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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 944.92 -4.48 -0.47 -25.76 -27.00 -23.70 -19.36 -3.37 0.50 -22.90 -4.48 -28.05
NAV 1,031.78 -0.74 3.60 -17.29 -16.93 -14.54 -10.96 -0.04 1.70 -16.94 -0.74 -17.05
Difference 3.74 4.07 8.47 10.07 9.15 8.39 3.33 1.20 5.97 3.74 11.00
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00
2020 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2020
Price 1.75 -6.93 -19.29 -23.58 - - - - - - - - - - - - - - -5.15
NAV 1.23 -1.20 -16.32 -16.31 - - - - - - - - - - - - - - -0.11
Difference -0.52 5.73 2.97 7.26 - - - - - - - - - - - - - - 5.04
2019 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2019
Price 8.77 2.17 0.80 12.02 1.75 -0.72 3.21 4.25 16.28 1.93 -0.77 1.29 2.45 0.96 0.78 2.23 4.02 6.47 22.75
NAV 4.22 1.21 0.93 6.46 1.28 -0.10 2.30 3.51 9.97 1.00 -0.28 0.38 1.10 0.59 0.29 1.98 2.88 3.98 13.95
Difference -4.55 -0.96 0.13 -5.57 -0.46 0.63 -0.91 -0.74 -6.31 -0.93 0.49 -0.91 -1.36 -0.37 -0.49 -0.24 -1.13 -2.49 -8.80
2018 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2018
Price -0.16 -1.29 0.62 -0.84 0.80 0.31 -0.15 0.96 0.11 1.98 0.88 -0.82 2.03 -5.03 -0.47 -2.97 -8.28 -6.25 -6.14
NAV 0.93 -0.88 0.15 0.19 0.04 -0.23 -0.10 -0.28 -0.09 1.34 -0.08 0.52 1.78 -1.64 -0.61 -1.48 -3.69 -1.91 -2.00
Difference 1.09 0.41 -0.46 1.04 -0.76 -0.54 0.05 -1.24 -0.20 -0.65 -0.96 1.34 -0.25 3.38 -0.13 1.48 4.59 4.34 4.14
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
-13.23%
1Yr Disc
-3.43%
3Yr Disc
-3.96%
5Yr Disc
-5.16%
Rel Disc Range (3yr)
45.67%
Mkt Yield
10.81%
Lev Adj NAV Yield
7.07%
After Tax Yield*
8.49%
Est Tax Friction*
2.32%
3Yr NAV Volatiliy
9.26
1 Yr RoC
12.12%
3 Yr Dest RoC
9.84%
Leverage
30.16%
Non Lev Exp Ratio
1.48%
Beta (2yr)
0.50
Equity Exposure
2.41%
Bond Exposure
93.82%
# Holdings
92
Cash Weighted Duration
3.95
Comp NAV TR
-0.80%
Comp Discount
-0.27%
Net Assets (M)
756
Liquidity - 90d (K)
3,820
* 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


92 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
BBN BR Taxable Muni BndTr BlackRock 3.94 -7.89 6.28 0.96 35.77 1,324 7,984
NBB Nuv Taxable Muni Incm Fd Nuveen 3.81 -9.63 6.16 0.00 35.11 545 2,619
CHY Calamos Convt & Hi Incm Fd Calamos 1.47 -8.52 12.67 13.32 33.83 645 2,964
CHI Calamos Convt Opp & Incm Calamos 1.43 -11.14 12.94 13.88 34.00 592 2,816
NCV AG Convt & Incm Fd Allianz 1.46 -11.61 18.81 39.15 42.24 342 2,310
AVK Advent Convt & Incm Fd Guggenheim Funds 1.51 -15.72 14.11 68.34 46.28 408 2,155
CCD Calamos Dyn Convt & Incm Fd Calamos 1.47 -2.31 13.15 26.92 33.65 382 1,783
EMD WA Emrg Mkt Dbt Fd Legg Mason 2.67 -15.82 11.56 15.06 28.50 749 4,829
TEI Tmp Emrg Mkt Incm Fd Franklin 2.64 -16.38 9.75 0.00 0.00 422 2,490
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.59 -17.94 9.54 0.00 23.96 405 1,572
GIM Tmp Glbl Incm Fd Franklin 1.57 -17.64 6.36 0.00 0.00 852 4,743
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.59 -19.37 9.91 60.17 32.91 1,023 3,821
RCS PIMCO Stgc Incm Fd PIMCO 1.51 2.76 13.14 6.63 39.19 238 2,279
MIN MFS Imd Incm Tr MFS 1.62 -7.91 9.29 70.40 0.00 458 2,414
