About the Index
Senior Loan grouping according to CEFdata.com. 90-day average trade dollar $ liquidity over $500K. Exposure to 80% or more Loans / Sr. Loans according to CEFdata.com. Equal weight each fund for the index. The index constituents will be rebalanced each quarter.
Index Performance
Current($) | Previous Day(%) | 1 Week(%) | 1 Month(%) | 3 Month(%) | 6 Month(%) | 1 Year(%) | 3 Year(%) | 5 Year(%) | MTD(%) | QTD(%) | YTD(%) | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Price | 1,211.21 | 0.22 | 0.82 | 2.70 | 7.76 | 16.44 | 35.68 | 4.66 | 7.70 | 1.12 | 1.12 | 9.71 | |||||||
NAV | 1,191.77 | -0.04 | 0.23 | 0.71 | 2.34 | 8.89 | 23.13 | 3.61 | 5.80 | 0.56 | 0.56 | 3.67 | |||||||
Difference | -0.26 | -0.59 | -2.00 | -5.42 | -7.56 | -12.55 | -1.05 | -1.90 | -0.56 | -0.56 | -6.04 | ||||||||
* Periods greater than 1 Year are annualized. ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00 |
2021 - Monthly Performance (%) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2021 | |
Price | 3.58 | 2.49 | 2.20 | 8.50 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
NAV | 2.08 | 0.90 | 0.09 | 3.09 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
Difference | -1.51 | -1.59 | -2.11 | -5.41 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
2020 - Monthly Performance (%) | |||||||||||||||||||
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2020 | |
Price | 1.42 | -5.64 | -21.10 | -24.50 | 5.26 | 5.15 | 2.09 | 12.99 | -14.69 | 2.90 | 2.99 | 0.87 | 6.90 | -1.49 | 7.64 | 1.94 | 8.10 | 15.56 | -1.42 |
NAV | 0.81 | -2.31 | -18.67 | -19.90 | 5.23 | 4.90 | 1.65 | 12.21 | -10.12 | 2.73 | 2.14 | 0.53 | 5.49 | 0.02 | 3.81 | 2.03 | 5.94 | 11.76 | 0.45 |
Difference | -0.60 | 3.33 | 2.43 | 4.60 | -0.03 | -0.25 | -0.44 | -0.78 | 4.57 | -0.17 | -0.84 | -0.34 | -1.41 | 1.52 | -3.83 | 0.09 | -2.15 | -3.79 | 1.87 |
2019 - Monthly Performance (%) | |||||||||||||||||||
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2019 | |
Price | 6.25 | 3.26 | -1.81 | 7.73 | 3.27 | -1.71 | 2.04 | 3.57 | 11.57 | 1.05 | -2.15 | 1.75 | 0.61 | -0.45 | 1.44 | 4.04 | 5.06 | 5.70 | 17.93 |
NAV | 3.95 | 2.10 | -0.45 | 5.66 | 2.17 | -0.82 | 0.20 | 1.53 | 7.28 | 0.99 | -0.50 | 0.57 | 1.06 | -0.96 | 0.75 | 2.30 | 2.08 | 3.16 | 10.67 |
Difference | -2.30 | -1.16 | 1.36 | -2.08 | -1.10 | 0.89 | -1.83 | -2.03 | -4.30 | -0.06 | 1.65 | -1.17 | 0.46 | -0.51 | -0.69 | -1.74 | -2.99 | -2.54 | -7.26 |
