg Mason 1.88 -6.99 7.70 0.00 22.44 284 615
PIM Putnam Mstr Imd Incm Tr Putnam 1.94 -5.51 6.50 1.63 23.98 272 639
EVV EV Ltd Dur Incm Fd Eaton Vance 2.54 -10.07 7.18 10.45 38.44 1,741 5,279
ERC WF Mlt-Sctr Incm Fd Wells Fargo 2.59 -8.70 9.87 0.00 27.23 502 2,457
BLW BR Ltd Dur Incm Tr BlackRock 2.56 -7.27 6.03 3.37 28.97 631 1,516
HFRO Highland Flt Rt Opp Fd Highland Capital 0.59 1.90 5.93 15.40 2.01 1,097 3,465
JQC Nuv Cr Stgs Incm Fd Nuveen 0.59 -10.02 6.98 0.00 36.48 1,233 4,761
VTA Invsc Dyn Cr Opp Fd Invesco 0.60 -9.89 6.28 11.16 31.44 982 4,064
BGB B/GSO Stgc Cr Fd Blackstone 0.59 -7.75 8.02 0.00 35.47 761 2,976
PPR Voya Prime Rt Tr Voya 0.60 -10.21 5.18 0.00 27.91 839 2,892
JFR Nuv Flt Rt Incm Fd Nuveen 0.58 -4.26 7.35 0.00 36.68 655 2,601
VVR Invsc Sr Incm Tr Invesco 0.60 -9.76 5.27 9.15 30.26 886 2,839
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.57 -2.81 7.64 0.00 36.20 462 2,261
FIV FT Sr Flt Rt 2022 Tgt Trm Fd First Trust 0.60 -5.02 5.40 0.00 23.13 350 2,222
EFT EV Flt-Rt Incm Tr Eaton Vance 0.59 -7.90 5.61 0.00 34.00 621 2,250
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.61 -5.34 5.16 0.00 28.67 558 2,123
EFR EV Sr Flt-Rt Tr Eaton Vance 0.59 -6.43 5.89 0.00 34.48 562 1,846
FCT FT Sr Flt Rt Incm Fd II First Trust 0.59 -9.65 5.98 10.56 28.12 376 1,427
OPP RiverNorth DbLin Stgc Opp Fd RiverNorth 2.52 -7.26 9.93 5.38 24.40 215 1,635
DMO WA Mortg Dfin Opp Fd Legg Mason 2.68 22.65 10.43 0.00 30.80 220 1,850
IHIT Invsc Hi Incm 2023 Tgt Trm Fd Invesco 2.59 -1.88 6.05 0.00 24.66 242 985
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.76 -6.13 8.86 0.00 46.47 3,247 13,203
DSL DbLin Incm Solutions Fd Doubleline 0.78 -5.14 8.78 1.47 29.62 2,189 7,974
PDI PIMCO Dyn Incm Fd PIMCO 0.76 2.96 8.94 0.00 44.06 1,444 6,659
PHK PIMCO Hi Incm Fd PIMCO 0.80 14.71 12.54 5.84 24.74 866 6,126
RA Brkf Real Ast Incm Fd Brookfield 0.78 -6.08 10.11 26.15 21.91 918 4,281
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.76 -10.09 6.67 0.00 36.81 1,205 3,035
GOF Gghm Stgc Opp Fd Guggenheim 0.76 9.28 10.20 0.00 0.33 477 2,841
BTZ BR Cr Alloc Incm Tr BlackRock 0.76 -10.94 6.13 4.38 25.74 1,577 3,035
PFN PIMCO Incm Stgy Fd II PIMCO 0.76 0.00 9.36 0.00 23.27 610 2,220
BIT BR Mlt-Sctr Incm Tr BlackRock 0.78 -8.74 7.71 0.00 40.31 760 2,205
JPS Nuv Pref & Incm Sec Fd Nuveen 1.05 -5.90 7.65 0.00 33.13 2,107 4,907
FPF FT Imd Dur Pref & Incm Fd First Trust 1.07 -4.81 7.71 0.00 30.92 1,516 4,439
JPC Nuv Pref & Incm Opp Fd Nuveen 1.06 -6.74 7.82 1.43 33.61 1,105 3,041
LDP C&S Ltd Dur Pref & Incm Fd Cohen & Steers 1.09 -5.22 7.26 0.00 28.60 784 1,942
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.04 -3.66 7.32 0.00 33.30 895 2,103
PDT JH Prm Div Fd John Hancock 1.02 7.24 7.31 12.62 33.23 721 1,609
DFP F&C Dyn Pref and Incm Fd Flaherty & Crumrine 1.07 -0.57 7.13 0.00 33.30 503 1,196
WIW WA/C Inf-Lnk Opp & Incm Fd Western Asset 3.90 -10.00 3.72 4.45 26.99 789 1,463
WIA WA/C Inf-Lnk Sec & Incm Fd Western Asset 3.89 -9.32 3.46 2.66 27.50 385 673
ARCC Ares Capital Corp Ares 0.39 -3.03 9.51 0.00 38.54 7,030 30,316
PSEC Prospect Capital Corp Prospect Capital 0.39 -24.89 10.51 0.00 43.15 3,287 25,227
FSIC FS Investment Corp FB Income 0.41 -18.88 9.93 0.00 41.43 2,317 13,835
CCT Corporate Capital Tr KKR Credit 0.41 -17.09 6.46 0.00 37.51 2,729 11,091
MAIN Main Street Cap Corp Main Street Capital 0.38 64.94 5.87 0.00 39.07 1,367 9,809
TCAP Triangle Capital Corp Triangle Capital 0.42 -22.27 11.70 0.00 46.28 630 6,975
AINV Apollo Inv Corp Apollo Investment 0.40 -13.99 10.38 0.00 36.04 1,468 5,991
HTGC Hercules Capital Hercules 0.38 31.00 9.47 0.00 45.97 842 5,266
OCSL Oaktree Splty Lending Oaktree Capital 0.39 -18.67 9.98 0.00 41.79 868 4,949
PFLT PennantPark Flt Rt Cap PennantPark 0.39 -2.98 8.33 0.00 34.37 543 4,922
NMFC New Mountain Fin Corp New Mountain Capital 0.38 -1.18 10.11 0.00 43.04 1,032 4,214
NEWT Newtek Biz Serv Corp Newtek 0.37 23.75 8.98 0.00 45.23 259 3,297
GBDC Golub Capital BDC Golub Capital 0.38 13.18 7.03 0.00 44.53 958 3,823
TSLX TPG Specialty Lending TSL Advisers 0.39 23.49 7.85 0.00 35.71 969 3,106
TCPC TCP Capital Corp Tennenbaum Capital 0.39 3.62 9.31 0.00 41.03 877 3,186
SLRC Solar Capital Solar Capital 0.41 -3.12 7.57 0.00 29.00 922 3,334
BKCC BR Cap Inv Corp BlackRock 0.39 -22.49 11.67 0.00 28.79 582 3,025
PNNT PennantPark Inv Corp PennantPark 0.39 -24.18 10.43 0.00 43.76 647 2,871
CGBD TCG BDC Carlyle 0.36 0.39 8.11 0.00 42.20 1,131 2,612
GSBD Goldman Sachs BDC Goldman Sachs 0.39 21.01 8.16 0.00 36.75 732 2,614

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 a 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.

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