PPT Putnam Prmr Incm Tr Putnam 1.49 -8.35 10.07 20.50 2.00 470 2,087
HYT BR Corp Hi Yld Fd BlackRock 0.65 -10.07 11.02 8.71 31.34 1,150 8,938
HIO WA Hi Incm Opp Fd Legg Mason 0.63 -15.63 9.90 4.21 0.00 598 3,527
HIX WA Hi Incm Fd II Legg Mason 0.65 -17.19 12.33 8.98 29.07 490 3,451
GHY PGIM Glbl Hi Yld Fd Prudential 0.64 -15.81 11.89 0.00 27.04 515 2,987
ISD PGIM Hi Yld Bnd Fd Prudential 0.64 -16.60 11.35 0.00 29.51 443 2,921
EAD WF Incm Opp Fd Wells Fargo 0.65 -14.00 11.78 1.10 29.18 436 2,770
DHY CS Hi Yld Bnd Fd Credit Suisse 0.64 -11.62 11.31 13.95 27.87 205 2,573
DSU BR Dbt Stgs Fd BlackRock 0.65 -15.88 10.39 9.80 31.11 482 2,498
FSD FT Hi Incm Lng/Srt Fd First Trust 0.65 -14.32 11.25 28.43 27.34 471 2,213
DHF BNY Mellon Hi Yld Stgs Fd BNY Mellon 0.65 -13.83 11.83 0.00 31.36 184 2,166
KIO KKR Incm Opp Fd KKR Credit 0.63 -13.65 15.11 0.00 23.96 234 1,796
HYI WA Hi Yld Dfin Opp Fd Legg Mason 0.64 -13.10 9.72 0.00 0.00 306 1,559
PTY PIMCO Corp & Incm Opp Fd PIMCO 1.52 11.44 12.91 1.96 31.41 955 9,476
PCN PIMCO Corp & Incm Stgy Fd PIMCO 1.50 9.71 10.97 0.00 21.90 446 2,863
PIM Putnam Mstr Imd Incm Tr Putnam 1.49 -9.22 9.63 22.14 12.95 213 1,003
DUC D&P Util & Corp Bnd Tr Duff & Phelps 1.61 -6.26 7.15 24.14 28.49 246 834
GDO WA Glbl Corp Dfin Opp Fd Legg Mason 1.61 -10.97 8.89 19.94 27.78 229 767
EVV EV Ltd Dur Incm Fd Eaton Vance 2.58 -13.01 11.81 16.53 35.76 1,357 5,873
BLW BR Ltd Dur Incm Tr BlackRock 2.57 -13.57 9.73 0.51 28.00 502 3,151
ERC WF Mlt-Sctr Incm Fd Wells Fargo 2.59 -12.90 12.99 0.00 29.80 322 1,854
JQC Nuv Cr Stgs Incm Fd Nuveen 0.56 -15.60 20.41 54.98 38.52 869 8,014
VVR Invsc Sr Incm Tr Invesco 0.57 -16.54 9.06 6.78 34.00 583 5,685
JFR Nuv Flt Rt Incm Fd Nuveen 0.55 -14.22 10.28 0.00 38.70 476 3,929
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.56 -13.94 10.14 0.00 38.06 337 3,880
VTA Invsc Dyn Cr Opp Fd Invesco 0.56 -18.86 11.69 16.06 35.00 598 3,686
NSL Nuv Sr Incm Fd Nuveen 0.55 -15.15 10.43 0.00 39.24 191 3,126
BGB B/GSO Stgc Cr Fd GSO / Blackstone 0.54 -15.08 12.57 0.00 37.08 512 3,126
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.56 -17.06 9.68 1.42 30.17 423 3,196
EFR EV Sr Flt-Rt Tr Eaton Vance 0.55 -16.39 8.47 0.00 35.60 418 3,096
HFRO Highland Incm Fd Highland Capital 0.57 -33.04 10.91 40.23 29.03 910 3,065
EFT EV Flt-Rt Incm Tr Eaton Vance 0.56 -14.25 8.10 0.00 35.10 462 2,920
PPR Voya Prime Rt Tr Voya 0.56 -15.02 6.63 0.00 27.46 630 2,902
ARDC Ares Dyn Cr Alloc Fd Ares 0.55 -15.01 12.59 0.00 32.00 276 1,780
BSL B/GSO Sr Flt Rt Trm Fd GSO / Blackstone 0.53 -15.11 10.96 0.00 33.00 193 1,166
BKT BR Incm Tr BlackRock 2.03 -7.92 7.10 24.69 30.93 403 2,337
OPP RiverNorth DbLin Stgc Opp Fd RiverNorth 1.92 -11.35 17.73 54.78 24.10 184 1,545
DMO WA Mortg Opp Fd Legg Mason 1.90 -3.55 14.05 26.70 32.40 130 1,217
JLS Nuv Mortg Opp Trm Fd Nuveen 2.05 -10.62 6.55 31.88 28.18 102 784
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.69 -4.59 13.39 0.00 43.95 2,320 18,159
DSL DbLin Incm Solutions Fd Doubleline 0.66 -5.04 14.94 3.36 28.98 1,289 9,684
