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JDATX

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Diversified Alternatives Fund

Diversified Risk Premia Strategy Seeking Absolute Returns
NAV As of 04/22/19 $9.77

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Fund Facts

Details Performance (As of 04/22/19) Morningstar (As of 03/31/19)
12/28/12 Inception Date
$99.08M Total Net Assets (As of 03/31/19)
GROSS 1.50%
NET 1.34%
Annual Expense Ratio
(As of fiscal year end 06/30/18)
Morningstar Fee Level (As of 03/31/19)
Fee Level Group
Multialternative No Load
(out of 50 funds)
Morningstar Fee Level Below Average
View Morningstar Fee Level
-0.31% 1 Day Return
2.09% 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 03/31/2019)
(As of 03/31/2019)
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Diversified Alternatives Fund – T Shares 1.25% 1.25% -4.30% 1.49% 1.65% - 0.82%
Bloomberg Barclays U.S. Aggregate Bond Index 2.94% 2.94% 4.48% 2.03% 2.74% 3.77% 2.13%
LIBOR +3% 1.74% 1.74% 5.86% 4.63% 4.15% 4.19% 4.10%
Inception: Dec 28, 2012 3M YTD 1YR 3YR 5YR 10YR Since Inception
Diversified Alternatives Fund – T Shares 1.25% 1.25% -4.30% 1.49% 1.65% - 0.82%
Bloomberg Barclays U.S. Aggregate Bond Index 2.94% 2.94% 4.48% 2.03% 2.74% 3.77% 2.13%
LIBOR +3% 1.74% 1.74% 5.86% 4.63% 4.15% 4.19% 4.10%
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 03/31/2019)
(As of 03/31/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 92 70 43 - 84
Multialternative Category
Rank/Count
330/360 203/310 89/215 -/- 145/167
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 92 70 43 - 84
Multialternative Category
Rank/Count
330/360 203/310 89/215 -/- 145/167

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 03/31/19 CLASS I SHARES)

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

3 YEAR 5 YEAR
Information Ratio -0.09 -0.21
Alpha 1.26 0.75
Tracking Error 5.01 4.65
Beta 0.21 0.40
R-Squared (%) 1.91 6.55

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

3 YEAR 5 YEAR
Up Capture Ratio 46.58 65.65
Down Capture Ratio 25.43 68.11

STANDARD DEVIATION

3 YEAR 5 YEAR
Diversified Alternatives Fund 4.46 4.47
Bloomberg Barclays U.S. Aggregate Bond Index 2.97 2.86

SHARPE RATIO

3 YEAR 5 YEAR
Diversified Alternatives Fund 0.09 0.23
Bloomberg Barclays U.S. Aggregate Bond Index 0.29 0.71

ANNUAL FEES & EXPENSES

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

CLASS T SHARES
Management Fees 1.00%
12b-1 Fees -
Other Expenses 0.50%
Total Gross Expenses 1.50%
Waivers -0.16%
Total Net Expenses 1.34%
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 03/31/19)

BNP Small-Cap Basket Swap Expire 03/29/19
BNP Value Basket Swap Expire 03/29/19
Bloomberg Barclays US Credit RBI(SM) Series 1 Total Return Index Unhedged USD Swap Expire 03/29
DOLLAR INDEX Jun19
EURO-BUND FUTURE Jun19
JP Morgan GSCI Custom E525 Swap Expire 03/29/19
MSCI Daily TR Gross World USD Swap Expire 07/02/19
MSCI Emerging Net Total Return USD Index Swap Expire 07/02/19
United States Treasury Bill 0 04/11/2019
United States Treasury Bill 0 09/12/2019

Commentary & Literature

1Q19 Portfolio Commentary Highlights

  • Riskier asset classes rallied during the period as the Federal Reserve backed away from its normalization program.
  • The Fund underperformed its benchmarks as value stocks lagged higher growth segments of the market.
  • We believe that recent Fed actions reinforce the argument for diversifying one’s portfolio as the likelihood of either riskier assets or safe havens suffering material drawdowns has increased.

Read The Full Commentary