Multi-Asset Real Return Fund
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The Multi-Asset Real Return Fund seeks to maximize real returns consistent with prudent investment management
Primary Benchmark:
Barclays US Treasury Inflation Protected Securities Index
Portfolio Management
Kevin Kearns
Maura Murphy, CFA
Laura Sarlo, CFA
Total Fund Assets (as of 4/30/2013):
$27.4 million
Lipper Category:
Absolute Return category
Morningstar Category:
Multialternative
Strategy Highlights
- Flexible, global, multi-asset-class strategy that pursues absolute real returns regardless of market conditions
- Employs a multi-tiered risk management approach with a current performance goal of outpacing CPI by +3% over a full market cycle, while managing to a volatility target range of 6% - 10%*
- Uses a broad range of global asset classes and security types, this strategy has the potential to add value by holding both long and short positions to hedge against market risk or to capitalize on return opportunities
- Seasoned portfolio management team that leverages macroeconomic, fixed income, equity and quantitative risk management capabilities
*The performance goal is current, subject to change, and should not be considered a predictor of investment return. All investments involve the risk of loss and no measure of performance is guaranteed. The Fund aims to deliver its target return over a full market cycle, which is likely to include stretches of both up and down markets
Investment Strategy
The Investment Process includes the following important elements:
- Global macro analysis incorporating specialized research teams providing a comprehensive view of economies around the world
- Dynamic Beta: dynamic asset allocation process based on a comprehensive relative value sector analysis that seeks to participate in appreciating markets and limit exposure to or short deprecating markets globally
- Tactical Alpha: a process driven by fundamental research, quantitative tools & technical screens that attempt to generate positive risk-adjusted returns through expression of single security or idiosyncratic market opportunities. May improve diversification by providing returns uncorrelated with dynamic beta positions and broad market movements
- Portfolio construction and optimization process designed to maximize the portfolio's potential upside to down
About Risk
- Derivatives (which include, but are not limited to, futures, forward contracts, options, and swaps) generally have implied leverage (a small amount of money to make an investment of greater value). Because of this, the fund’s use of derivatives may magnify any gains or losses onthose investments, as well as risk to the fund.
- Over the Counter (OTC) derivative contracts involve counterparty risk, or the risk of default to a derivative contract, and liquidity risk; market volatility may prevent the fund from closing out contracts at the desiredtime and price
- Non-diversified funds that may focus on a relatively small number of stocks/issuers tend to be more volatile than diversified funds and the market as a whole
- The Fund is subject to currency risk, the risk of fluctuations in exchange rates between the US dollar and foreign currencies, which may cause the value of a Fund’s investments to decline
- Stock values fluctuate and are subject to unpredictable declines due to the activities of individual companies, economic conditions and general market conditions
- Mutual funds that invest in bonds can lose their value. When interest rates rise, bond prices usually fall and vice versa.
1 For further detail regarding Minimum Initial Investment, please see the fund prospectus.
2 Unlike net expense ratio, gross expense ratio does not reflect any potential reimbursement/waiver of expenses, if any, as stated in the most recent Fund prospectus. Fund expenses and expense reductions are subject to change. Expense reductions are contractual and are set to expire 4/30/2014. Investors should consult the most recent prospectus for more detailed information.
The Barclays US Treasury Inflation Protected Securities Index covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The liquidity constraint for all securities in the index is $300 million. Indexes are unmanaged and do not incur fees. It is not possible to invest directly in an index.
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Primary Benchmark: Barclays US Treasury Inflation Protected Securities Index
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Year-to-Date Performance as of 6/18/2013 Month-End Performance as of 4/30/2013 Cumulative
Total Return | Class Y | Index |
|---|
| 3 month | 0.20% | 1.11% | | Year-to-date | 0.82% | 0.43% |
Average Annualized
Total Return | Class Y | Index |
|---|
| 1 Year | 4.93% | 4.41% | | Since Inception (9/30/2010) | 1.84% | 7.73% |
Quarter-End Performance as of 3/31/2013 Cumulative
Total Return | Class Y | Index |
|---|
| 3 month | 0.41% | -0.36% | | Year-to-date | 0.41% | -0.36% |
Average Annualized
Total Return | Class Y | Index |
|---|
| 1 Year | 3.54% | 5.68% | | Since Inception (9/30/2010) | 1.73% | 7.66% |
Gross Expense Ratio: (Y) 1.89%; Net Expense Ratio: (Y) 1.16% Waivers/reimbursements are contractual and are set to expire 4/30/14. |
Lipper Rankings as of 4/30/2013 | | Class Y |
|---|
| 1 Year | 132/309 | | 3 Years | N/A | | 5 Years | N/A | | 10 Years | N/A | | Lipper Category: Absolute Return category |
Morningstar Rankings as of 3/31/2013 | | Class Y |
|---|
| 1 Year | 102/213 | | 3 Years | N/A | | 5 Years | N/A | | 10 Years | N/A | | Morningstar Category: Multialternative |
Lipper and Morningstar rankings are based on total returns calculated by each ranking entity. Rankings do not take into account sales charges, if applicable, but include reinvestment of dividends and capital gains, if any.
