For Financial Professionals in the US

JRSCX 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
$9.08
As of 09/25/2023

1-Day Change
$0.02 (0.22%)
 As of 09/25/2023

YTD Return at NAV
6.20%
As of 09/25/2023

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, Ph.D.

Ashwin Alankar, Ph.D.

Head of Global Asset Allocation | Portfolio Manager

Industry since 2001. Joined Firm in 2014.

Performance

RETURNS (%) (As of 08/31/2023)
Class C Shares @NAV Class C Shares @CDSC Russell 1000® Index S&P 500® Minimum Volatility Index
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/30/2005)
Class C Shares @NAV 6.33 9.94 9.72 5.07 5.47 8.98 6.89
Class C Shares @CDSC 5.33 8.94 8.72 5.07 5.47 8.98 6.89
Russell 1000® Index 8.49 18.58 15.40 9.93 10.77 12.56 9.68
S&P 500® Minimum Volatility Index 3.79 5.18 5.86 7.34 8.33 11.13 9.16
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.
CDSC returns include a 1% contingent deferred sales charge (CDSC) on Shares redeemed within 12 months of purchase. Net Asset Value (NAV) returns exclude this charge, which would have reduced returns.
Performance for Class C 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.

Returns include reinvestment of dividends and capital gains. Returns greater than one year are annualized.

RETURNS (%) (As of 06/30/2023)
Class C Shares @NAV Class C Shares @CDSC Russell 1000® Index S&P 500® Minimum Volatility Index
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/30/2005)
Class C Shares @NAV 5.73 10.06 13.47 8.67 6.64 9.15 6.97
Class C Shares @CDSC 4.73 9.06 12.47 8.67 6.64 9.15 6.97
Russell 1000® Index 8.58 16.68 19.36 14.10 11.92 12.65 9.67
S&P 500® Minimum Volatility Index 4.18 6.12 8.95 10.94 9.87 11.38 9.31
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.
CDSC returns include a 1% contingent deferred sales charge (CDSC) on Shares redeemed within 12 months of purchase. Net Asset Value (NAV) returns exclude this charge, which would have reduced returns.
Performance for Class C 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.

Returns include reinvestment of dividends and capital gains. Returns greater than one year are annualized.

Calendar Year Returns (%)
Adaptive Risk Managed U.S. Equity Fund - Class C Shares Russell 1000® Index
2022 2021 2020 2019 2018 2017 2016 2015 2014 2013
Adaptive Risk Managed U.S. Equity Fund - Class C Shares -14.75 18.72 11.75 22.43 -4.35 19.32 6.97 2.54 8.26 34.40
Russell 1000® Index -19.13 26.45 20.96 31.43 -4.78 21.69 12.05 0.92 13.24 33.11
Fund returns shown are at Net Asset Value (NAV) and exclude sales charges, which would have reduced returns.

MORNINGSTAR PERCENTILE

(As Of 06/30/2023)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 80 96 96 92 93
Large Blend | Rank/Count 1202/1435 1271/1316 1182/1235 987/1066 840/891
(As Of 08/31/2023)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 83 98 97 93 94
Large Blend | Rank / Count 1234/1429 1284/1311 1193/1233 987/1063 845/887
GROWTH OF A HYPOTHETICAL INVESTMENT
Fund returns shown are at Net Asset Value (NAV) and exclude sales charges, which would have reduced returns.
Source: Morningstar, Inc.
This graph compares the performance of a hypothetical $10,000 investment in the fund, the fund’s Morningstar category average and its benchmark(s).

RETURNS-BASED STATISTICS (As of 08/31/2023 Class I Shares)

RISK / REWARD
VS. Russell 1000 TR Index		 3YR 5YR
Information Ratio -0.65 -0.63
Alpha -2.63 -3.01
Tracking Error 5.50 6.30
Beta 0.86 0.88
R-squared (%) 90.31 88.97
UP/DOWN MARKET CAPTURE (%)
VS. Russell 1000 TR Index		 3YR 5YR
Up Capture Ratio 79.10 76.60
Down Capture Ratio 94.25 92.52
STANDARD DEVIATION 3YR 5YR
Adaptive Risk Managed U.S. Equity Fund 16.29 17.90
Russell 1000 TR Index 17.97 19.20
SHARPE RATIO 3YR 5YR
Adaptive Risk Managed U.S. Equity Fund 0.26 0.26
Russell 1000 TR Index 0.45 0.47
ANNUAL FEES & EXPENSES (As of the most recent prospectus)
CLASS C SHARES
Management Fees 0.50%
12b-1 Fees 1.00%
Other Expenses 0.12%
Total Gross Expenses 1.62%
Waivers -0.05%
Total Net Expenses 1.57%

Net expense ratios reflect the expense waiver, if any, contractually agreed to for a two-year period commencing on June 10, 2022. This contractual waiver may be terminated or modified only at the discretion of the Portfolio's Board of Trustees.

Portfolio

Index represents the Russell 1000® Index.

Top Holdings (As of 08/31/2023)
% of Fund
Microsoft Corp 6.09
Apple Inc 5.91
Alphabet Inc 2.55
NVIDIA Corp 2.41
Amazon.com Inc 2.03
Coca-Cola Co 1.41
Visa Inc 1.24
Broadcom Inc 1.23
Tesla Inc 1.19
UnitedHealth Group Inc 1.15
Total 25.21
View full holdings
Portfolio Characteristics (As of 08/31/2023)
  FUND INDEX
Number of Holdings
Equity Issues		 164 1010
Market Capitalization
Weighted Average		 $497.21B $590.16B
Portfolio Turnover Rate
(1-year trailing)		 308.85% -
Price/Earnings Ratio
(1-year forward)		 18.67 18.88
Price/Book Ratio
 3.97 3.93
Earnings Growth Rate
(1-year forward)		 15.08% 16.82%
Sector Allocation % OF FUND % of Index % OF FUND % of Index (As of 08/31/2023)
Equity country, regional, sector and industry weights primarily based on MSCI and GICS classifications.
Regional Allocation % OF FUND % of Index % OF FUND % of Index (As of 08/31/2023)
Market Capitalization Range of Equity Holdings % OF FUND % of Index % OF FUND % of Index (As of 08/31/2023)
Developed vs Emerging Markets % OF FUND % of Index % OF FUND % of Index (As of 08/31/2023)

Documents

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