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JDANX

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Diversified Alternatives Fund

Diversified Risk Premia Strategy Seeking Absolute Returns
NAV As of 08/16/19 $9.70

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Fund Facts

Details Performance (As of 08/16/19) Morningstar (As of 07/31/19)
12/28/12 Inception Date
$84.77M Total Net Assets (As of 07/31/19)
GROSS 1.24%
NET 1.09%
Annual Expense Ratio
(As of fiscal year end 06/30/18)
Morningstar Fee Level (As of 07/31/19)
Fee Level Group
Multialternative Institutional
(out of 128 funds)
Morningstar Fee Level Below Average
View Morningstar Fee Level
0.21% 1 Day Return
0.31% 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% 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.

Featured Insights

Performance

RETURNS

(As of 06/30/2019)
(As of 07/31/2019)
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Diversified Alternatives Fund – N Shares 0.10% 1.34% -2.77% 1.49% 1.54% - 0.98%
Bloomberg Barclays U.S. Aggregate Bond Index 3.08% 6.11% 7.87% 2.31% 2.95% 3.90% 2.53%
LIBOR +3% 1.88% 3.66% 6.45% 4.92% 4.36% 4.22% 4.24%
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Diversified Alternatives Fund – N Shares -0.61% 1.45% -3.43% 0.96% 1.54% - 0.98%
Bloomberg Barclays U.S. Aggregate Bond Index 3.28% 6.35% 8.08% 2.17% 3.05% 3.75% 2.53%
LIBOR +3% 1.84% 4.09% 6.45% 5.01% 4.39% 4.22% 4.25%
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 06/30/2019)
(As of 07/31/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 91 71 43 - 83
Multialternative Category
Rank/Count
301/345 200/300 89/217 -/- 140/165
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 93 75 44 - 85
Multialternative Category
Rank/Count
301/334 213/294 94/214 -/- 137/160

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 07/31/19 CLASS I SHARES)

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

3 YEAR 5 YEAR
Information Ratio -0.24 -0.32
Alpha 1.23 0.55
Tracking Error 5.27 4.95
Beta -0.12 0.33
R-Squared (%) 0.80 4.30

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

3 YEAR 5 YEAR
Up Capture Ratio 31.38 57.46
Down Capture Ratio 25.43 70.23

STANDARD DEVIATION

3 YEAR 5 YEAR
Diversified Alternatives Fund 4.06 4.64
Bloomberg Barclays U.S. Aggregate Bond Index 3.02 2.93

SHARPE RATIO

3 YEAR 5 YEAR
Diversified Alternatives Fund -0.13 0.12
Bloomberg Barclays U.S. Aggregate Bond Index 0.25 0.74

ANNUAL FEES & EXPENSES

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

CLASS N SHARES
Management Fees 1.00%
12b-1 Fees -
Other Expenses 0.24%
Total Gross Expenses 1.24%
Waivers -0.15%
Total Net Expenses 1.09%
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 07/31/19)

BNP Small-Cap Basket Swap Expire 07/31/19
BNP Value Basket Swap Expire 07/31/19
DOLLAR INDEX Sep19
EURO-BUND FUTURE Sep19
JP Morgan GSCI Custom E525 Swap Expire 07/31/19
MSCI Daily TR Gross World USD Swap Expire 02/03/20
MSCI Emerging Net Total Return USD Index Swap Expire 02/03/20
US 10YR NOTE (CBT)Sep19
United States Treasury Bill 0 09/12/2019
United States Treasury Bill 0 10/10/2019

Commentary & Literature

2Q19 Portfolio Commentary Highlights

  • Despite a mid-period hiccup, riskier assets rallied on the back of central banks doubling down on accommodative monetary policy.
  • The Fund underperformed its benchmarks as supply concerns in certain commodities markets caused commodities-focused risk premia strategies to generate negative returns.
  • We believe that the market is facing a tipping point as investors decide whether the expansion will continue or the end of the economic cycle is here.

Read The Full Commentary