JMIIX International Managed Volatility Fund

Adapts based on actual market volatility, aiming to provide investors long-term growth potential and a smoother ride

NAV
$8.72
As of 10/15/2019

1 Day Change
$0.04 (0.46%)
As of 10/15/2019

YTD Return
8.32%
As of 10/15/2019

Overview

ABOUT THIS FUND

This long-only, international developed-markets 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 45% less volatility than the MSCI EAFE® Index.

WHY INVEST IN THIS FUND

Dynamic Beta Positioning
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.

30+ Years of Volatility Research
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.

Focus on Risk-Adjusted Return
Our process is designed to construct a portfolio of long-only 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.

PORTFOLIO MANAGEMENT

Intech Team Managed

The Intech Research Team is overseen by the Portfolio Oversight Team headed by Adrian Banner, Ph.D.

Performance

RETURNS (%) (As of 09/30/2019)
International Managed Volatility Fund - Class I Shares MSCI EAFE® Index
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(05/02/2007)
International Managed Volatility Fund - Class I Shares -1.70% 7.83% -4.27% 5.00% 4.19% 5.48% 1.99%
MSCI EAFE® Index -1.07% 12.80% -1.34% 6.48% 3.27% 4.90% 1.51%
RETURNS (%) (As of 09/30/2019)
International Managed Volatility Fund - Class I Shares MSCI EAFE® Index
 
3M YTD 1YR 3YR 5YR 10YR Since Inception
(05/02/2007)
International Managed Volatility Fund - Class I Shares -1.70% 7.83% -4.27% 5.00% 4.19% 5.48% 1.99%
MSCI EAFE® Index -1.07% 12.80% -1.34% 6.48% 3.27% 4.90% 1.51%
CALENDAR YEAR RETURNS (%)
International Managed Volatility Fund - Class I Shares MSCI EAFE® Index
 
  2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
International Managed Volatility Fund - Class I Shares 25.53 9.76 -13.48 17.03 26.44 -5.75 4.64 -4.25 28.76 -9.11
MSCI EAFE® Index 31.78 7.75 -12.14 17.32 22.78 -4.90 -0.81 1.00 25.03 -13.79

MORNINGSTAR PERCENTILE

(As Of 09/30/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 91 86 63 75 74
Foreign Large Growth Category|Rank/Count 436/481 381/452 257/414 242/345 209/297
(As Of 09/30/2019)
1 YR 3 YR 5 YR 10 YR SINCE INCEPTION
Percentile Ranking (%) 91 86 63 75 74
Foreign Large Growth Category|Rank/Count 436/481 381/452 257/414 242/345 209/297
GROWTH OF A HYPOTHETICAL INVESTMENT

RETURNS-BASED STATISTICS (As of 09/30/2019 Class I Shares)

Risk / Reward
vs. MSCI EAFE® Index
3YR 5YR
Information Ratio -0.26 0.15
Alpha 0.17 1.82
Tracking Error 5.73 6.00
Beta 0.75 0.70
R-squared (%) 73.25 76.47
Up And Down Market Capture (%)
vs. MSCI EAFE® Index
3YR 5YR
Up Capture Ratio 72.34 71.45
Down Capture Ratio 73.73 63.92
Standard Deviation 3YR 5YR
International Managed Volatility Fund 9.72 9.86
MSCI EAFE® Index 11.07 12.24
Sharpe Ratio 3YR 5YR
International Managed Volatility Fund 0.36 0.33
MSCI EAFE® Index 0.45 0.19
ANNUAL FEES & EXPENSES (As of Fiscal Year End, 06/30/2018)
CLASS I SHARES
Management Fees 0.55%
12b-1 Fees -
Other Expenses 0.32%
Total Gross Expenses 0.87%
Waivers 0.00%
Total Net Expenses 0.87%

Portfolio

Index represents the MSCI EAFE® Index.

(As of 09/30/2019)
Bank Leumi Le-Israel BM -
CLP Holdings Ltd -
Coca-Cola European Partners PLC -
Hang Seng Bank Ltd -
Hong Kong & China Gas Co Ltd -
Japan Real Estate Investment Corp -
Link REIT -
Neste Oyj -
Nestle SA -
Nippon Building Fund Inc -
Total: 17.98
View full holdings
Portfolio Characteristics (As of 09/30/2019)
  FUND INDEX
Number of Holdings
Equity Issues
237 923
Market Capitalization
Weighted Average
$31.09B $63.87B
Portfolio Turnover Rate
(1-year trailing)
86.66% -
Price/Earnings Ratio
(1-year forward)
23.23 18.07
Price/Book Ratio
(1-year forward)
3.33 2.36
Earnings Growth Rate
(1-year forward)
5.61% 5.06%

Sector Allocation % OF FUND % of Index % OF FUND % of Index (As of 09/30/2019)
Real Estate 16.51 3.60
Utilities 14.85 3.79
Industrials 14.05 14.73
Consumer Staples 13.97 12.00
Financials 11.15 18.57
Consumer Discretionary 6.99 11.49
Communication Services 6.06 5.36
Materials 4.90 7.00
Information Technology 4.60 6.74
Health Care 4.48 11.59
Energy 1.43 5.13
Cash & Equivalents 1.01 -
Regional Allocations % OF FUND % of Index % OF FUND % of Index (As of 09/30/2019)
Europe 41.28 62.41
Asia/Pacific Ex Japan 29.22 12.30
Japan 22.48 24.56
Africa/Mideast 6.01 0.57
Cash & Equivalents 1.01 -
MARKET CAPITALIZATION RANGE OF EQUITY HOLDINGS % OF FUND % OF INDEX % OF FUND % OF INDEX (As of 09/30/2019)
$15B to $25B 17.79 12.38
$25B to $100B 32.81 44.27
$2B to $15B 45.28 23.54
N/A 0.11 0.62
Over $100B 3.00 19.18
Developed VS Emerging Markets % OF FUND % of Index % OF FUND % of Index (As of 09/30/2019)
Non-U.S. Developed 98.99 99.58
Cash & Equivalents 1.01 -

Documents

TOP