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Total return assumes reinvestment of dividends and capital gains distributions, if any.
Performance data quoted represents past performance and is no guarantee of future results. Total return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. Returns include changes in share price and reinvestment of dividends and capital gains, if any.
Lipper Analytical Services Inc., a Thomson Reuters Company, is a nationally recognized organization that provides performance information for mutual funds. Copyright 2013 © Reuters. All rights reserved. Any copying, republication or redistribution of Lipper content is expressly prohibited without the prior written consent of Lipper. Lipper shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.
© 2013 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Monthly as of 4/30/2013
| Characteristics | |
|---|
| Number of Issues | 130 | | Average Maturity | 2.96 | | Weighted Average Duration | 1.53 | | Annual Turnover (12/31/2012) | 448% |
| Currency Distribution | |
|---|
| U S Dollars | 94.1% | | Mexican Peso | 4.1% | | Euro | 1.5% | | Australian Dollar | 1.1% | | New Zealand Dollar | 1.0% | | New Turkish Lira | 0.6% | | British Pound Sterling | 0.2% | | Canadian Dollar | 0.1% | | Polish Zloty | 0.1% | | Hong Kong Dollar | 0.1% | | South African Rand | 0.1% | | Singapore Dollar | 0.0% | | Russian Ruble | -0.5% | | Hungarian Forint | -1.0% | | Japanese Yen | -1.5% |
| Duration Distribution | |
|---|
| Less than 1 Yr. | 33.0% | | 1 to 3 Yrs. | 6.7% | | 3 to 5 Yrs. | 10.9% | | 5 to 7 Yrs. | 7.8% | | 7 to 10 Yrs. | 11.4% | | 10 Yrs. or more | -2.3% | | Other | -1.6% | | Cash & Equiv | 34.0% |
Top Ten Holdings
as of 4/30/2013 | % Assets |
|---|
| CAYMAN SPV REAL RETURN 40ACT FUND | 14.1% | | U S TREASURY BILLS | 9.1% | | OFFSET-US LONG BOND(CBT) JUN13 | 6.5% | | OFFSET-US 10YR NOTE (CBT)JUN13 | 4.9% | | CITIGROUP INC | 3.9% | | UPC HOLDING BV 144A W/O RTS EUR | 2.4% | | ISHARES MSCI EMERGING MKT INDEX | 2.4% | | MEXICAN BONOS M MXN | 2.0% | | SPDR S&P DIVIDEND ETF | 2.0% | | AMERICAN AXLE & MFG INC | 1.9% | | Total | 49.2% | |
| Sector Distribution | |
|---|
| 0.0% | | 0.0% |
| Country Distribution | |
|---|
| United States | 80.2% | | Netherlands | 4.3% | | Luxembourg | 3.7% | | Mexico | 3.2% | | Eurozone | 1.9% | | France | 1.5% | | United Kingdom | 1.0% | | Cayman Islands | 1.0% | | Japan | 0.7% | | Other | 2.5% |
| Maturity Distribution | |
|---|
| Less than 1 Yr. | 29.1% | | 1 to 3 Yrs. | 4.5% | | 3 to 5 Yrs. | 6.7% | | 5 to 7 Yrs. | 6.9% | | 7 to 10 Yrs. | 17.6% | | 10 Yrs. or more | 2.8% | | Other | -1.6% | | Cash & Equiv | 34.0% |
| Credit Quality | |
|---|
| Aaa | 0.3% | | Aa | -1.9% | | A | 1.2% | | Baa | 5.8% | | Ba | 16.0% | | B | 14.2% | | Caa & Lower | 5.4% | | Not Rated | 21.0% | | Cash & Equiv | 38.0% |
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Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody's, S&P or Fitch ratings are subject to change. The Fund's shares are not rated by any rating agency and no credit rating for Fund shares is implied.
Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. In the Sector, Duration and Maturity distributions, the calculations are based on the specific traits of each security related to that distribution, which can result in variations of the Cash & Equivalents weightings.
