iShares J.P. Morgan EM Bond
ALTAR
Score™
3.8% info Median Credit
S&P/Moody's
BBB-/Baa3
 
Yield to
Maturity
5.3% Current
Yield
5.8%
Macaulay
Duration
7.7 yrs Modified
Duration
7.5%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
iShares J.P. Morgan USD Emerging Markets Bond ETF is an exchange-traded fund incorporated in the USA. The ETF seeks investment results that correspond to the price and yield of the JP Morgan Emerging Markets Bond Index.

FUND BASICS
Category Emerging Market
Fund Sponsor BlackRock Fund Advisors
Website www.ishares.com
Inception date Dec 19, 2007
Assets (mns) $14,897
Currency USD
Expense ratio 39 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian State Street Bank & Trust Co
Weighting Market Cap
Index replication Full

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 395
No of distinct issuers 139
Inflation protected 0%
Variable/Fixed coupon 5% /95%
Non-standard maturity (callable, etc.) 33%

TOP TEN HOLDINGS
GOVT OF URUGUAY 5.1% 6/18/50 0.9 %
GOVT OF RUSSIA 5.3% 6/23/47 0.7 %
GOVT OF PERU 5.6% 11/18/50 0.7 %
GOVT OF PERU 8.8% 11/21/33 0.7 %
GOVT OF COLOMBIA 5.0% 6/15/45 0.7 %
GOVT OF POLAND 5.0% 3/23/22 0.6 %
GOVT OF KUWAIT 3.5% 3/20/27 0.6 %
1MDB GLOBAL INVESTMEN 4.4% 3/09/23 0.6 %
GOVT OF UKRAINE 7.4% 9/25/32 0.6 %
GOVT OF PANAMA 6.7% 1/26/36 0.5 %
   
TOTAL 6.6 %

TOP ISSUERS
GOVT OF RUSSIA4.5%
GOVT OF TURKEY4.1%
GOVT OF ARGENTINA3.9%
GOVT OF THE PHILIPPINES3.7%
GOVT OF COLOMBIA3.5%

TOP COUNTRY EXPOSURE
MEXICO 5.5 %
INDONESIA 4.9 %
RUSSIA 4.5 %
TURKEY 4.2 %
Argentina 3.9 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru July 31)
Year-to-date 1 year 5 years 10 years Since Incep.
12.1% 10.4% 4.8% 6.6% 6.1%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 1.34 40%
S&P500 0.14 7%
MSCI EAFE 0.32 31%
MSCI Emg. Mkts. 0.28 37%

Technical Indicators
Recent close $113.98
30d moving avg. $113.65
Annualized volatility 6.3%
Short interest (ETF) 11.2%
Relative strength (RSI) 56
Liquidity measures
Avg. volume (thou.) 3,788
Avg. daily value traded (mns) $432
Turnover 2.8%
Bid/Ask (% of price) 0.01

Distributions


Yield Comparison

*Fund Category: EMERGING MARKET

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
EMB 7.7 yrs Category
Avg.*
8.5 yrs
 

Modified Duration info
 
EMB 7.5% Category
Avg.*
8.3%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 8.29% -16.5% $95.15
+200 bp 7.29% -12.3% $99.91
+150 bp 6.79% -9.8% $102.86
+100 bp 6.29% -6.8% $106.19
+75 bp 6.04% -5.3% $107.99
+50 bp 5.79% -3.6% $109.89
+25 bp 5.54% -1.8% $111.89
0 bp 5.29% 0% $113.98
-25 bp 5.04% 1.9% $116.17
-50 bp 4.79% 3.9% $118.45
-75 bp 4.54% 6.0% $120.82
-100 bp 4.29% 8.2% $123.29
-150 bp 3.79% 12.8% $128.51
-200 bp 3.29% 17.7% $134.12
-300 bp 2.29% 28.5% $146.46

*Fund Category: EMERGING MARKET

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 529 bp
Less: Annual "default factor" info 108 bp
Less: Expense ratio 39 bp
Equals: ALTAR Score 3.82 %
 

Average ALTAR Score™ by Category
Aggregate 1.7%
Corporate 2.2%
Emerging Market 3.6%
Government 1.6%
Inflation Protected 1.7%
Mortgage 2.8%
Municipals 2.2%
 
*Note: The iShares J.P. Morgan EM Bond is classified as a Emerging Market fund.

 

Our estimate of the impact of potential defaults on investor returns, based on historical default and recovery rates for bonds of similar credit rating and maturities.
See RATING tab for calculations of ALTAR Score™
Estimate of fund sensitivity to interest rate changes based on modified duration and convexity adjustment applied to underlying bonds. Note: Less meaningful for inflation-indexed bonds.
Adds expected inflation to real YTM for inflation-linked bonds so that all instruments are compared on a nominal basis
Weighted-average term to maturity of the cash flows from a bond. All else being equal, bonds of longer duration are more sensitive to changes in interest rates than bonds of shorter duration.
Approximation of the change in bond prices given a 100 basis point shift in interest rates. A better estimate, particularly for larger moves in interest rates, is provided by the Rate Sensitivity Analysis below.