Fundamental Multi-Strategy Alternative

Overview

A fundamentally constructed alternative multi-strategy seeking to deliver high risk-adjusted returns across various market environments with low volatility and market beta.

Strategy Inception Date
March 31, 2012
Composite Inception Date
March 31, 2012
Composite AUM
(as of 07/31/2019)
$998.50 MM
Composite Benchmark
HFRX Global Hedge Fund Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Calendar Year Returns
as of 07/31/2019
as of 06/30/2019

Cumulative
Annualized
3 mo ytd as of 2019-06-30
1 yr 3 yr 5 yr since inception
Fundamental Multi-Strategy Alternative (gross of fees)
1.96% 4.91% 4.54% 2.98% 3.44% 4.96%
Fundamental Multi-Strategy Alternative (net of fees)
1.75% 4.47% 3.67% 2.12% 2.58% 4.09%
HFRX Global Hedge Fund Index
1.58% 4.22% -1.95% 2.12% -0.11% 1.12%
Cumulative
Annualized
3 mo ytd as of 2019-07-31
1 yr 3 yr 5 yr since inception
Fundamental Multi-Strategy Alternative (gross of fees)
0.90% 5.59% 3.55% 3.31% 3.66% 5.00%
Fundamental Multi-Strategy Alternative (net of fees)
0.69% 5.08% 2.69% 2.44% 2.79% 4.12%
HFRX Global Hedge Fund Index
1.69% 5.02% -1.05% 1.89% 0.22% 1.22%

Year Fundamental Multi-Strategy Alternative (gross of fees) Fundamental Multi-Strategy Alternative (net of fees) HFRX Global Hedge Fund Index
2013 11.00% 10.08% 6.72%
2014 6.73% 5.85% -0.58%
2015 4.39% 3.52% -3.64%
2016 3.47% 2.61% 2.50%
2017 3.36% 2.50% 5.99%
2018 -0.40% -1.23% -6.72%
Portfolio

Top Holdings by Strategy

(44.0% of assets as of 07/31/2019)


Long and Short Credit
Citibank NA, IG30 Index, Credit Default Swap
5.5%
Residential Asset Securities Corp., (RASC 2006 KS2 M2), FLT%, 3/25/36
1.5%
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass, FLT%, 3/25/36
1.5%
IVZ Opp. Institutional Government Money Market Fund
0.1%
Long and Short Equity
CommVault Systems, Inc.
2.2%
Philip Morris International, Inc.
2.2%
Standard and Poor's 500 Index (The) Call, 9/20/19, $3005
2.1%
Alphabet, Inc.
2.1%
Cisco Systems, Inc.
2.1%
Long and Short Macro
SPDR Gold Shares
4.7%
Euro-Bund Future, 2019-09-
2.8%

Portfolio Holdings Breakdown

Country
Developed Markets
Emerging Markets
Equity Sector
Fixed Income Sector
Asset Allocation
Market Cap 2
Holding
Country Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
United States 94.2% - -
Germany 2.8% - -
Canada 1.6% - -
Russia 1.3% - -
Ireland 1.0% - -
Taiwan 1.0% - -
Peru 0.4% - -
Luxembourg 0.2% - -
Supranational (non-iso) 0.2% - -
Bermuda 0.1% - -
Australia 0.1% - -
Cayman Islands 0.1% - -
Switzerland 0.1% - -
Developed Markets Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Americas 96.0% - -
Supranational 0.2% - -
Asia Pacific -2.2% - -
Europe -10.7% - -
Emerging Markets Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Europe 1.3% - -
Americas 0.4% - -
Asia Pacific -4.2% - -
Equity Sector Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Financials 10.4% - -
Communication Services 5.5% - -
Broad Market 5.0% - -
Health Care 4.4% - -
Industrials 3.0% - -
Energy 2.7% - -
Utilities 2.2% - -
Materials 2.1% - -
Consumer Staples -0.3% - -
Consumer Discretionary -1.6% - -
Information Technology -1.7% - -
Real Estate -7.4% - -
Fixed Income Sector Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Corporates 11.5% - -
ABS 10.1% - -
Equity Other 1.3% - -
Catastrophe 1.3% - -
Sovereign -0.4% - -
Treasuries -1.4% - -
Asset Allocation Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Equity 24.4% - -
Fixed Income 22.4% - -
Commodity 4.7% - -
Other -7.5% - -
Market Cap Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Large 30.5% - -
Small -1.1% - -
Mid -2.9% - -
Holding Fundamental Multi-Strategy Alternative HFRX Global Hedge Fund Index Overweight / Underweight
Citi PB Collateral Cash 21.0% - -
JP Morgan PB Collateral Cash 13.8% - -
Citibank NA, IG30 Index, Credit Default Swap 5.5% - -
SPDR Gold Shares 4.7% - -
Euro-Bund Future, 2019-09- 2.8% - -
CommVault Systems, Inc. 2.2% - -
Philip Morris International, Inc. 2.2% - -
Standard and Poor's 500 Index (The) Call, 9/20/19, $3005 2.1% - -
Alphabet, Inc. 2.1% - -
Cisco Systems, Inc. 2.1% - -
Chubb Ltd. 2.0% - -
IVZ Opp. Institutional Government Money Market Fund 1.8% - -
UnitedHealth Group, Inc. 1.6% - -
S&P Mid 400 Emini, 2019-09- 1.6% - -
Residential Asset Securities Corp., (RASC 2006 KS2 M2), FLT%, 3/25/36 1.5% - -
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass, FLT%, 3/25/36 1.5% - -
Blackstone Mortgage Trust, Inc. 1.5% - -
Goldman Sachs Group, Inc. 1.4% - -
Northrop Grumman Corp. 1.4% - -
Lockheed Martin Corp. 1.4% - -
Analytics
(As of 07/31/2019)

Performance Statistics
3Y
5Y
Alpha
1.56
3.05
Beta
0.61
0.51
Information Ratio
0.42
0.97
R-Squared
38.19
31.85
Sharpe Ratio
0.48
0.76
Standard Deviation
3.78
3.56
Upside Capture
84.00
87.83
Downside Capture
40.84
21.39
Sortino Ratio
0.71
1.27
Tracking Error
3.34
3.56
Yields
Portfolio Characteristics
Rep Portfolio
Composite Benchmark
P/E Ratio (LTM)
17.91
-
P/E Ratio (NTM)
12.37
-
Price/Book
2.21
-
Return on Equity
17.86%
-
Debt to Capital Ratio
60.11
-
Turnover Ratio
155%
-
Team
  1. 1. Holdings are subject to change and are dollar-weighted based on assets.
  2. 2. Holdings are subject to change, are dollar-weighted based on assets, and may not reflect the use of leverage in the Fund. Market Cap breakdown is calculated using Morningstar's methodology and those capitalization standards may not align with those in the Fund's prospectus.
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