PDI PIMCO Dyn Incm Fd PIMCO 0.67 -0.64 13.20 0.00 38.06 1,191 9,717
BTZ BR Cr Alloc Incm Tr BlackRock 0.73 -9.40 8.70 13.62 29.42 1,194 7,097
RA Brkf Real Ast Incm Fd Brookfield 0.69 -17.89 17.23 43.79 21.80 758 5,492
GOF Gghm Stgc Opp Fd Guggenheim Funds 0.70 0.55 14.97 55.02 0.00 600 5,237
PHK PIMCO Hi Incm Fd PIMCO 0.71 2.85 15.69 0.73 27.23 601 5,210
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.71 -14.42 8.71 0.00 45.44 909 4,228
BIT BR Mlt-Sctr Incm Tr BlackRock 0.71 -12.35 12.68 12.76 37.40 502 3,778
PFN PIMCO Incm Stgy Fd II PIMCO 0.68 -5.91 13.71 0.00 21.72 520 3,492
BHK BR Core Bnd Tr BlackRock 0.74 -9.38 6.09 17.23 24.01 793 3,145
JPS Nuv Pref & Incm Sec Fd Nuveen 1.07 -10.79 10.03 0.17 37.64 1,530 9,261
FPF FT Imd Dur Pref & Incm Fd First Trust 1.04 -10.44 9.91 2.16 27.48 1,089 5,405
JPC Nuv Pref & Incm Opp Fd Nuveen 1.05 -8.55 11.04 0.30 38.08 749 4,104
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.04 -5.86 8.91 0.00 44.30 7,124 3,877
LDP C&S Ltd Dur Pref & Incm Fd Cohen & Steers 1.06 -5.30 9.88 8.71 29.20 577 2,569
PDT JH Prm Div Fd John Hancock 1.00 2.92 11.07 26.12 35.40 499 2,105
DFP F&C Dyn Pref and Incm Fd Flaherty & Crumrine 1.06 -4.69 9.17 0.00 44.90 376 1,979
WIW WA Inf-Lnk Opp & Incm Fd Legg Mason 4.05 -15.70 4.50 0.00 31.20 697 2,428
WIA WA Inf-Lnk Incm Fd Legg Mason 3.97 -13.68 4.00 0.00 31.70 350 1,330
ARCC Ares Capital Corp Ares 0.39 -42.78 16.15 0.00 46.77 7,466 43,755
MAIN Main Street Cap Corp Main Street Capital 0.38 -23.13 13.38 0.00 41.08 1,540 13,952
PSEC Prospect Capital Corp Prospect Capital 0.39 -54.50 18.27 0.00 39.41 3,184 14,092
FSK FS KKR Capital Corp FS/KKR 0.40 -63.09 26.95 0.00 51.06 3,846 11,693
GBDC Golub Capital BDC Golub Capital 0.40 -28.45 11.07 0.00 50.69 2,229 11,288
ORCC Owl Rock Capital Corp Owl Rock 0.41 -26.05 11.00 0.00 33.01 6,019 11,415
HTGC Hercules Capital Hercules 0.39 -32.99 18.10 0.00 52.28 1,166 8,783
NMFC New Mountain Fin Corp New Mountain Capital 0.37 -55.05 22.82 0.00 60.01 1,284 6,900
TSLX TPG Specialty Lending TSL Advisers 0.40 -21.69 12.44 0.00 47.98 1,123 7,274
AINV Apollo Inv Corp Apollo 0.38 -67.10 29.95 0.00 58.52 1,216 5,493
NEWT Newtek Biz Serv Corp Newtek 0.37 -26.69 15.29 0.00 54.17 327 3,887
OCSL Oaktree Splty Lending Oaktree Capital 0.42 -51.29 11.80 0.00 35.37 932 3,872
GSBD Goldman Sachs BDC Goldman Sachs 0.39 -31.94 15.79 0.00 52.18 677 3,399
TCPC BR TCP Capital Corp BlackRock 0.38 -57.76 25.81 0.00 53.16 776 3,171
SLRC Solar Capital Solar Capital 0.40 -48.55 14.87 0.00 30.11 906 3,207
BCSF Bain Cap Splty Fin BCSF Advisors 0.37 -59.38 20.47 0.00 59.52 1,019 2,805
CGBD TCG BDC Carlyle 0.40 -70.11 29.90 0.00 53.84 947 2,644
TPVG TP Vntr Gwth BDC Corp TriplePoint Capital 0.38 -61.47 28.02 0.00 49.08 409 2,379
CSWC Cap Southwest Corp Capital Southwest 0.35 -43.43 21.54 0.00 45.56 312 2,003

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, 2019. 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 2019. 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.

Class E Units       8% PIK             8.00 %   11/6/2021     4,055,099       4,055,099       4,055,099       2.32 %