Transamerica Managed Futures Strategy
Data updated: 2020-03-27
C000091351 — Transamerica Managed Futures Strategy. Commodity · $115.10M AUM · 1.46% expense ratio. Holdings, fees, performance and SEC filings.
C000091351 Fund Overview
Transamerica Managed Futures Strategy is a US mutual fund managed by Transamerica Funds, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Transamerica Funds
- Category: Commodity
- Assets under management: $115.10M
- SEC CIK: 0000787623
- SEC series ID: S000029712
- Share class ID: C000091351
C000091351 Investment Objective and Strategy
Transamerica Managed Futures Strategy describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Transamerica Funds.
Investment objective
Seeks to generate positive absolute returns.
Principal investment strategy
Under normal circumstances, the funds sub-adviser, AQR Capital Management, LLC (the sub-adviser), invests the funds assets primarily in a portfolio of futures contracts, futures-related instruments, forwards and swaps. The funds universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts and swaps across four major asset classes (commodities, currencies, fixed-income and equities); however, this universe of investments is subject to change under varying market conditions and as these instruments evolve over time. Generally, the fund invests in futures contracts, futures-related instruments, forwards and swaps, and may include, but will not be limited to, global equity index futures, swaps on equity index futures and equity swaps, global currency forwards and futures, commodity futures, commodity swaps, global interest rate and bond futures and swaps (collectively, the Instruments), either by investing directly in those Instruments, or indirectly by investing up to 25% of its total assets in a wholly-owned subsidiary of the fund organized as a company under the laws of the Cayman Islands (the Subsidiary) that invests in those Instruments.
There are no geographic limits on the market exposure of the funds assets. This flexibility allows the sub-adviser to look for investments or gain exposure to asset classes and markets around the world, including emerging markets, that it believes will enhance the funds ability to meet its objective. The fund may also invest in exchange traded funds or exchange traded notes through which the fund can participate in the performance of one or more Instruments. The fund may also take a short position in a derivative instrument such as a future, forward or swap. The Subsidiary has the same investment objective as the fund and is advised by Transamerica Asset Management, Inc. and sub-advised by the sub-adviser. The Subsidiary, unlike the fund, may invest without limitation in commodities and other commodity-linked securities and derivative instruments, such as swaps and futures that provide exposure to the performance of the commodities markets.
The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the 1940 Act), and is not subject to the investor protections of the 1940 Act. In addition, the Subsidiary may also invest in financial futures, option and swap contracts, fixed income securities, pooled investment vehicles, including those that are not registered pursuant to the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiarys derivative positions. The funds return is expected to be derived principally from changes in the value of securities and its portfolio is expected to consist principally of securities. The sub-adviser uses proprietary quantitative models to identify price trends in equity, fixed-income, currency and commodity Instruments. Once a trend is determined, the fund will take either a long or short position in the given Instrument.
The owner of a long position in a derivative instrument will benefit from an increase in the price of the underlying security or instrument. The owner of a short position in a derivative instrument will benefit from a decrease in the price of the underlying security or instrument. The size of the position taken will relate to the sub-advisers systematic assessment of the trend and its likelihood of continuing as well as the sub-advisers estimate of the Instruments risk. The sub-adviser generally expects that the fund will have exposure in long and short positions across all four major asset classes (commodities, currencies, fixed income and equities), but at any one time the fund may emphasize one or two of the asset classes or a limited number of exposures within an asset class. The fund may take a short position in a derivative instrument, such as a future, forward or swap.
The fund may enter into derivatives transactions, including swap agreements or taking short positions in futures contracts, which have similar economic effects as short sales. Futures and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. The funds use of futures contracts, forward contracts, swaps and certain other Instruments will have the economic effect of financial leverage. Financial leverage magnifies exposure to the swings in prices of an asset class underlying an Instrument and results in increased volatility, which means the fund will have the potential for greater gains, as well as the potential for greater losses, than if the fund does not use Instruments that have a leveraging effect.
Leveraging tends to magnify, sometimes significantly, the effect of any increase or decrease in the funds exposure to an asset class and may cause the funds NAV to be volatile. For example, if the sub-adviser seeks to gain enhanced exposure to a specific asset class through an Instrument providing leveraged exposure to the class and that Instrument increases in value, the gain to the fund will be magnified; however, if that investment decreases in value, the loss to the fund will be magnified. A decline in the funds assets due to losses magnified by the Instruments providing leveraged exposure may require the fund to liquidate portfolio positions to satisfy its obligations, to meet redemption requests or to meet asset segregation requirements when it may not be advantageous to do so. There is no assurance that the funds use of Instruments providing enhanced exposure will enable the fund to achieve its investment objective.
The sub-adviser will primarily use quantitative methods to assess the level of risk (i.e., volatility of return) for the fund. Volatility is a statistical measurement of the dispersion of returns of a security or fund or index, as measured by the annualized standard deviation of its returns. Higher volatility generally indicates higher risk. The sub-adviser, on average, will target an annualized volatility level for the fund of 10%. The sub-adviser expects that the funds targeted annualized forecasted volatility will typically range between 5% and 13%; however, the actual or realized volatility level for longer or shorter periods may be materially higher or lower depending on market conditions. Actual or realized volatility can and will differ from the forecasted or target volatility described above.
As a result of the funds strategy, the fund may have highly leveraged exposure to one or more asset classes at times. The 1940 Act and the rules and interpretations thereunder impose certain limitations on the funds ability to use leverage; however, the fund is not subject to any additional limitations on its net long and short exposures. For example, the fund, on average, could hold instruments that provide three to four times the net return of a broad or narrow-based securities index. When taking into account derivative instruments and instruments with a maturity of one year or less at the time of acquisition, the funds strategy will result in frequent portfolio trading and high portfolio turnover (typically greater than 300%). A significant portion of the assets of the fund may be invested directly or indirectly in money market instruments, which may include, but are not be limited to, U.S.
government securities, U.S. government agency securities, short-term fixed income securities, overnight and/or fixed term repurchase agreements, money market mutual fund shares, and cash and cash equivalents with one year or less term to maturity. These cash or cash equivalent holdings serve as collateral for the positions the fund takes and also earn income for the fund. This fund is non-diversified.
C000091351 Costs and Fees
C000091351 costs about $146 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.46%
- Gross expense ratio: 2.37%
- Portfolio turnover: 0%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
C000091351 Cashflows
Over the 12 months to 2020-01, Transamerica Managed Futures Strategy had net outflows of $14.45M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2020-01 | −$2.58M |
| 2019-12 | $2.14M |
| 2019-11 | −$1.75M |
| 2019-10 | −$1.92M |
| 2019-09 | −$2.11M |
| 2019-08 | −$8.23M |
C000091351 Debt Constituents
No individual debt constituents are reported in Transamerica Managed Futures Strategy's latest SEC N-PORT filing.
C000091351 Prospectus and SEC Filings
Official Transamerica Managed Futures Strategy filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
Related Funds
Other Commodity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.