2018 - Monthly Performance (%) | |||||||||||||||||||
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2018 | |
Price | 0.84 | 1.12 | 1.76 | 3.77 | 0.50 | -0.33 | -1.15 | -0.99 | 2.75 | 0.09 | 0.31 | 0.64 | 1.03 | -3.76 | -1.76 | -4.66 | -9.86 | -8.93 | -6.43 |
NAV | 1.62 | 0.12 | 0.22 | 1.97 | 0.58 | 0.21 | 0.02 | 0.80 | 2.79 | 1.06 | 0.47 | 0.92 | 2.48 | -0.52 | -1.53 | -4.38 | -6.33 | -4.01 | -1.34 |
Difference | 0.78 | -1.00 | -1.54 | -1.80 | 0.08 | 0.54 | 1.16 | 1.79 | 0.04 | 0.98 | 0.16 | 0.28 | 1.44 | 3.24 | 0.23 | 0.28 | 3.53 | 4.91 | 5.09 |
2017 - Monthly Performance (%) | |||||||||||||||||||
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2017 | |
Price | 1.72 | 1.43 | -1.92 | 1.20 | 1.72 | -0.19 | -1.22 | 0.29 | 1.49 | 1.09 | -1.26 | 1.26 | 1.07 | -0.22 | -2.16 | 1.35 | -1.07 | -0.00 | 1.49 |
NAV | 0.68 | 0.97 | -0.11 | 1.55 | 0.55 | 0.45 | -0.10 | 0.91 | 2.47 | 1.07 | -0.28 | 0.49 | 1.28 | 0.70 | -0.03 | 0.32 | 1.00 | 2.29 | 4.82 |
Difference | -1.04 | -0.46 | 1.81 | 0.35 | -1.18 | 0.64 | 1.12 | 0.61 | 0.97 | -0.02 | 0.98 | -0.77 | 0.21 | 0.93 | 2.13 | -1.02 | 2.07 | 2.30 | 3.33 |
2016 - Monthly Performance (%) | |||||||||||||||||||
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2016 | |
Price | -3.27 | -1.61 | 9.19 | 3.92 | 1.93 | 2.15 | 0.25 | 4.39 | 8.48 | 3.89 | 1.35 | 2.58 | 8.01 | 0.57 | 1.75 | 3.28 | 5.68 | 14.15 | 23.83 |
NAV | -1.31 | -1.07 | 4.64 | 2.16 | 2.93 | 1.39 | -0.06 | 4.30 | 6.55 | 2.34 | 1.11 | 1.26 | 4.78 | 1.15 | 0.29 | 1.46 | 2.93 | 7.85 | 14.91 |
Difference | 1.96 | 0.54 | -4.56 | -1.76 | 1.00 | -0.76 | -0.31 | -0.09 | -1.93 | -1.55 | -0.24 | -1.32 | -3.23 | 0.58 | -1.45 | -1.82 | -2.75 | -6.30 | -8.91 |
2015 - Monthly Performance (%) | |||||||||||||||||||
Jan | Feb | Mar | Q1 | Apr | May | Jun | Q2 | 1H | Jul | Aug | Sep | Q3 | Oct | Nov | Dec | Q4 | 2H | 2015 | |
Price | 0.13 | 4.54 | 1.68 | 6.43 | 1.49 | -0.91 | -3.14 | -2.59 | 3.67 | 0.32 | -2.41 | -2.17 | -4.23 | 0.56 | -0.79 | -1.20 | -1.43 | -5.60 | -2.13 |
NAV | 0.50 | 2.03 | 0.50 | 3.05 | 1.13 | 0.27 | -0.80 | 0.59 | 3.66 | 0.19 | -1.15 | -1.44 | -2.38 | -0.15 | -1.64 | -2.06 | -3.81 | -6.10 | -2.66 |
Difference | 0.38 | -2.51 | -1.18 | -3.38 | -0.36 | 1.18 | 2.34 | 3.18 | -0.01 | -0.13 | 1.26 | 0.74 | 1.84 | -0.71 | -0.85 | -0.86 | -2.38 | -0.50 | -0.53 |
Performance Chart
Discount
Characteristics
PORTFOLIO Weighted Average Data |
