JDAIX Diversified Alternatives Fund

Diversified risk premia strategy seeking absolute returns with low correlations to stocks and bonds

NAV
$9.49
As of 11/15/2019

1 Day Change
$0.00 (0.00%)
As of 11/15/2019

YTD Return
-1.56%
As of 11/15/2019

Overview

ABOUT THIS FUND

This liquid alternatives fund seeks to provide positive absolute returns with true diversification through low correlation to stocks and bonds. We invest in a portfolio of traditional and nontraditional investable risk premia derived from equity, fixed income, currency and commodity asset classes. By targeting a broad collection of statistically independent sources of return, we believe we are in a position to create a more robust portfolio that provides, over time, a generally more stable source of return with a targeted volatility of 5% to 7%, significantly less than the long-term volatility of stocks.

WHY INVEST IN THIS FUND

Target Absolute Return
The portfolio seeks to deliver absolute returns over a full market cycle.

Seeks Constant Volatility
The portfolio targets 6% annualized volatility over a full market cycle.

Diversification
The portfolio seeks to provide diversification through low correlation to traditional assets such as stocks and bonds.

Knowledge. Shared

At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions.

We call this ethos Knowledge. Shared.

Striking a Balance Between Low Correlation and Moderate Volatility

5 Year correlations and volatility, Fund (Class I Shares) and Morningstar category averages, relative to the MSCI All Country World Index (as of 9/30/19)

Source: Morningstar, Inc.

Relative volatility measures the ratio of standard deviation relative to the standard deviation of the MSCI All Country World Index. Since equities pose the predominant risk in traditional portfolios, this global equity index is used as an indicator of equity risk in order to determine how well an alternative strategy diversifies away from this risk.

Past performance is no guarantee of future results.

PORTFOLIO MANAGEMENT

John Fujiwara

Portfolio Manager, Diversified Alternatives

Industry since 1987. Joined Firm in 2012.

Aneet Chachra, CFA

Portfolio Manager, Diversified Alternatives

Industry since 2000. Joined Firm in 2012.

Performance

RETURNS (%) (As of 09/30/2019)
Diversified Alternatives Fund - Class I Shares Bloomberg Barclays U.S. Aggregate Bond Index LIBOR +3%
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/28/2012)
Diversified Alternatives Fund - Class I Shares -1.33% 0.00% -2.76% 0.40% 1.07% - 0.70%
Bloomberg Barclays U.S. Aggregate Bond Index 2.27% 8.52% 10.30% 2.92% 3.38% 3.75% 2.77%
LIBOR +3% 1.38% 5.09% 6.56% 5.13% 4.47% 4.22% 4.29%
RETURNS (%) (As of 10/31/2019)
Diversified Alternatives Fund - Class I Shares Bloomberg Barclays U.S. Aggregate Bond Index LIBOR +3%
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(12/28/2012)
Diversified Alternatives Fund - Class I Shares -2.87% -1.56% -3.01% -0.22% 0.61% - 0.46%
Bloomberg Barclays U.S. Aggregate Bond Index 2.35% 8.85% 11.51% 3.29% 3.24% 3.73% 2.78%
LIBOR +3% 1.44% 5.59% 6.71% 5.17% 4.50% 4.23% 4.31%
CALENDAR YEAR RETURNS (%)
Diversified Alternatives Fund - Class I Shares Bloomberg Barclays U.S. Aggregate Bond Index
 
  2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Diversified Alternatives Fund - Class I Shares - - - - -0.80 2.72 -5.17 9.11 3.87 -4.39
Bloomberg Barclays U.S. Aggregate Bond Index - - - - -2.02 5.97 0.55 2.65 3.54 0.01

MORNINGSTAR PERCENTILE

(As Of 09/30/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 93 82 65 - 88
Multialternative Category|Rank/Count 291/320 229/280 137/215 -/- 137/155
(As Of 10/31/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking 94 88 78 - 91
Multialternative Category|Rank/Count 285/307 233/267 167/217 -/- 140/155
GROWTH OF A HYPOTHETICAL INVESTMENT

RETURNS-BASED STATISTICS (As of 10/31/2019 Class I Shares)

RISK / REWARD
VS. Bloomberg Barclays U.S. Aggregate Bond Index
3YR 5YR
Information Ratio -0.63 -0.51
Alpha 0.29 -0.04
Tracking Error 5.59 5.19
Beta -0.13 0.23
R-squared (%) 0.99 2.34
UP/DOWN MARKET CAPTURE (%)
VS. Bloomberg Barclays U.S. Aggregate Bond Index
3YR 5YR
Up Capture Ratio 14.23 41.46
Down Capture Ratio 40.36 72.01
STANDARD DEVIATION 3YR 5YR
Diversified Alternatives Fund 4.20 4.68
Bloomberg Barclays U.S. Aggregate Bond Index 3.29 3.06
SHARPE RATIO 3YR 5YR
Diversified Alternatives Fund -0.43 -0.08
Bloomberg Barclays U.S. Aggregate Bond Index 0.52 0.73
ANNUAL FEES & EXPENSES (As of Fiscal Year End, 06/30/2019)
CLASS I SHARES
Management Fees 1.00%
12b-1 Fees -
Other Expenses 0.62%
Total Gross Expenses 1.62%
Waivers -0.47%
Total Net Expenses 1.15%

Portfolio

Index represents the Bloomberg Barclays U.S. Aggregate Bond Index.

(Based on absolute notional exposure, As of 09/30/2019)
% of Fund
JP Morgan GSCI Custom E525 Swap Expire 09/30/19 -
EURO-BUND FUTURE Dec19 -
DOLLAR INDEX Dec19 -
United States Treasury Bill 0 10/10/2019 -
BNP Value Basket Swap Expire 09/30/19 -
BNP Small-Cap Basket Swap Expire 09/30/19 -
US 10YR NOTE (CBT)Dec19 -
United States Treasury Bill 0 03/12/2020 -
S&P500 EMINI FUT Dec19 -
United States Treasury Bill 0 11/07/2019 -
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