JPMorgan Systematic Alpha Fund

Data updated: 2020-06-26

C000121196 — JPMorgan Systematic Alpha Fund. Money Market · $112.35M AUM · 1.00% expense ratio. Holdings, fees, performance and SEC filings.

C000121196 Fund Overview

JPMorgan Systematic Alpha Fund is a US mutual fund managed by JPMorgan Trust I, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US mutual fund
Manager: JPMorgan Trust I
Category: Money Market
Assets under management: $112.35M
SEC CIK: 0001217286
SEC series ID: S000039327
Share class ID: C000121196

C000121196 Investment Objective and Strategy

JPMorgan Systematic Alpha Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by JPMorgan Trust I.

Investment objective

The Fund seeks to provide total return.

Principal investment strategy

J.P. Morgan Investment Management Inc., the Funds investment adviser (the adviser), believes that it has identified a set of return sources present in markets, such as equities, fixed income, convertible bonds, currencies and commodities, that result from, among other things, assuming a particular risk or taking advantage of a behavioral bias (each a return factor). For example, an investor may expect a higher return over time when investing in small cap stocks compared to large cap stocks due to the additional risks often posed by small cap stocks. The adviser may allocate assets to this small cap return factor by employing a strategy that purchases small cap stocks and shorts large cap stocks in an attempt to capture the risk premium typically associated with investing in small cap companies relative to large cap companies.

Additionally, the adviser may gain exposure to a momentum return factor by employing a strategy that buys stocks with strong positive price momentum and shorts stocks with strong negative price momentum. This strategy would seek to exploit a behavioral bias present in the market, in which investors tend to purchase stocks that have recently performed well, thereby helping to contribute to continued positive price movement, and sell stocks that have recently performed poorly, thereby helping to contribute to continued negative price movement. Under normal market conditions, the Fund seeks to achieve its investment objective by employing alternative investment strategies to access certain of these return factors. The return factors the adviser will seek to access have historically presented a low correlation to each other and to traditional asset classes and have unique risk and return profiles, and by employing this return factor based approach, the Fund seeks to provide total returns over time while maintaining a relatively low correlation with traditional asset classes.

The adviser will use a proprietary investment model to allocate assets to a subset of return factors. The return factors identified by the adviser include equity based return factors, fixed income based return factors, convertible bond based return factors, currency based return factors and commodity based return factors. The alternative investment strategies the Fund may employ to gain exposure to return factors include equity market neutral, event driven, convertible arbitrage and macro based strategies. Systematic in the Funds name refers to the advisers model-driven investment process and Alpha in the Funds name refers to the advisers attempt to identify individual return factors that are expected to contribute to the Funds total return. The instruments in which the Fund may invest, either directly or through the use of derivatives, include equity securities, debt securities, convertible securities, commodities and currencies.

The amount that may be invested in any one instrument will vary and generally depends on the investment strategies employed by the adviser at that point in time. However, there are no stated percentage limitations on the amount that can be invested in any one type of instrument and the adviser may, at times, focus on a small number of instruments. Moreover, the Fund is generally unconstrained by any particular capitalization, style or sector and may invest in any region or country, including emerging markets, and may invest in below investment grade instruments (junk bonds). The Fund may have both long and short exposure to these instruments. The adviser will make use of derivatives, including swaps, futures and forwards, in implementing its strategies. Under normal market conditions, the adviser currently expects that a significant portion of the Funds exposure will be attained through the use of derivatives, in addition to its exposure through direct investments.

Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, will primarily be used as an efficient means of implementing a particular strategy in order to gain exposure to a desired return factor. For example, in implementing equity market neutral strategies and macro based strategies, the Fund may use a total return swap to establish both long and short positions in order to gain the desired exposure rather than physically purchasing and selling short each instrument. Derivatives may also be used to increase gain, to effectively gain targeted equity exposure from its cash positions, to hedge various investments and/or for risk management. As a result of the Funds use of derivatives and to serve as collateral, the Fund may hold significant amounts of U.S.

Treasury obligations, including Treasury bills, bonds and notes and other obligations issued or guaranteed by the U.S. Treasury, and other short-term investments, including commercial paper, time deposits and money market funds. The Fund will purchase a particular instrument when the adviser believes that such instrument will allow the Fund to gain the desired exposure to a return factor. Conversely, the Fund will consider selling a particular instrument when it no longer provides the desired exposure to a return factor. In addition, investment decisions will take into account a return factors contribution to the Funds overall volatility. In allocating assets, the adviser seeks to approximately equal risk weight to the individual return factors over the long term, although the exposure to individual return factors will vary based on, among other things, the opportunity the adviser sees in each individual return factor.

The Fund will gain exposure to commodity markets by investing up to 15% of its total assets in the Systematic Alpha Fund CS Ltd., a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary). The Subsidiary is also advised by the adviser. The Subsidiary (unlike the Fund) may invest without limitation in commodity related investments, including commodity-linked swap agreements and other commodity related investments, including derivative instruments linked to the value of a particular commodity, commodity index or commodity futures contract, or a subset of commodities or commodity futures contracts. The Subsidiary may hold instruments described elsewhere in this prospectus that are not commodity related and is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Fund.

There can be no assurance that employing a return factor based approach will achieve any particular level of return or will, in fact, reduce volatility or potential loss. The Funds returns over time or during any period may be negative and the Fund may underperform the overall security markets over time or during any particular period.

C000121196 Costs and Fees

C000121196 costs about $100 per $10,000 invested per year in fund expenses.

Net expense ratio: 1.00%
Gross expense ratio: 1.23%
Portfolio turnover: 169%
Brokerage commissions: 33.76 bps of average net assets (SEC N-CEN)

C000121196 Cashflows

Over the 12 months to 2020-04, JPMorgan Systematic Alpha Fund had net outflows of $208.07M, from monthly SEC N-PORT filings.

Month	Net flow
2020-04	−$104.38M
2020-03	−$96.52M
2020-02	−$4.74M
2020-01	$7.77M
2019-12	−$3.66M
2019-11	$1.46M

C000121196 Debt Constituents

No individual debt constituents are reported in JPMorgan Systematic Alpha Fund's latest SEC N-PORT filing.

C000121196 Prospectus and SEC Filings

Official JPMorgan Systematic Alpha Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

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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.