CEF Advisors

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06. Taxable Bond & BDC Index

Data as of May 26, 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 1,075.00 0.10 0.86 1.03 2.90 10.04 16.15 5.88 7.01 0.01 2.14 6.54
NAV 1,115.13 0.05 0.45 1.14 3.42 7.71 12.89 5.49 7.72 0.48 1.64 4.80
Difference -0.05 -0.41 0.12 0.52 -2.33 -3.26 -0.39 0.71 0.47 -0.50 -1.73
* 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 2.52 1.78 -0.49 4.40 1.71 - - - - - - - - - - - 6.54
NAV 1.27 1.33 0.09 3.16 0.95 - - - - - - - - - - - 4.80

Performance Chart

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Discount

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Characteristics

PORTFOLIO
Weighted Average Data
Discount
-2.54%
1Yr Disc
-3.91%
3Yr Disc
-6.07%
5Yr Disc
-3.96%
Rel Disc Range (3yr)
75.51%
Mkt Yield
7.57%
Lev Adj NAV Yield
5.72%
After Tax Yield*
5.89%
Est Tax Friction*
1.68%
3Yr NAV Volatiliy
6.11
1 Yr RoC
10.86%
3 Yr Dest RoC
8.01%
Leverage
29.41%
Non Lev Exp Ratio
1.51%
Beta (2yr)
0.28
Equity Exposure
1.75%
Bond Exposure
95.24%
# Holdings
85
Cash Weighted Duration
4.41
Comp NAV TR
1.01%
Comp Discount
0.70%
Net Assets (M)
828
Liquidity - 90d (K)
2,691
* 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 3.85 -0.57 6.92 0.00 35.96 1,312 2,929
NBB Nuv Bld Amrc Bnd Fd Nuveen 3.79 -3.32 5.90 0.00 28.74 573 1,417
CHI Calamos Convt Opp & Incm Calamos 1.93 -0.36 10.23 54.18 28.13 783 3,299
NCV AG Convt & Incm Fd Allianz 1.96 2.97 11.24 0.00 37.75 595 2,507
CHY Calamos Convt & Hi Incm Fd Calamos 1.96 -0.68 10.27 50.30 28.29 854 2,990
AVK AC Convt Sec & Incm Fd Guggenheim 1.95 -6.19 8.26 16.78 39.30 407 1,253
EMD WA Emrg Mkt Dbt Fd Legg Mason 2.58 -10.88 7.59 25.44 21.70 1,078 2,636
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.73 -8.88 8.38 50.70 34.35 597 2,058
TEI Tmp Emrg Mkt Incm Fd Franklin 2.56 -11.61 3.74 28.30 0.00 620 1,982
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.53 -8.06 8.37 46.50 29.36 1,383 2,877
PPT Putnam Prmr Incm Tr Putnam 1.49 -6.32 6.01 0.00 29.58 594 2,358
GIM Tmp Glbl Incm Fd Franklin 1.49 -11.66 3.95 15.16 0.00 1,001 1,933
RCS PIMCO Stgc Incm Fd PIMCO 1.60 28.17 8.63 19.00 27.80 332 1,407
BWG LM BW Glbl Incm Opp Fd Legg Mason 1.56 -11.79 8.25 85.04 35.90 311 1,108
HYT BR Corp Hi Yld Fd BlackRock 0.64 -8.75 7.53 0.00 27.09 1,547 4,835
EAD WF Incm Opp Fd Wells Fargo 0.65 -7.08 8.29 0.00 26.12 658 1,813
GHY Pru Glbl Srt Dur Hi Yld Fd Prudential 0.64 -8.49 7.89 0.00 29.27 680 1,958
HIO WA Hi Incm Opp Fd Legg Mason 0.65 -8.64 6.95 3.42 0.00 733 2,001
