Mortgage Securities Fund

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Fact Sheet

Investment approach

The Brown Advisory Mortgage Securities Fund employs a strategy centered on individual security analysis and prepayment analysis to identify securities with slower payback speeds. This helps maintain a yield stream. To achieve this objective, the fund will invest at least 80% of its total net assets in investment grade mortgage-related securities. The remaining portion (up to 20%) may be allocated to non-investment-grade or unrated securities. The managers may invest in derivatives instruments, such as options, futures contracts, and options on futures to manage and hedge risks.

Fund profile

The fund invests independently from the benchmark in a concentrated portfolio of high conviction names. The fund will generally invest in fixed income instruments which pay principal over time. Most of the securities will have an expected life in the range of 2-8 years.

Credit Quality Distribution (%)

(As of Sep 30, 2024)

Fund Benchmark
AAA/Aaa 97.1 100.0
AA/Aa 1.5 —
A 0.1 —
BBB – —
High Yield – —
Not Rated 1.2 —
AA- 0.1 —
Credit quality is calculated using ratings assigned by Moody's. If Moody's does not rate a holding then Standard & Poor’s is used. If Moody’s and Standard & Poor’s do not rate a holding then Fitch is used. A bond is considered investment grade if its credit rating is BBB- or higher according to Standard & Poor’s; more specifically, a rating of “AAA” represents the highest credit quality with minimal risk of default and a rating of “BB” or below represents speculative financial security. High Yield, if noted, includes holdings that are rated BB+ or lower according to Moody’s. Not Rated category, if noted, includes holdings that are not rated by any rating agencies. All ratings are as of 09/30/2024.

Duration Distribution (%)

(As of Sep 30, 2024)

Fund Benchmark
< 1 Year 6.4 0.1
1 to 3 Years 6.3 14.5
3 to 5 Years 24.9 18.5
5 to 7 Years 40.3 29.2
7 to 10 Years 24.3 37.7
> 10 Years -2.1 –
Source: FactSet® Duration distribution includes cash and equivalents. Distribution is subject to change and should not be a recommendation to engage in or refrain from a particular course of action or to make or hold a particular investment or pursue a particular investment strategy, including whether or not to buy, sell, or hold any of the securities mentioned.

Portfolio Sector

(As of Sep 30, 2024)

Sector Fund Benchmark
Cash & Equivalents -4.4 —
Corporate — —
Mortgage 92.3 100.0
CMBS 1.7 —
ABS 7.6 —
Municipal 0.1 —
Unassigned 0.5 —
SBA — —
U.S. Government 2.1 —
Source: Advent Portfolio Exchange® for fund data, FactSet® for benchmark data.Sector breakdown includes cash and equivalents. The information provided in this material is not intended to be and should not be considered to be a recommendation or suggestion to engage in or refrain from a particular course of action or to make or hold a particular investment or pursue a particular investment strategy, including whether or not to buy, sell, or hold any of the securities mentioned. It should not be assumed that investments in such securities have been or will be profitable. Figures may not total 100% due to rounding. # Cash balance can be negative to reflect economic exposure to derivatives and other forward contracts.

Characteristics

(As of Sep 30, 2024)

Portfolio Attribute Fund Benchmark
Average life (yrs) 7.4 7.7
Effective Duration (years) 5.8 5.7
30-Day SEC Yield (%) (Investor Share Class) 3.99 —
Source: Fund net assets provided by U.S. Bank; portfolio characteristics from FactSet® and include cash and equivalents. Total net assets are as of the last day of the quarter and include all share classes.   Mutual fund investing involves risk. Principal loss is possible. Investments in foreign securities and ADRs entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets.  The Brown Advisory funds are distributed by ALPS Distributors, Inc. 1290 Broadway, Suite 1000, Denver, CO 80203. Brown Advisory Funds and ALPS are not affiliated.
Total assets under management value as of 09/30/2024. 
Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Click here for a current prospectus. Please read and consider it carefully before investing. You may obtain a hardcopy of the prospectus by calling 1-800-540-6807.
Click here for index and financial term definitions.

