For Financial Professionals in the US

JRSAX Adaptive Risk Managed U.S. Equity Fund

A large-cap core equity portfolio of stocks that have the potential for less downside volatility and greater growth or upside volatility, as implied by forward-looking options market prices.

NAV
$9.53
As of 06/05/2023

1-Day Change
-$0.02 (-0.21%)
As of 06/05/2023

YTD Return at NAV
6.24%
As of 06/05/2023

Overview

ABOUT THIS FUND

U.S. large-cap equity portfolio that seeks to deliver more attractive returns with lower absolute volatility than the Index over a market cycle. Our systematic investment process utilizes forward-looking signals from options markets designed to identify individual stocks with less downside volatility that appear poised for greater growth or upside volatility.

WHY INVEST IN THIS FUND

  • Attractive: This diversified, U.S. large-cap portfolio targets more attractive returns with lower absolute volatility over a market cycle.
  • Objective: Our systematic investment process uses forward-looking signals from highly liquid options markets designed to identify individual stocks with less downside volatility that appear poised for greater growth or upside volatility.
  • Adaptive: Changes in the market-implied forecasts of good risk versus bad risk will trigger rebalancing while maintaining diversification in an effort to provide more consistent returns over time.

PORTFOLIO MANAGEMENT

Ashwin Alankar, PhD

Head of Global Asset Allocation | Portfolio Manager

Industry since 2001. Joined Firm in 2014.

Performance

RETURNS (%) (As of 03/31/2023)
Class A Shares @NAV Class A Shares @MOP Russell 1000® Index S&P 500 Minimum Volatility Index TR (USD)
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/30/2005)
Class A Shares @NAV 4.24 4.24 -7.21 14.88 7.01 9.46 7.47
Class A Shares @MOP -1.79 -1.79 -12.55 12.65 5.75 8.82 7.10
Russell 1000® Index 7.46 7.46 -8.39 18.55 10.87 12.01 9.30
S&P 500 Minimum Volatility Index TR (USD) 1.87 1.87 -5.97 15.13 9.56 11.12 9.19
RETURNS (%) (As of 05/31/2023)
Class A Shares @NAV Class A Shares @MOP Russell 1000® Index S&P 500 Minimum Volatility Index TR (USD)
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/30/2005)
Class A Shares @NAV 0.54 3.68 1.54 7.82 6.03 9.01 7.36
Class A Shares @MOP -5.20 -2.31 -4.28 5.71 4.78 8.37 6.99
Russell 1000® Index 4.93 9.30 2.45 12.45 10.61 11.76 9.31
S&P 500 Minimum Volatility Index TR (USD) 3.06 1.34 -1.71 9.39 9.09 10.78 9.06
Calendar Year Returns (%)
Adaptive Risk Managed U.S. Equity Fund - Class A Shares Russell 1000® Index
2022 2021 2020 2019 2018 2017 2016 2015 2014 2013
Adaptive Risk Managed U.S. Equity Fund - Class A Shares -14.23 19.27 12.61 23.18 -3.77 20.19 7.86 2.98 9.10 35.32
Russell 1000® Index -19.13 26.45 20.96 31.43 -4.78 21.69 12.05 0.92 13.24 33.11

MORNINGSTAR PERCENTILE

(As Of 03/31/2023)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 43 89 91 85 84
Large Blend | Rank/Count 613/1374 1151/1264 1108/1194 890/1023 741/866
(As Of 05/31/2023)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 54 94 94 87 84
Large Blend | Rank / Count 802/1429 1247/1313 1162/1234 943/1066 758/890
GROWTH OF A HYPOTHETICAL INVESTMENT

RETURNS-BASED STATISTICS (As of 04/30/2023 Class I Shares)

RISK / REWARD
VS. Russell 1000® Index
3YR 5YR
Information Ratio -0.43 -0.57
Alpha -0.57 -2.03
Tracking Error 6.28 6.39
Beta 0.86 0.88
R-squared (%) 88.26 88.74
UP/DOWN MARKET CAPTURE (%)
VS. Russell 1000® Index
3YR 5YR
Up Capture Ratio 85.97 80.05
Down Capture Ratio 92.35 90.25
STANDARD DEVIATION 3YR 5YR
Adaptive Risk Managed U.S. Equity Fund 16.76 17.71
Russell 1000® Index 18.30 19.03
SHARPE RATIO 3YR 5YR
Adaptive Risk Managed U.S. Equity Fund 0.62 0.34
Russell 1000® Index 0.72 0.51
ANNUAL FEES & EXPENSES (As of Fiscal Year End, 06/30/2022)
CLASS A SHARES
Management Fees 0.50%
12b-1 Fees 0.25%
Other Expenses 0.17%
Total Gross Expenses 0.92%
Waivers -0.05%
Total Net Expenses 0.87%

Portfolio

Index represents the Russell 1000® Index.

Top Holdings (As of 04/30/2023)
% of Fund
Apple Inc 5.06
Microsoft Corp 4.40
Alphabet Inc 2.39
Coca-Cola Co 2.02
Amazon.com Inc 1.90
Berkshire Hathaway Inc 1.86
Schwab US Large-Cap ETF 1.74
CME Group Inc 1.46
General Dynamics Corp 1.42
Sysco Corp 1.41
Total 23.66
View full holdings
Portfolio Characteristics (As of 04/30/2023)
  FUND INDEX
Number of Holdings
Equity Issues
144 1008
Market Capitalization
Weighted Average
$353.50B $503.62B
Portfolio Turnover Rate
(1-year trailing)
356.29% -
Price/Earnings Ratio
(1-year forward)
16.06 18.11
Price/Book Ratio
2.57 3.69
Earnings Growth Rate
(1-year forward)
17.12% 18.47%
Sector Allocation % OF FUND % of Index % OF FUND % of Index (As of 04/30/2023)
Regional Allocation % OF FUND % of Index % OF FUND % of Index (As of 04/30/2023)
Market Capitalization Range of Equity Holdings % OF FUND % of Index % OF FUND % of Index (As of 04/30/2023)
Developed vs Emerging Markets % OF FUND % of Index % OF FUND % of Index (As of 04/30/2023)

Documents