JNL/AQR Managed Futures Strategy Fund

Data updated: 2021-05-27

C000102951 — JNL/AQR Managed Futures Strategy Fund. Commodity · $74.48M AUM · 1.31% expense ratio. Holdings, fees, performance and SEC filings.

C000102951 Fund Overview

JNL/AQR Managed Futures Strategy Fund is a US mutual fund managed by JNL Series Trust, 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: JNL Series Trust
Category: Commodity
Assets under management: $74.48M
1-year return: -0.5%
SEC CIK: 0000933691
SEC series ID: S000033504
Share class ID: C000102951

C000102951 Investment Objective and Strategy

JNL/AQR Managed Futures Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by JNL Series Trust.

Investment objective

The investment objective of the Fund is to seek positive absolute returns.

Principal investment strategy

To pursue its investment objective, the Fund invests primarily in a portfolio of futures contracts, futures-related instruments, forwards and swaps, as defined below. 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). The Funds 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, forwards and swaps, global interest rate and bond futures and swaps (collectively, Instruments).

The Fund will seek to gain exposure to commodity futures, forwards and swaps primarily by investing in JNL/AQR Managed Futures Strategy Fund Ltd. (Subsidiary), which invests primarily in those futures, forwards and swaps (as described more fully below). These Instruments may be used for investment or speculative purposes, hedging or as a substitute for investing in conventional securities. The Fund may also invest in fixed-income securities, money market instruments, and cash. There are no geographic limits on the market exposure of the Funds assets. This flexibility allows AQR Capital Management, LLC (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 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.

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 net asset value (NAV) to be volatile.

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, to meet margin or collateral requirements, or to meet asset segregation requirements when it may not be advantageous to do so. 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 Investment Company Act of 1940, as amended (1940 Act) and the rules and interpretations thereunder impose certain limitations on the Funds ability to use leverage and also require the Fund to set aside (often referred to as asset segregation) liquid assets, or engage in other SEC or SEC staff approved measures, to cover open positions with respect to certain Instruments that have the economic effect of financial leverage (as described above). The Fund, however, is not subject to any additional limitations on its net long and short exposures. For more information on the asset segregation requirements and these and other risk factors, please see the Principal Risks of Investing in the Fund.

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% per year). 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 (including U.S. treasury bills), 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 may serve as collateral or coverage for the positions the Fund takes and also earn income for the Fund.

The Fund intends to make investments through the Subsidiary and may invest up to 25% of the value of its total assets in the Subsidiary. The Subsidiary is a wholly owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company. Generally, the Subsidiary invests primarily in commodity futures, forwards and swaps, but it 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 Fund invests in the Subsidiary in order to gain exposure to the commodities markets within the limitations of the federal tax laws, rules and regulations that apply to regulated investment companies (RICs).

For temporary defensive purposes, when purchases or redemptions require, or during transitions, the Fund may deviate very substantially from the allocation described above. The Fund is a non-diversified fund, as defined in the Investment Company Act of 1940, as amended (the 1940 Act), and may invest more of its assets in fewer issuers than diversified mutual funds.

C000102951 Performance

Total returns for C000102951 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	-0.5%

C000102951 Risk Information

Risk metrics for C000102951, derived from monthly returns in SEC filings.

1-year volatility (annualised): 7.1%

C000102951 Costs and Fees

C000102951 costs about $131 per $10,000 invested per year in fund expenses.

Net expense ratio: 1.31%
Gross expense ratio: 1.31%
Portfolio turnover: 0%
Brokerage commissions: 14.98 bps of average net assets (SEC N-CEN)

C000102951 Cashflows

Over the 12 months to 2021-03, JNL/AQR Managed Futures Strategy Fund had net outflows of $15.34M, from monthly SEC N-PORT filings.

Month	Net flow
2021-03	−$1.61M
2021-02	−$911.48K
2021-01	−$609.91K
2020-12	−$631.60K
2020-11	−$711.59K
2020-10	−$1.26M

C000102951 Debt Constituents

No individual debt constituents are reported in JNL/AQR Managed Futures Strategy Fund's latest SEC N-PORT filing.

C000102951 Prospectus and SEC Filings

Official JNL/AQR Managed Futures Strategy Fund 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.