FSD FT Hi Incm Lng/Srt Fd First Trust 0.66 -5.32 8.67 0.48 21.04 642 1,959
DSU BR Dbt Stgs Fd BlackRock 0.64 -7.55 7.00 0.00 29.93 774 2,011
ISD Pru Srt Dur Hi Yld Fd Prudential 0.64 -7.66 7.91 0.00 26.89 560 2,007
BGH Barings Glbl Srt Dur Hi Yld Fd Barings 0.65 -6.44 9.11 7.74 25.31 433 1,638
EHI WA Glbl Hi Incm Fd Legg Mason 0.65 -9.11 7.88 11.38 25.30 512 1,330
HIX WA Hi Incm Fd II Legg Mason 0.64 -6.03 8.19 3.12 26.50 672 1,566
PHT Pioneer Hi Incm Tr Pioneer 0.64 -7.21 7.77 0.00 28.40 314 1,077
ACP Avenue Incm Cr Stgs Fd Avenue Capital 0.65 -7.52 10.01 3.76 29.35 203 1,316
PTY PIMCO Corp & Incm Opp Fd PIMCO 1.97 11.44 9.59 0.00 45.52 1,066 4,165
PCN PIMCO Corp & Incm Stgy Fd PIMCO 2.00 11.61 8.03 1.46 21.16 589 1,942
PIM Putnam Mstr Imd Incm Tr Putnam 1.92 -5.38 6.57 0.00 9.26 269 631
IGI WA Inv Grd Dfin Opp Tr Legg Mason 1.92 -0.86 5.22 0.00 0.00 225 689
EVV EV Ltd Dur Incm Fd Eaton Vance 2.56 -8.15 6.92 11.92 35.65 1,768 4,055
FTF FrkTmp Ltd Dur Incm Tr Franklin 2.53 -7.76 10.90 0.00 33.42 291 1,944
BLW BR Ltd Dur Incm Tr BlackRock 2.54 -7.36 6.64 1.34 30.58 628 1,514
JFR Nuv Flt Rt Incm Fd Nuveen 0.66 1.86 6.74 0.00 36.74 653 4,482
JQC Nuv Cr Stgs Incm Fd Nuveen 0.64 -6.20 7.18 0.00 35.65 1,269 3,934
BGB B/GSO Stgc Cr Fd Blackstone 0.64 -5.21 7.78 0.00 36.05 763 3,051
VTA Invsc Dyn Cr Opp Fd Invesco 0.63 -7.08 6.98 0.49 31.14 974 3,465
VVR Invsc Sr Incm Tr Invesco 0.63 -4.49 6.03 7.30 28.40 882 2,283
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.62 -4.06 5.08 0.00 29.13 559 1,959
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.64 1.19 7.12 0.00 36.41 459 1,824
PPR Voya Prime Rt Tr Voya 0.63 -5.75 5.77 0.00 28.74 848 2,163
EFT EV Flt-Rt Incm Tr Eaton Vance 0.63 -2.18 5.44 0.00 34.20 621 1,497
EFR EV Sr Flt-Rt Tr Eaton Vance 0.62 -1.71 5.70 0.00 34.49 561 1,719
ARDC Ares Dyn Cr Alloc Fd Ares 0.64 -9.02 7.58 2.26 30.64 410 1,637
AIF Apollo Tactical Incm Fd Apollo Credit 0.63 -5.37 7.61 0.00 35.35 253 1,204
RA Brkf Real Ast Incm Fd Brookfield 2.63 -8.33 10.14 19.34 23.83 937 2,342
DMO WA Mortg Dfin Opp Fd Legg Mason 2.67 15.95 11.34 0.00 31.70 224 1,584
JLS Nuv Mortg Opp Trm Fd Nuveen 2.57 -3.88 5.40 0.00 27.56 417 687
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.99 -0.89 8.82 0.01 45.60 3,089 13,681
DSL DbLin Incm Solutions Fd Doubleline 0.96 -4.12 8.80 0.22 27.46 2,163 7,842
PHK PIMCO Hi Incm Fd PIMCO 0.97 28.99 10.99 18.12 24.97 873 4,312
PDI PIMCO Dyn Incm Fd PIMCO 0.98 6.96 8.93 0.00 46.85 1,314 5,299
BTZ BR Cr Alloc Incm Tr BlackRock 0.97 -8.60 6.27 4.87 23.80 1,585 2,572
