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JDDAX

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Diversified Alternatives Fund

Diversified Risk Premia Strategy Seeking Absolute Returns
NAV As of 12/07/18 $9.58

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Fund Facts

Details Performance (As of 12/07/18) Morningstar (As of 11/30/18)
12/28/12 Inception Date
$105.62M Total Net Assets (As of 10/31/18)
GROSS 1.56%
NET 1.39%
Annual Expense Ratio
(As of fiscal year end 06/30/18)
Morningstar Fee Level (As of 11/30/18)
Fee Level Group
Multialternative Front Load
(out of 71 funds)
Morningstar Fee Level Below Average
View Morningstar Fee Level
0.31% 1 Day Return
-5.15% YTD Return @NAV
-10.63% YTD Return @MOP
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% to 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: 10/1/15 – 9/30/18)

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 09/30/2018)
(As of 11/30/2018)
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Class A Shares @NAV -1.39% -1.78% -0.63% 3.40% 1.54% - 1.10%
Class A Shares @MOP -7.03% -7.46% -6.30% 1.39% 0.34% - 0.07%
Bloomberg Barclays U.S. Aggregate Bond Index 0.02% -1.60% -1.22% 1.31% 2.16% 3.77% 1.52%
LIBOR +3% 1.28% 3.42% 4.34% 4.12% 3.88% 4.34% 3.90%
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Class A Shares @NAV -4.86% -4.95% -4.77% 1.33% 0.59% - 0.51%
Class A Shares @MOP -10.36% -10.45% -10.24% -0.65% -0.60% - -0.49%
Bloomberg Barclays U.S. Aggregate Bond Index -0.84% -1.79% -1.34% 1.33% 2.03% 3.67% 1.44%
LIBOR +3% 1.19% 4.24% 4.51% 4.22% 3.91% 4.20% 3.90%
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.
Maximum Offering Price (MOP) returns include the maximum sales charge of 5.75%. Net Asset Value (NAV) returns exclude this charge, which would have reduced returns.
View Fees and Expenses

MORNINGSTAR PERCENTILE

(As of 09/30/2018)
(As of 11/30/2018)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 74 34 68 - 85
Multialternative Category
Rank/Count
266/388 100/336 131/197 -/- 154/176
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 83 52 71 - 85
Multialternative Category
Rank/Count
308/376 148/322 141/203 -/- 153/174

CALENDAR YEAR PERFORMANCE

GROWTH OF A $10,000 HYPOTHETICAL INVESTMENT

Source: Morningstar, Inc.
This graph compares fund performance to that of the fund’s Morningstar category average and benchmark(s).

RETURNS-BASED STATISTICS

(As of 10/31/18 CLASS I SHARES)

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

3 YEAR 5 YEAR
Information Ratio 0.39 -0.15
Alpha 2.49 0.51
Tracking Error 4.80 4.50
Beta 0.46 0.40
R-Squared (%) 6.98 6.19

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

3 YEAR 5 YEAR
Up Capture Ratio 94.67 65.05
Down Capture Ratio 33.54 67.28

STANDARD DEVIATION

3 YEAR 5 YEAR
Diversified Alternatives Fund 4.74 4.33
Bloomberg Barclays U.S. Aggregate Bond Index 2.71 2.72

SHARPE RATIO

3 YEAR 5 YEAR
Diversified Alternatives Fund 0.43 0.15
Bloomberg Barclays U.S. Aggregate Bond Index 0.06 0.48

ANNUAL FEES & EXPENSES

(As of Fiscal Year End, 06/30/18)

CLASS A SHARES
Management Fees 1.00%
12b-1 Fees 0.25%
Other Expenses 0.31%
Total Gross Expenses 1.56%
Waivers -0.17%
Total Net Expenses 1.39%
Information Regarding Sales Charge Reductions and Waivers
Net expense ratios reflect the expense waiver, if any, contractually agreed to through 11/1/19.

Characteristics

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

TOP HOLDINGS

(Based on absolute notional exposure, As of 10/31/18)

BNP Small-Cap Basket Swap Expire 10/31/18
BNP Value Basket Swap Expire 10/31/18
Bloomberg Barclays US Credit RBI(SM) Series 1 Total Return Index Unhedged USD Swap Expire 10/31
DOLLAR INDEX Dec18
JP Morgan GSCI Custom E525 Swap Expire 10/31/18
US 10YR NOTE (CBT)Dec18
United States Treasury Bill 0 04/11/2019
United States Treasury Bill 0 11/08/2018
United States Treasury Bill 0 12/06/2018
United States Treasury Bill- When Issued 0 03/14/2019

Commentary & Literature

3Q18 Portfolio Commentary Highlights

  • The Fund underperformed its benchmarks during the quarter.
  • The emerging equity sleeve weighed on performance largely due to concerns about barriers to global trade.
  • We believe there are many potentially adverse scenarios that should cause investors to consider increasing diversification within their portfolios.

Read The Full Commentary