ProShares IG Interest Rate Hedged
ALTAR
Score™
2.9% info Median Credit
S&P/Moody's
A-/A3
 
Yield to
Maturity
3.4% Current
Yield
4.1%
Macaulay
Duration
10.9 yrs Modified
Duration
10.8%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
ProShares Investment Grade-Interest Rate Hedged ETF is an exchange-traded fund incorporated in the USA. The ETF seeks investment results, before fees and expenses, that track the performance of the Citi Corp Investment Grade (Treasury Rate-Hedged) Index.

FUND BASICS
Category Corporate
Fund Sponsor ProShare Advisors LLC
Website www.proshares.com
Inception date Nov 05, 2013
Assets (mns) $274
Currency USD
Expense ratio 30 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian JPMorgan Chase Bank National Association
Weighting Unknown
Index replication Full

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 261
No of distinct issuers 124
Inflation protected 0%
Variable/Fixed coupon 5% /95%
Non-standard maturity (callable, etc.) 20%

TOP TEN HOLDINGS
GOLDMAN SACHS GROUP, 6.8% 1/01/37 1.5 %
PFIZER INC. 7.2% 3/15/39 1.5 %
BARCLAYS PLC 4.4% 1/12/26 1.2 %
VERIZON COMMUNICATION 4.3% 1/15/36 1.1 %
APPLE INC. 3.2% 5/13/25 1.1 %
MEDTRONIC, INC. 4.6% 3/15/45 1.0 %
GLAXOSMITHKLINE CAPIT 6.4% 5/15/38 1.0 %
MITSUBISHI UFJ FINANC 3.9% 3/01/26 1.0 %
TELEFONICA EMISIONES 7.0% 6/20/36 0.9 %
CONOCOPHILLIPS 6.5% 2/01/39 0.9 %
   
TOTAL 11.1 %

TOP ISSUERS
VODAFONE GROUP PLC2.6%
WELLS FARGO & COMPANY2.6%
MITSUBISHI UFJ FINANCIAL GROUP, INC.2.5%
APPLE INC2.3%
VERIZON COMMUNICATIONS INC.2.3%

TOP COUNTRY EXPOSURE
UNITED STATES 62.9 %
BRITAIN 7.6 %
NETHERLANDS 5.5 %
JAPAN 5.3 %
UNITED KINGDOM 3.3 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru September 30)
Year-to-date 1 year 5 years 10 years Since Incep.
7.4% 2.4% 2.0% -- 2.2%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond -0.40 7%
S&P500 0.29 50%
MSCI EAFE 0.33 54%
MSCI Emg. Mkts. 0.20 34%

Technical Indicators
Recent close $75.03
30d moving avg. $74.38
Annualized volatility 4.9%
Short interest (ETF) 0.0%
Relative strength (RSI) 60
Liquidity measures
Avg. volume (thou.) 26
Avg. daily value traded (mns) $2
Turnover 0.7%
Bid/Ask (% of price) 0.27

Distributions


Yield Comparison

*Fund Category: CORPORATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
IGHG 10.9 yrs Category
Avg.*
4.6 yrs
 

Modified Duration info
 
IGHG 10.8% Category
Avg.*
4.6%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 6.36% -23.3% $57.57
+200 bp 5.36% -17.5% $61.89
+150 bp 4.86% -13.9% $64.61
+100 bp 4.36% -9.8% $67.71
+75 bp 4.11% -7.5% $69.40
+50 bp 3.86% -5.1% $71.18
+25 bp 3.61% -2.6% $73.06
0 bp 3.36% 0% $75.03
-25 bp 3.11% 2.8% $77.09
-50 bp 2.86% 5.6% $79.25
-75 bp 2.61% 8.6% $81.51
-100 bp 2.36% 11.8% $83.85
-150 bp 1.86% 18.4% $88.82
-200 bp 1.36% 25.5% $94.17
-300 bp 0.36% 41.3% $106.00

*Fund Category: CORPORATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 336 bp
Less: Annual "default factor" info 21 bp
Less: Expense ratio 30 bp
Equals: ALTAR Score 2.85 %
 

Average ALTAR Score™ by Category
Aggregate 1.7%
Corporate 2.3%
Emerging Market 3.6%
Government 1.7%
Inflation Protected 1.8%
Mortgage 2.8%
Municipals 2.3%
 
*Note: The ProShares IG Interest Rate Hedged is classified as a Corporate 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.