AdvisorShares Sage Core Reserves ETF

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Returns less than one year are not annualized. For the fund’s most recent month end performance, please click www.advisorshares.com/fund/HOLD.

September 2018 Portfolio Manager Review


  • During the month of September, the AdvisorShares Core Reserves (NYSE Arca: HOLD) returned 21 basis-points (NAV) vs.16 basis-points on the Bloomberg Barclays US Treasury Bill 1-3 Month Index.
  • The Fund paid out income of 14.4 cents per share.
  • The Bloomberg Barclays US Corporate 1-3 Year average option adjusted spread (OAS) was 6 basis-point tighter on the month, ending at 0.49%.



  • Financials were the best performing corporate subsector, returning 24 basis-points on the month. All the better performing positions within that category were the longer dated floating rate securities. Among the better performing positions were the American Express 2020’s, the JPM 2021’s, and the BB&T 2020’s, returning 62, 58, and 34 basis-points.
  • Industrials, which make up nearly 33% of the portfolio, returned 23 basis-points on the month. The best performing position was the Abbot Laboratories, which returned 88 basis-points due to a full call on the position. Some of the other better performing positions include Midcontinent Express 2019’s, Equifax 2021’s, and Allergan Funding 2020’s, which returned 65, 54, and 46 basis-points. One of the poorer performing positions was the Becton Dickinson 2020’s floating rate position which returned -31 basis-points due to some spread widening.
  • Asset-backed securities, which returned 19 basis-points during the month, is a sector that has seen a lot of investor appetite. The recent ABS conference seemed to reaffirm investor confidence in the sector, and secondary spreads held in very well despite the significant new issue after the conference.


Portfolio Activity:

  • During the month of September the portfolio had 1,065mm in maturities and $1,156m in structured product paydowns.
  • The Fund had several creation units during the month, increasing its size to nearly $65mm.


Looking Ahead:

  • The month of September began what appears to be a categorical shift in the overall level of interest rates, as both the 2 and 10 year Treasuries were 20 basis-points wider.This was due to a number of issues, including China cutting tariffs. In the wake of the recent trade war rhetoric, this was a surprise.
  • While rates did jump in September, the real surprise came at the beginning of October as the Federal Reserve Chairman Jerome Powell indicated that we are still a long way away from the neutral rate, stoking fear of further rate hikes, which in turn caused rates to increase and the curve to steepen. The market currently expects another rate hike in December, and is now giving the March meeting a greater than 50% chance of a hike as well. Thelevel at which rates will find their new normal is yet to be seen, but it seems as though the path of least resistance is higher rates, barring any unforeseen economic or geopolitical pressures.


Sage Advisory Services
Portfolio Manager of HOLD


August 2018 Commentary


Top 10 Holdings

Name Price Weight
T 0 7/8 04/15/19 99.17 5.02%
TAOT 2016-D A3 99.31 2.10%
COMET 2016-A3 A3 99.04 2.00%
VZOT 2016-1A A 99.53 2.00%
CHAIT 2016-A2 A 99.05 1.92%
WFC 2 1/8 04/22/19 99.68 1.71%
GS 0 02/25/21 103.19 1.71%
BAC 2 1/4 04/21/20 98.72 1.50%
BK 2.15 02/24/20 98.89 1.44%
AGN 0 03/12/20 101.37 1.34%


Portfolio Characteristics

YTW Coupon Maturity (Yrs) Eff Dur
2.910 2.702 2.060 0.470

Source: Sage Advisory Services; As of 9/30/2018

Quality Breakdown





















Credit quality ratings are primarily sourced from Moody’s but in the event that Moody’s has not assigned a rating the Fund will use Standard & Poor’s (the “S&P”). If these ratings are in conflict the most conservative rating will be used. If none of the major rating agencies have assigned a rating the Fund will assign a rating of NR (nonrated security). The ratings represent their (Moody’s and S &P) opinions as to the quality of the securities they rate. Ratings are relative and subjective and are not absolute standards of quality.

The credit ratings are published rankings based on detailed financial analyses by a credit bureau specifically as it relates the bond issue’s ability to meet debt obligations. The highest rating is Aaa, and the lowest is D. Securities with credit ratings of BBB and above are considered investment grade.

Sector Allocation as of 09.30.2018 Allocation
Governments 5.2%
Mortgage Backed Securities 0.5%
Asset Backed Securities 27.9%
Credit 64%
Cash 2.5%
Total 100%


Before investing you should carefully consider the Fund’s investment objectives, risks, charges and expenses. This and other information is in the prospectus and summary prospectus which can be obtained by visiting www.advisorshares.com. Please read the prospectus and summary prospectus carefully before you invest. Foreside Fund Services, LLC, distributor.