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.97 -8.55 6.54 0.00 49.21 1,210 2,540
BIT BR Mlt-Sctr Incm Tr BlackRock 0.98 -7.37 7.80 0.00 39.96 740 2,034
PFN PIMCO Incm Stgy Fd II PIMCO 0.99 2.45 9.17 0.00 23.97 605 2,136
JPS Nuv Pref Sec Incm Fd Nuveen 1.15 -1.17 7.36 0.00 32.01 2,085 3,927
FPF FT Imd Dur Pref & Incm Fd First Trust 1.14 -1.21 7.50 0.00 30.18 1,501 4,249
JPC Nuv Pref Incm Opp Fd Nuveen 1.14 -3.73 7.45 0.00 28.37 1,038 3,435
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.13 6.55 7.15 0.00 33.60 888 2,093
LDP C&S Ltd Dur Pref & Incm Fd Cohen & Steers 1.11 -3.16 7.18 0.00 29.30 776 1,746
DFP F&C Dyn Pref and Incm Fd Flaherty & Crumrine 1.13 -1.80 7.49 0.00 33.30 500 1,667
PDT JH Prm Div Fd John Hancock 1.14 4.32 6.92 8.36 33.15 782 1,380
WIW WA/C Inf-Lnk Opp & Incm Fd Western Asset 3.74 -11.83 3.89 20.29 27.85 771 1,339
WIA WA/C Inf-Lnk Sec & Incm Fd Western Asset 3.70 -11.61 3.65 24.97 28.45 374 635
ARCC Ares Capital Corp Ares 0.36 1.76 9.05 0.00 38.24 7,034 36,156
PSEC Prospect Capital Corp Prospect Capital 0.35 -12.30 12.09 0.00 42.90 3,394 20,517
MAIN Main Street Cap Corp Main Street Capital 0.38 71.66 5.76 0.00 38.19 1,255 10,776
FSIC FS Investment Corp FB Income 0.36 -2.12 9.63 0.00 42.68 2,317 10,794
HTGC Hercules Capital Hercules 0.34 35.45 9.38 0.00 48.03 808 9,235
AINV Apollo Inv Corp Apollo Investment 0.38 -4.90 9.36 0.00 39.95 1,481 6,631
FSC Fifth St Fin Corp Fifth Street 0.34 -42.32 1.92 2.98 46.00 1,019 4,167
TCAP Triangle Capital Corp Triangle Capital 0.36 19.75 9.83 0.00 40.48 729 6,416
NMFC New Mountain Fin Corp New Mountain Capital 0.37 7.67 9.32 0.00 46.08 1,025 6,856
TSLX TPG Specialty Lending TSL Advisers 0.39 29.24 7.53 0.00 37.59 962 4,206
GBDC Golub Capital BDC Golub Capital 0.38 28.02 6.30 0.00 48.43 907 5,200
GSBD Goldman Sachs BDC Goldman Sachs 0.35 23.93 7.95 0.00 41.99 664 4,864
PFLT PennantPark Flt Rt Cap PennantPark 0.39 0.43 8.08 0.00 38.46 456 2,626
NEWT Newtek Biz Serv Corp Newtek 0.37 18.45 9.44 0.00 39.37 247 3,181
PNNT PennantPark Inv Corp PennantPark 0.35 -17.38 9.59 0.00 47.41 646 2,954
TICC TICC Capital Corp TICC Management 0.37 -3.98 11.07 6.78 32.99 388 2,527
TCPC TCP Capital Corp Tennenbaum Capital 0.37 14.21 8.45 0.00 43.57 877 4,062
MCC Medley Capital Corp MCC Advisors 0.29 -32.89 10.67 0.00 51.19 487 2,332
FSFR Fifth St Sr Flt Rt Corp Fifth Street 0.34 -27.05 28.86 0.00 44.93 319 1,354
SLRC Solar Capital Solar Capital 0.37 0.78 7.30 0.00 20.86 919 2,446

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.

© 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.