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JMISX

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International Managed Volatility Fund

Dynamic Beta for Managing Equity Volatility
NAV As of 08/23/19 $8.61

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Fund Facts

Details Performance (As of 08/23/19) Morningstar (As of 07/31/19)
05/02/07 Inception Date
$113.74M Total Net Assets (As of 07/31/19)
GROSS 1.38%
NET 1.38%
Annual Expense Ratio
(As of fiscal year end 06/30/18)
-0.46% 1 Day Return
5.90% YTD Return
Category
Foreign Large Growth
LARGE VALUE
LARGE BLEND
LARGE GROWTH
MID VALUE
MID BLEND
MID GROWTH
SMALL VALUE
SMALL BLEND
SMALL GROWTH
Equity Style Box *
Important Morningstar Information

Overview

Client Commitment

This long-only, international developed-markets equity fund seeks smaller drawdowns and a smoother ride over time by balancing downside mitigation with upside participation for any market environment. The Fund employs a systematic “dynamic beta” investment approach designed to adjust to changing risk environments, seeking up to 45% less volatility than the MSCI EAFE® Index.

Why Invest in the Fund

    Dynamic Beta Positioning

  1. As risk in the market increases, the portfolio shifts to take a more defensive posture, targeting a lower beta than the index. When risk levels decrease, the portfolio migrates to a more market-like stance, targeting a higher beta, allowing for the full potential to benefit from the upward trend in the market.
  2. 30+ Years of Volatility Research

  3. The Intech® dedicated volatility management team, with more than 30 years’ experience, is comprised of experts who have dedicated their life’s work, academic research and careers to developing this disciplined, repeatable and unemotional process based on the sole input of volatility.
  4. Focus on Risk-Adjusted Return

  5. Our process is designed to construct a portfolio of long-only stocks with the highest return potential and lowest risk. By seeking a smoother ride, the Fund may help investors maintain equity market exposure and have the opportunity to build more wealth over time.

Featured Insights

Performance

RETURNS

(As of 06/30/2019)
(As of 07/31/2019)
Inception: May 02, 2007 3M YTD 1YR 3YR 5YR 10YR Since Inception
International Managed Volatility Fund – S Shares 1.37% 9.35% -0.18% 6.04% 2.64% 7.14% 1.93%
MSCI EAFE® Index 3.68% 14.03% 1.08% 9.11% 2.25% 6.90% 1.63%
Inception: May 02, 2007 3M YTD 1YR 3YR 5YR 10YR Since Inception
International Managed Volatility Fund – S Shares 0.34% 7.38% -3.84% 4.37% 2.76% 5.98% 1.76%
MSCI EAFE® Index -0.44% 12.58% -2.60% 6.87% 2.39% 5.84% 1.52%
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
Performance for Class S Shares that includes periods prior to 7/6/09 reflects the performance of one or more share classes of the Fund or a predecessor fund, adjusted, where applicable and permitted, for differing fees and expenses. See the Fund’s prospectus for further details concerning historical performance.

MORNINGSTAR PERCENTILE

(As of 06/30/2019)
(As of 07/31/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 73 94 79 80 80
Foreign Large Growth Category
Rank/Count
330/483 434/455 318/413 261/342 229/300
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 85 94 83 83 80
Foreign Large Growth Category
Rank/Count
391/484 430/456 335/415 277/349 232/301

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. MSCI EAFE® INDEX

3 YEAR 5 YEAR
Information Ratio -0.36 0.13
Alpha -0.45 1.39
Tracking Error 5.86 5.90
Beta 0.78 0.72
R-Squared (%) 71.37 77.20

UP AND DOWN MARKET CAPTURE (%)
VS. MSCI EAFE® INDEX

3 YEAR 5 YEAR
Up Capture Ratio 71.63 72.68
Down Capture Ratio 76.30 67.62

STANDARD DEVIATION

3 YEAR 5 YEAR
International Managed Volatility Fund 9.96 10.05
MSCI EAFE® Index 10.84 12.26

SHARPE RATIO

3 YEAR 5 YEAR
International Managed Volatility Fund 0.34 0.23
MSCI EAFE® Index 0.50 0.12

ANNUAL FEES & EXPENSES

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

CLASS S SHARES
Management Fees 0.55%
12b-1 Fees 0.25%
Other Expenses 0.58%
Total Gross Expenses 1.38%
Waivers 0.00%
Total Net Expenses 1.38%
Net expense ratios reflect the expense waiver, if any, contractually agreed to through 11/1/19.

Characteristics

Index represents the MSCI EAFE® Index.

TOP HOLDINGS

(As of 07/31/2019)

Bank Leumi Le-Israel BM
CLP Holdings Ltd
Check Point Software Technologies Ltd
Hang Seng Bank Ltd
Hong Kong & China Gas Co Ltd
Link REIT
Mowi ASA
Neste Oyj
Nestle SA
Nippon Building Fund Inc
TOTAL 17.74

PORTFOLIO CHARACTERISTICS

(As of 07/31/19)

FUND INDEX
Number of Holdings
Equity Issues
265
923
Market Capitalization
Weighted Average
$30.14B
$64.46B
Portfolio Turnover Rate
(1-year trailing)
93.05%
-
Price/Earnings Ratio
(1-year forward)
22.15
17.73
Price/Book Ratio
(1-year forward)
3.19
2.46
Earnings Growth Rate
(1-year forward)
5.88%
6.00%

DEVELOPED VS. EMERGING MARKET

(As of 07/31/19)

% OF FUND % OF INDEX
Non-U.S. Developed 99.34 99.84
Cash & Equivalents 0.66 -

SECTOR ALLOCATION

(As of 07/31/19)

% OF FUND % OF INDEX
Real Estate 16.95 3.58
Utilities 15.57 3.74
Consumer Staples 15.06 11.89
Industrials 13.07 14.72
Financials 12.64 18.65
Consumer Discretionary 6.69 11.24
Communication Services 4.67 5.48
Information Technology 4.46 6.77
Materials 4.44 7.23
Health Care 4.42 11.33
Energy 1.37 5.37
Cash & Equivalents 0.66 -

MARKET CAPITALIZATION RANGE OF EQUITY HOLDINGS

(As of 07/31/2019)

% OF FUND % OF INDEX
Over $100B 3.76 20.40
$25B to $100B 31.56 43.08
$15B to $25B 18.77 12.66
$2B to $15B 44.74 23.22
N/A 0.51 0.64

REGIONAL ALLOCATION

(As of 07/31/19)

% OF FUND % OF INDEX
Europe 41.65 62.52
Asia/Pacific Ex Japan 30.82 12.71
Japan 21.53 24.01
Africa/Mideast 5.34 0.60
Cash & Equivalents 0.66 -

Commentary & Literature