There is no guarantee that the Fund will achieve its investment objective. Diversification and sector asset allocation do not guarantee a profit, nor do they eliminate the risk of loss of principal. An investment in the Fund is subject to risk, including the possible loss of principal amount invested. The Fund’s investment in fixed income securities will change in value in response to interest rate changes and other factors, such as the perception of the issuer’s creditworthiness. Fixed income securities with longer maturities are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. The Fund’s investments in high-yield securities or “junk bonds” are subject to a greater risk of loss of income and principal than higher grade debt securities. In addition the Fund is subject to leveraging risk which tends to exaggerate the effect of any increase or decrease in the value of the portfolio securities. The Fund is also subject to liquidity risk, issuer risk, foreign currency and investment risk, prepayment risk and trading risk. See prospectus for details regarding specific risks.

Shares are bought and sold at market price (closing price) not NAV and are not individually redeemed from the Fund. Market price returns are based on the midpoint of the bid/ask spread at 4:00 pm Eastern Time (when NAV is normally determined), and do not represent the return you would receive if you traded at other times. Holdings and allocations are subject to risks and to change.

The views in this material were those of the Portfolio Manager and may not reflect his views on the date this material is distributed or anytime thereafter. These views are intended to assist shareholders in understanding their investments and do not constitute investment advice.


The 2/10 Yield Curve measures the difference between the 2-year Treasury and the 10-year Treasury giving an indication of the curve’s steepness. The curve’s flattening or steepening can be used to predict changes in economic output and growth.
A Yield Curve is a line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year U.S. Treasury debt. This yield curve is used as a benchmark for other debt in the market, such as mortgage rates or bank lending rates. The curve is also used to predict changes in economic output and growth.
Credit Spread is the spread between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating.
Spread is the difference between the bid and the ask price of a securtyi or asset.
Investment Grade is a rating that indicates that a municipal or corporate bond has a relatively low risk of default. Bond rating firms, such as Standard & Poor’s, use different designations consisting of upper- and lower-case letters ‘A’ and ‘B’ to identify a bond’s credit quality rating. For example, ‘AAA’ and ‘AA’ (high credit quality) and ‘A’ and ‘BBB’ (medium credit quality) are considered investment grade. Credit ratings for bonds below these designations (‘BB’, ‘B’, ‘CCC’, etc.) are considered low credit quality (speculative), and are commonly referred to as “junk bonds”.
The Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food and medical care. The CPI is calculated by taking price changes for each item in the predetermined basket of goods and averaging them; the goods are weighted according to their importance. Changes in CPI are used to assess price changes associated with the cost of
living. One cannot invest directly in an index.
Treasury Inflation-Protected Securities (TIPS) are Treasury bonds that are adjusted to eliminate the effects of inflation on interest and principal payments, as measured by the Consumer Price Index (CPI).
Duration is a measure of the sensitivity of the price (the value of prni cipal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.
The Fed Funds rate is the interest rate at which a depository institution lends immediately available funds (balances at the Federal Reserve) to another depository institution overnight. The rate may vary from depository institution to depository institution and from day to day.
London Interbank Offered Rate (LIBOR) is an interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. The LIBOR is fixed on a daily basis by the British Bankers’ Association. The LIBOR is derived from a filtered average of the world’s
most creditworthy banks’ interbank deposit rates for larger loans with maturities between overnight and one full year.
The Option Adjusted Spread (OAS) is a measurement of the spread of a fixed-income security rate and the risk-free rate of return, which is adjusted to take into account an embedded option. Typically, an analyst would use the Treasury securities yield for the risk-free rate. The spread is added to the fixed-income security price to make the risk-free bond price the same as the bond.
Coupon is the interest rate stated on a bond when it’s issued. The coupon is typically paid semi-annually.
Yield-To-Worst is the lowest potential yield that can be received on a bond without the issuer actually defaulting. The yield to worst is calculated by making worst-case scenario assumptions on the issue by calculating the returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer. This metric is used to evaluate the worst-case scenario for yield to help investors manage risks and ensure that
specific income requirements will still be met even in the worst scenarios.
30–Day SEC Yield (Standardized Yield) is an annualized yield that is calculated by dividing the investment income earned by the Fund less expenses over the most recent 30-day period by the current maximum offering price.
The Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced.
The Unsubsidized Yield does not adjust for any fee waivers and/ or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Subsidized Yield and 30-Day Unsubsidized Yield will be identical.
A Mortgage Backed Security is a type of asset-backed security that is secured by a mortgage, or more commonly a collection (“pool”) of sometimes hundreds of mortgages.