||||
---|---|---|---|---|
Discount -4.78% |
1Yr Disc -10.38% |
3Yr Disc -9.36% |
5Yr Disc -8.17% |
Rel Disc Range (3yr) 88.70% |
Mkt Yield 5.77% |
Lev Adj NAV Yield 4.13% |
After Tax Yield* 4.45% |
Est Tax Friction* 1.32% |
3Yr NAV Volatiliy 9.24 |
1 Yr RoC 20.29% |
3 Yr Dest RoC 5.50% |
Leverage 31.76% |
Non Lev Exp Ratio 1.56% |
Beta (2yr) 0.53 |
Equity Exposure 1.42% |
Bond Exposure 97.03% |
# Holdings 17 |
Cash Weighted Duration 0.85 |
|
Comp NAV TR -4.52% |
Comp Discount -0.33% |
Net Assets (M) 399 |
Liquidity - 90d (K) 2,008 |
|
* Based on marginal tax rates of 25% and long-term capital gains rates of 15%. |
Asset Allocation
Constituents
17 Funds
Ticker | Name | Sponsor | Allocation | Discount | Market Yield | RoC(1yr) | Leverage | Net Assets | Liquidity (90d) |
---|---|---|---|---|---|---|---|---|---|
AFT | Apollo Sr Flt Rt Fd | Apollo | 5.97 | -8.24 | 6.30 | 0.00 | 32.08 | 259 | 992 |
BGB | Blackstone Stgc Cr Fd | Blackstone | 5.83 | -8.62 | 6.38 | 0.00 | 36.09 | 653 | 1,702 |
BGT | BR Flt Rt Incm Fd | BlackRock | 5.83 | -7.94 | 6.20 | 29.55 | 30.64 | 304 | 1,023 |
BGX | Blackstone Lng-Srt Cr Incm Fd | Blackstone | 5.89 | -7.07 | 6.79 | 0.00 | 38.08 | 196 | 760 |
BSL | Blackstone Sr Flt Rt Trm Fd | Blackstone | 5.98 | -2.32 | 5.48 | 0.00 | 32.98 | 222 | 1,051 |
EFF | EV Flt-Rt Inc+ Fd | Eaton Vance | 5.89 | -0.48 | 4.29 | 9.22 | 35.60 | 126 | 738 |
EFL | EV Flt-Rt 2022 Tgt Trm Tr | Eaton Vance | 6.03 | 4.95 | 4.18 | 0.00 | 34.32 | 220 | 601 |
EFR | EV Sr Flt-Rt Tr | Eaton Vance | 5.92 | -2.30 | 5.56 | 0.00 | 38.40 | 529 | 1,757 |
EFT | EV Flt-Rt Incm Tr | Eaton Vance | 5.85 | -2.74 | 5.16 | 0.00 | 37.90 | 581 | 1,628 |
FCT | FT Sr Flt Rt Incm Fd II | First Trust | 5.84 | -3.15 | 9.51 | 33.34 | 28.35 | 330 | 2,107 |
FIV | FT Sr Flt Rt 2022 Tgt Trm Fd | First Trust | 5.82 | -2.18 | 1.63 | 0.00 | 26.88 | 345 | 781 |
FRA | BR Flt Rt Incm Stgc Fd | BlackRock | 5.83 | -7.06 | 6.14 | 29.70 | 29.80 | 494 | 2,612 |
JFR | Nuv Flt Rt Incm Fd | Nuveen | 5.88 | -6.46 | 7.18 | 0.00 | 35.56 | 590 | 6,064 |
JRO | Nuv Flt Rt Incm Opp Fd | Nuveen | 5.87 | -6.82 | 7.21 | 0.00 | 35.55 | 416 | 3,167 |
NSL | Nuv Sr Incm Fd | Nuveen | 5.89 | -7.38 | 7.22 | 0.00 | 35.52 | 236 | 5,142 |
PPR | Voya Prime Rt Tr | Voya | 5.82 | -6.07 | 2.84 | 0.58 | 3.60 | 600 | 1,856 |
VVR | Invsc Sr Incm Tr | Invesco | 5.86 | -7.64 | 5.96 | 19.93 | 28.00 | 701 | 2,221 |