Average Annual Total Returns % (As of Sep 30, 2024)

Share Class Three Months One Year Three Year Five Year Ten Year Since Inception
Investor (BIAZX), Inception: 12/26/2013 5.38 11.39 -1.04 0.49 1.72 1.84
Bloomberg Mortgage Backed Securities Index 5.53 12.32 -1.20 0.04 1.41 1.72
Gross Expense Ratio: 0.53% (Investor), 0.48% (Institutional).
Net Expense Ratio: 0.53% (Investor), 0.48% (Institutional).
Returns greater than one year are annualized.
Performance data quoted represents past performance and is no guarantee of future results. Performance for periods greater than one year is annualized. 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. Performance for other share classes will vary. Shares redeemed or exchanged within 14 days of purchase will be charged a 1.00% fee. Performance data quoted does not reflect the redemption or exchange fee. If reflected, total returns would be reduced. For the most recent month-end performance, please call 1-800-540-6807. 
 
 
Mutual fund investing involves risk. Principal loss is possible. Investments in foreign securities and ADRs entail certain risks not associated with investments in domestic securities, such as volatility of currency exchange rates, and in some cases, political and economic instability and relatively illiquid markets. 
The Brown Advisory funds are distributed by ALPS Distributors, Inc. 1290 Broadway, Suite 1000, Denver, CO 80203. Brown Advisory Funds and ALPS are not affiliated.
Total assets under management value as of 09/30/2024.
Click here for a current prospectus. Please read and consider it carefully before investing. You may obtain a hardcopy of the prospectus by calling 1-800-540-6807.
Click here for index and financial term definitions.

Top Holdings

(As of Sep 30, 2024)

Name Percentage
First American Government Obligations Fund, 4.79% 11.1
FNCL 2 10/20, 2.00% 5.0
GNMAII JUMBO TBA 30YR TBA 02.500% OCT, 2.50% 3.1
Freddie Mac Pool SD8196, 3.50% Due 02/01/2052 1.2
Freddie Mac Pool SD4697, 6.00% Due 02/01/2054 1.2
Total 21.6%
Source: U.S. Bank. Portfolio holdings include cash and equivalents. Fund holdings are subject to change and should not be considered a suggestion or a recommendation to engage in or refrain from a particular course of action or to make or hold a particular investment or pursue a particular investment strategy, including whether or not to buy, sell, or hold any of the securities mentioned. It should not be assumed that investments in such securities have been or will be profitable.
Mutual fund investing involves risk. Principal loss is possible.
Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. Certain fixed income securities held by the Fund may be difficult (or impossible) to sell at the time and at the price the Adviser would like. As a result, the Fund may have to hold these securities longer than it would like and may forego other investment opportunities. Issuers may experience an acceleration in prepayments of mortgage loans or other receivables backing the issuers’ fixed income securities when interest rates decline, which can shorten the maturity of the security, force the Fund to invest in securities with lower interest rates, and reduce the Fund’s return. Issuers may decrease prepayments of principal when interest rates increase, extending the maturity of a fixed income security and causing the value of the security to decline. In addition, the fund is susceptible to risks from investments in derivatives, U.S. Government securities, and its investments in other investment companies.
 
The Brown Advisory funds are distributed by ALPS Distributors, Inc. 1290 Broadway, Suite 1000, Denver, CO 80203. Brown Advisory Funds and ALPS are not affiliated.
© 2023 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Morningstar Rating™ is a trademark of Morningstar, Inc. Morningstar Rating™ is for the Investor share class only; other classes may have different performance characteristics. “The Morningstar Rating™ for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star.
The Overall Morningstar Rating™ for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating™ metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.”  Brown Advisory Mortgage Securities Fund was rated against the following numbers of U.S. domiciled Intermediate Government funds over the following time periods: 228 funds in the last three year, 217 funds in the last five year and 179 for last ten-year period ending 09/30/2024. With respect to these U.S. Intermediate Government funds, Brown Advisory Mortgage Securities Fund received a Morningstar Rating of 4 stars, 4 stars and 5 stars for the three-, five- and ten-year periods respectively.
Morningstar Rating™ as of 09/30/2024 for Investor Shares (derived from a weighted average of the fund’s three-, five- and 10-year risk adjusted return measure).
Total assets under management value as of 09/30/2024. 
Inception date for Investor share class.
Click here for a current prospectus. Please read and consider it carefully before investing. You may obtain a hardcopy of the prospectus by calling 1-800-540-6807.
Click here for index and financial term definitions.