BATS: Securitized Total Return Series
Actively managed U.S. bond fund
As of its 2026 Q2 report, BATS: Securitized Total Return Series held 2,131 positions with $5.35B in net assets. Its ten largest holdings made up 11.0% of the fund. The fund costs 0.02% a year. Over the 12 months to May 2026, it returned 6.3%, with dividends reinvested. In 2026 Q2 it added 272 new positions and exited 164.
The investment objective of the BATS: Securitized Total Return Series (formerly known as BATS: Series A Portfolio) (the Fund) is to seek a high level of current income consistent with capital preservation.
The fund invests at least 80% of assets in securitized assets including mortgage-backed securities, asset-backed securities, collateralized debt and loan obligations, and commercial mortgage loans, with at least 25% in mortgage-related securities. The management team evaluates individual securities and sectors within the securitized asset market and may use derivatives, repurchase agreements, and leveraged techniques to enhance returns. The fund may hold both investment-grade and non-investment-grade securities of any maturity and engages in active trading. Because security selection depends on the management team's evaluation, fund performance will diverge from any benchmark.
What you own
| Company | Weight | Value | Shares |
|---|---|---|---|
DREYFUS TREASURY SECURITIES CASH MANAGEMENT | 5.23% | $279.66M | — |
BARCLAYS MORTGAGE LOAN TRUST 2026-NQM4 0.00% · due 2056-05-25 | 0.96% | $51.31M | — |
BARCLAYS MORTGAGE LOAN TRUST 2025-N 5.23% floating · due 2064-12-25 | 0.86% | $46.04M | — |
BARCLAYS MORTGAGE LOAN TRUST 2025-NQM5 0.01% floating · due 2055-10-25 | 0.77% | $40.99M | — |
BARCLAYS MORTGAGE LOAN TRUST 2025-NQM4 0.01% floating · due 2065-07-25 | 0.76% | $40.70M | — |
BARCLAYS MORTGAGE LOAN TRUST 2026-NQM3 0.01% floating · due 2066-01-01 | 0.70% | $37.27M | — |
BAHA TRUST 2024-MAR 6.17% floating · due 2041-12-12 | 0.54% | $28.86M | — |
Perimeter Master Note Business 6.01% · due 2032-01-15 | 0.40% | $21.40M | — |
BX TRUST 2026-PNDA 4.93% floating · due 2043-05-15 | 0.40% | $21.36M | — |
BARCLAYS MORTGAGE LOAN TRUST 2024-NQM4 4.79% floating · due 2064-12-25 | 0.38% | $20.13M | — |
The 200 largest of 2,131 holdings, with the share counts as filed, open with a free account.
What the fund is made of
Percentages are of fund net assets. Rounding, liabilities and short positions can make totals differ from 100%.
| Securitized | 95.76% |
| Cash & short-term | 5.23% |
| Loans | 0.42% |
| Bonds | 0.33% |
Derivatives are shown at market value, not notional exposure.
How it has done
C000146955 share class · total returns with dividends reinvested
Volatility over the last 12 months: 1.10%. Past returns are a record, not a forecast.
Jun 2026 has been filed since the trailing figures were struck, so it is not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
Fees & fund details
BATS: Securitized Total Return Series is an actively managed U.S. bond fund.
- Asset class
- Bonds
- Region
- United States
- Management
- Actively managed
- Fund type
- Open-end fund
- Credit quality
- Mixed credit
- Rate sensitivity
- Short duration
- Expense ratio, by class
- 0.02%
- Portfolio turnover
- 50.00% a year · as of 2025 Q4
Net is what a holder pays after the adviser's contractual waiver; gross is before it. A waiver can expire.
Turnover is how much of the portfolio was replaced in a year.
Classified from what the fund holds, not from its name · 2026 Q2. The summary is a paraphrase of the prospectus; the objective is verbatim.
What changed this quarter
Positions that entered or left the fund since its previous filing. Positions that were only resized are not listed.
272 new· the largest 8
164 exited· the largest 8
Debt profile
What this fund holds — value-weighted across its bond and securitized long positions · as of 2026-06-30
Share of the fund's debt by how its coupon behaves — the fact that decides whether a rate move reaches this portfolio at all.
| Floating rate | 75.9% |
| Fixed rate | 22.4% |
| Zero-coupon or unclassified | 1.7% |
Share of the fund's debt value in each maturity band, shortest first.
| <1y | 0.2% |
| 1-3y | 0.5% |
| 3-5y | 2.2% |
| 5-10y | 12.8% |
| 10y+ | 84.4% |
| Unknown | 0.0% |
These three overlap — one holding can be in arrears and paying in kind at once — so they are shown separately and never summed.
Risk profile
Interest-rate and credit-spread sensitivity, both in years · as of 2026Q2
More of this fund’s sensitivity sits in credit spreads than in interest rates — a rate rally that comes with a credit selloff works against it.
Where the loss would come from. The two shocks are the same size, so this is the balance of the fund's two sensitivities rather than a bet on one moving more.
| Credit spreads | 64% |
| Interest rates | 36% |
Filers report the impact of a 0.01% move only, so the total is our own scaling of that one number and overstates the loss on most bonds — read it as approximate, never as precise. The two sensitivities overlap rather than add up: they measure the same positions against different shocks, which is why the durations above are shown side by side and never summed.
Share of the fund's spread duration carried by each credit tier.
| Investment grade | +1.85 yr |
| High yield | +0.94 yr |
Share of duration at each point, shortest first. A positive figure loses value when spreads widen; a negative one offsets — a credit hedge.
| 3 mo | 0.05 yr | 3% |
| 1 yr | 0.29 yr | 19% |
| 5 yr | 0.92 yr | 60% |
| 10 yr | 0.24 yr | 16% |
| 30 yr | 0.04 yr | 2% |
| 3 mo | 1.04 yr | 37% |
| 1 yr | 0.17 yr | 6% |
| 5 yr | 1.11 yr | 40% |
| 10 yr | 0.07 yr | 2% |
| 30 yr | 0.40 yr | 14% |
The two bands measure the same positions against different shocks and do not add — a Treasury carries rate duration and no spread duration, a floating-rate credit the reverse. Rate tenors are also summed across every currency the fund discloses.
Show the numbers
| Tenor | Rate yrs | IG yrs | HY yrs | IG $/bp | HY $/bp |
|---|---|---|---|---|---|
| 3 mo | +0.05 | +0.78 | +0.26 | $419.6k | $137.9k |
| 1 yr | +0.29 | +0.10 | +0.07 | $54.6k | $35.8k |
| 5 yr | +0.92 | +0.74 | +0.37 | $397.4k | $195.8k |
| 10 yr | +0.24 | +0.02 | +0.05 | $12.1k | $24.2k |
| 30 yr | +0.04 | +0.20 | +0.20 | $105.6k | $106.6k |
Dollar change per 1bp of spread movement, as filed and sign-anchored. A blank cell was not filed; a zero was.
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