Due to rounding, quality, maturity, sector, currency, country and duration totals may not equal 100.00%.
Quarterly as of 3/31/2013
| Characteristics | Fund | Index |
|---|
| Number of Issues | 143 | 34 | | Average Maturity | 2.45 | 9.03 | | Weighted Average Duration | .62 | 8.43 | | Annual Turnover (12/31/2012) | 448% | |
| Currency Distribution | Fund | Index |
|---|
| U S Dollars | 97.3% | 100% | | Mexican Peso | 2.1% | 0.0% | | Australian Dollar | 1.6% | 0.0% | | Canadian Dollar | 1.6% | 0.0% | | Polish Zloty | 1.0% | 0.0% | | New Turkish Lira | 0.6% | 0.0% | | Japanese Yen | 0.3% | 0.0% | | Hong Kong Dollar | 0.1% | 0.0% | | South African Rand | 0.0% | 0.0% | | Russian Ruble | 0.0% | 0.0% | | Hungarian Forint | 0.0% | 0.0% | | New Zealand Dollar | 0.0% | 0.0% | | Singapore Dollar | 0.0% | 0.0% | | Euro | -0.4% | 0.0% | | Indian Rupee | -2.0% | 0.0% | | British Pound Sterling | -2.4% | 0.0% |
| Duration Distribution | Fund | Index |
|---|
| Less than 1 Yr. | 37.1% | 0.0% | | 1 to 3 Yrs. | 5.5% | 15.6% | | 3 to 5 Yrs. | 6.3% | 19.5% | | 5 to 7 Yrs. | -8.3% | 8.9% | | 7 to 10 Yrs. | 12.8% | 27.2% | | 10 Yrs. or more | -0.1% | 28.8% | | Other | 0.9% | 0.0% | | Cash & Equiv | 45.8% | 0.0% |
Top Ten Holdings
as of 3/31/2013 | % Assets |
|---|
| OFFSET-US 10YR NOTE (CBT)JUN13 | 21.3% | | CAYMAN SPV REAL RETURN 40ACT FUND | 14.1% | | U S TREASURY BILLS | 9.2% | | CITIGROUP INC | 3.9% | | OFFSET-US LONG BOND(CBT) JUN13 | 2.6% | | UPC HOLDING BV 144A W/O RTS EUR | 2.3% | | MARKET VECTORS OIL SERVICE E | 2.0% | | SGX CNX NIFTY APR13 | 2.0% | | AMERICAN AXLE & MFG INC | 1.9% | | EQUINIX INC | 1.9% | | Total | 61.1% | |
| Sector Distribution | Fund | Index |
|---|
| 0.0% | 0.0% | | 0.0% | 0.0% |
| Country Distribution | Fund | Index |
|---|
| United States | 79.2% | 100% | | Netherlands | 5.8% | 0.0% | | United Kingdom | 3.4% | 0.0% | | Luxembourg | 2.1% | 0.0% | | Bermuda | 1.8% | 0.0% | | France | 1.4% | 0.0% | | Mexico | 1.2% | 0.0% | | Eurozone | 1.1% | 0.0% | | Cayman Islands | 1.0% | 0.0% | | Other | 3.0% | 0.0% |
| Maturity Distribution | Fund | Index |
|---|
| Less than 1 Yr. | 30.8% | 0.0% | | 1 to 3 Yrs. | 4.7% | 15.6% | | 3 to 5 Yrs. | 6.1% | 19.5% | | 5 to 7 Yrs. | -9.9% | 8.9% | | 7 to 10 Yrs. | 16.2% | 27.2% | | 10 Yrs. or more | 5.3% | 28.8% | | Other | 0.9% | 0.0% | | Cash & Equiv | 45.8% | 0.0% |
| Credit Quality | Fund | Index |
|---|
| Govt/Agency | 0.0% | 100% | | Aaa | 0.5% | 0.0% | | Aa | -3.2% | 0.0% | | A | -0.9% | 0.0% | | Baa | 2.5% | 0.0% | | Ba | 15.5% | 0.0% | | B | 15.8% | 0.0% | | Caa & Lower | 5.3% | 0.0% | | Not Rated | 22.3% | 0.0% | | Cash & Equiv | 42.3% | 0.0% |
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Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody's, S&P or Fitch ratings are subject to change. The Fund's shares are not rated by any rating agency and no credit rating for Fund shares is implied.
Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. In the Sector, Duration and Maturity distributions, the calculations are based on the specific traits of each security related to that distribution, which can result in variations of the Cash & Equivalents weightings.
Due to rounding, quality, maturity, sector, currency, country and duration totals may not equal 100.00%.