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
$8.92
As of 05/26/2023

1-Day Change
$0.07 (0.79%)
 As of 05/26/2023

YTD Return at NAV
4.33%
As of 05/26/2023

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

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 C Shares @NAV Class C Shares @CDSC Russell 1000® Index S&P 500 Minimum Volatility Index TR (USD)
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/30/2005)
Class C Shares @NAV 4.09 4.09 -7.74 14.20 6.34 8.76 6.73
Class C Shares @CDSC 3.09 3.09 -8.65 14.20 6.34 8.76 6.73
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 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 04/30/2023)
Class C Shares @NAV Class C Shares @CDSC Russell 1000® Index S&P 500 Minimum Volatility Index TR (USD)
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/30/2005)
Class C Shares @NAV -0.22 5.73 2.69 10.60 6.55 8.85 6.79
Class C Shares @CDSC -1.22 4.73 1.69 10.60 6.55 8.85 6.79
Russell 1000® Index 1.96 8.79 1.82 14.22 11.07 11.95 9.33
S&P 500 Minimum Volatility Index TR (USD) 1.54 4.65 1.59 12.16 10.11 11.16 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 03/31/2023)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 51 92 94 91 93
Large Blend | Rank/Count 715/1374 1181/1264 1130/1194 939/1023 810/866
(As Of 04/30/2023)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 34 93 94 90 92
Large Blend | Rank / Count 487/1358 1170/1241 1107/1170 916/1003 831/890
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 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 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 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

Related Insights

Our intellectual capital is readily available and central to our Knowledge Shared approach"
Related Insights
Productivity: The antidote to an inflationary era
Mar 27, 2023
Timely & Topical

Productivity: The antidote to an inflationary era

Corporations can ease the ill effects of a higher inflation regime by focusing on productivity improvements.

5 min read

Options prices signal stronger capital markets in 2023
Nov 30, 2022
Timely & Topical

Options prices signal stronger capital markets in 2023

In this video, Ash Alankar explains that signals imbedded in forward-looking options markets indicate easing inflation creating a favorable environment for global equities and bonds in 2023.

6 min read

2022 market scorecard: butterfly 1, invisible hand 0
Oct 31, 2022
Timely & Topical

2022 market scorecard: butterfly 1, invisible hand 0

This year’s chaotic market volatility is partly owed to investors reeling from the absence of diversification among asset classes.

8 min read