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JDAIX

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Diversified Alternatives Fund

Diversified Liquid Alternative Fund Seeking Absolute Returns
NAV As of 02/22/18 $10.24

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Fund Facts

Details Performance (As of 02/22/18) Morningstar (As of 01/31/18)
12/28/12 Inception Date
$110.57M Total Net Assets (As of 01/31/18)
GROSS 1.34%
NET 1.13%
Annual Expense Ratio
(As of fiscal year end 06/30/17)
Morningstar Fee Level (As of 01/31/18)
Fee Level Group
Multialternative Institutional
(out of 153 funds)
Morningstar Fee Level Below Average
View Morningstar Fee Level
-0.19% 1 Day Return
0.89% YTD Return
Category
Multialternative
Important Morningstar Information

Overview

Client Commitment

This liquid alternatives fund seeks to provide positive absolute returns with true diversification through low correlation to stocks and bonds. We invest in a portfolio of traditional and nontraditional investable risk premia derived from equity, fixed income, currency and commodity asset classes. By targeting a broad collection of statistically independent sources of return, we believe we are in a position to create a more robust portfolio that provides, over time, a generally more stable source of return with a targeted volatility of 5%-7%, significantly less than the long-term volatility of stocks.

Why Invest in the Fund

    Target Absolute Return

  1. The portfolio seeks to deliver absolute returns over a full market cycle.
  2. Seeks Constant Volatility

  3. The portfolio targets 6% annualized volatility over a full market cycle.
  4. Diversification

  5. The portfolio seeks to provide diversification through low correlation to traditional assets such as stocks and bonds.

A True Alternative: Seeks to be a Diversifier and Driver of Returns

Diversifier
Fund (Class I Shares) and Morningstar Category average correlations and volatility relative to the MSCI All Country World Index (3 Years: 1/1/15 – 12/31/17)

Chart: Diversified Alternatives Fund A True Alternative: Seeks to be a Diversifier and Driver of Returns

Source: Morningstar, Inc.
Relative volatility measures the ratio of standard deviation relative to the standard deviation of the MSCI All Country World Index. Since equities pose the predominant risk in traditional portfolios, this global equity index is used as an indicator of equity risk in order to determine how well an alternative strategy diversifies away from this risk.
Past performance is no guarantee of future results.

Featured Insights

Performance

RETURNS

(As of 12/31/2017)
(As of 01/31/2018)
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Diversified Alternatives Fund – I Shares 1.25% 3.87% 3.87% 2.43% 1.83% - 1.85%
Bloomberg Barclays U.S. Aggregate Bond Index 0.39% 3.54% 3.54% 2.24% 2.10% 4.01% 2.08%
LIBOR +3% 0.89% 4.38% 4.38% 3.84% 3.80% 4.48% 3.80%
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Diversified Alternatives Fund – I Shares 2.35% 1.28% 4.47% 2.43% 2.20% - 2.07%
Bloomberg Barclays U.S. Aggregate Bond Index -0.83% -1.15% 2.15% 1.14% 2.01% 3.71% 1.81%
LIBOR +3% - - - - - - 3.79%
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold.
View Fees and Expenses

MORNINGSTAR PERCENTILE

(As of 12/31/2017)
(As of 01/31/2018)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 64 39 74 - 75
Multialternative Category
Rank/Count
254/416 115/315 146/200 -/- 148/200
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 63 44 70 - 75
Multialternative Category
Rank/Count
258/417 125/327 142/208 -/- 153/206

Calendar Year Performance

GROWTH OF A $10,000 HYPOTHETICAL INVESTMENT

Source: Morningstar, Inc.

RETURNS-BASED STATISTICS

(As of 01/31/18 CLASS I SHARES)

RISK / REWARD
VS. BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX

3 YEAR 5 YEAR
Information Ratio 0.26 0.04
Alpha 2.12 1.58
Tracking Error 5.01 4.50
Beta 0.36 0.34
R-Squared (%) 3.97 5.42

UP AND DOWN MARKET CAPTURE (%)
VS. BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX

3 YEAR 5 YEAR
Up Capture Ratio 80.19 65.85
Down Capture Ratio 29.17 37.57

STANDARD DEVIATION

3 YEAR 5 YEAR
Diversified Alternatives Fund 4.80 4.19
Bloomberg Barclays U.S. Aggregate Bond Index 2.68 2.88

SHARPE RATIO

3 YEAR 5 YEAR
Diversified Alternatives Fund 0.42 0.46
Bloomberg Barclays U.S. Aggregate Bond Index 0.27 0.60

ANNUAL FEES & EXPENSES

(As of Fiscal Year End, 06/30/17)

CLASS I SHARES
Management Fees 1.00%
12b-1 Fees -
Other Expenses 0.34%
Total Gross Expenses 1.34%
Waivers -0.21%
Total Net Expenses 1.13%
Net expense ratios reflect the expense waiver, if any, contractually agreed to through 11/1/18.

Characteristics

Index represents the Bloomberg Barclays U.S. Aggregate Bond Index.

TOP HOLDINGS

(Based on absolute notional exposure)

BNP Commodity Basket Swap Expire 01/31/18
BNP Small-Cap Basket Swap Expire 01/31/18
BNP Value Basket Swap Expire 01/31/18
Bloomberg Barclays US Credit RBI(SM) Series 1 Total Return Index Unhedged USD Swap Expire 01/31
MSCI Emerging Net Total Return USD Index Swap Expire 07/02/18
United States Treasury Bill 0 03/08/2018
United States Treasury Bill 0 04/12/2018
United States Treasury Bill 0 05/10/2018
United States Treasury Bill 0 06/07/2018
United States Treasury Bill 0 07/12/2018

Commentary & Literature

4Q17 Portfolio Commentary Highlights

  • The Fund outperformed its benchmarks during the quarter.
  • Three of our equity strategies contributed to returns as the trend of coordinated global growth continued to play out.
  • The equity size strategy detracted: small caps underperformed large caps during the quarter despite their rally late in the period after it became clear that the U.S. tax bill would pass.

Read The Full Commentary