(

JRSSX

)

U.S. Managed Volatility Fund

Dynamic Beta for Managing Equity Volatility
NAV As of 12/14/18 $10.97

Jump to a section

Fund Facts

Details Performance (As of 12/14/18) Morningstar (As of 11/30/18)
12/30/05 Inception Date
$1.40B Total Net Assets (As of 10/31/18)
GROSS 1.04%
NET 1.04%
Annual Expense Ratio
(As of fiscal year end 06/30/18)
-1.44% 1 Day Return
-0.09% YTD Return
Category
Large Blend
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, large-cap core 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 40% less volatility than the Russell 1000® 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, large-cap 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.

Navigating Many Different Market Environments

3 Year Fund and Benchmark Cumulative Returns (as of 9/30/18)

Past performance is no guarantee of future results.

Featured Insights

Performance

RETURNS

(As of 09/30/2018)
(As of 11/30/2018)
Inception: Dec 30, 2005 3M YTD 1YR 3YR 5YR 10YR Since Inception
U.S. Managed Volatility Fund – S Shares 5.25% 11.48% 17.30% 14.52% 12.49% 10.55% 8.00%
Russell 1000® Index 7.42% 10.49% 17.76% 17.07% 13.67% 12.09% 9.22%
Inception: Dec 30, 2005 3M YTD 1YR 3YR 5YR 10YR Since Inception
U.S. Managed Volatility Fund – S Shares -6.68% 4.37% 3.68% 10.45% 9.28% 12.70% 7.34%
Russell 1000® Index -4.83% 4.76% 5.92% 11.94% 10.89% 14.55% 8.64%
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 09/30/2018)
(As of 11/30/2018)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 36 69 48 65 62
Large Blend Category
Rank/Count
444/1422 884/1302 558/1214 677/1060 607/977
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 66 59 58 72 67
Large Blend Category
Rank/Count
890/1435 720/1316 698/1221 769/1069 667/991

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. RUSSELL 1000® INDEX

3 YEAR 5 YEAR
Information Ratio -0.12 -0.15
Alpha 2.07 1.85
Tracking Error 5.27 5.50
Beta 0.76 0.76
R-Squared (%) 70.10 70.82

UP AND DOWN MARKET CAPTURE (%)
VS. RUSSELL 1000® INDEX

3 YEAR 5 YEAR
Up Capture Ratio 80.08 81.21
Down Capture Ratio 63.49 71.30

STANDARD DEVIATION

3 YEAR 5 YEAR
U.S. Managed Volatility Fund 8.69 9.12
Russell 1000® Index 9.56 10.12

SHARPE RATIO

3 YEAR 5 YEAR
U.S. Managed Volatility Fund 1.13 1.06
Russell 1000® Index 1.09 1.04

ANNUAL FEES & EXPENSES

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

CLASS S SHARES
Management Fees 0.50%
12b-1 Fees 0.25%
Other Expenses 0.29%
Total Gross Expenses 1.04%
Waivers 0.00%
Total Net Expenses 1.04%
Net expense ratios reflect the expense waiver, if any, contractually agreed to through 11/1/19.

Characteristics

Index represents the Russell 1000® Index.

TOP HOLDINGS

(As of 10/31/2018)

Altria Group Inc
American Water Works Co Inc
Boeing Co
CME Group Inc
Cboe Global Markets Inc
HollyFrontier Corp
Lamb Weston Holdings Inc
NextEra Energy Inc
Republic Services Inc
Square Inc
TOTAL 14.85

PORTFOLIO CHARACTERISTICS

(As of 10/31/18)

FUND INDEX
Number of Holdings
Equity Issues
439
984
Market Capitalization
Weighted Average
$35.56B
$207.61B
Portfolio Turnover Rate
(1-year trailing)
80.63%
-
Price/Earnings Ratio
(1-year forward)
23.20
19.23
Price/Book Ratio
(1-year forward)
4.80
5.12
Earnings Growth Rate
(1-year forward)
25.87%
22.11%

DEVELOPED VS. EMERGING MARKET

(As of 10/31/18)

% OF FUND % OF INDEX
U.S. 98.31 99.37
Non-U.S. Emerging 0.52 0.08
Non-U.S. Developed 0.07 0.55
Cash & Equivalents 1.10 -

SECTOR ALLOCATION

(As of 10/31/18)

% OF FUND % OF INDEX
Information Technology 15.70 20.97
Consumer Discretionary 14.32 9.96
Financials 11.47 13.72
Industrials 10.24 9.60
Utilities 9.74 3.02
Consumer Staples 8.90 6.90
Health Care 8.55 14.47
Energy 8.11 5.50
Real Estate 7.75 3.47
Communication Services 2.39 9.52
Materials 1.73 2.87
Cash & Equivalents 1.10 -

MARKET CAPITALIZATION RANGE OF EQUITY HOLDINGS

(As of 10/31/2018)

% OF FUND % OF INDEX
Over $100B 7.41 46.09
$25B to $100B 25.22 29.60
$15B to $25B 21.21 8.74
$2B to $15B 45.06 15.54

REGIONAL ALLOCATION

(As of 10/31/18)

% OF FUND % OF INDEX
North America 98.32 99.36
Asia/Pacific Ex Japan 0.50 0.10
Latin America 0.08 0.02
Cash & Equivalents 1.10 -

Commentary & Literature