Fulcrum Diversified Absolute Return Fund
Data updated: 2023-03-01
C000158697 — Fulcrum Diversified Absolute Return Fund. Hedge-Fund Replication · $256.47M AUM. Holdings, fees, performance and SEC filings.
C000158697 Fund Overview
Fulcrum Diversified Absolute Return Fund is a US mutual fund managed by Trust for Advised Portfolios, categorised as Hedge-Fund Replication. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Trust for Advised Portfolios
- Category: Hedge-Fund Replication
- Assets under management: $256.47M
- 1-year return: 2.2%
- SEC CIK: 0001261788
- SEC series ID: S000050264
- Share class ID: C000158697
C000158697 Investment Objective and Strategy
Fulcrum Diversified Absolute Return Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Trust for Advised Portfolios.
Investment objective
The investment objective of the Fulcrum Diversified Absolute Return Fund (the Fund) is to achieve long-term absolute returns.
Principal investment strategy
In seeking to achieve its aim of long-term absolute returns, the Fund aims to hold a diversified portfolio and achieve long-term absolute returns in all market conditions over rolling five-year periods, with lower volatility than equity markets and in excess of inflation. The Fund implements its strategy by investing globally either directly, or through derivatives, in a broad range of instruments, including, but not limited to, equity, fixed income, currency, commodity, credit derivative and cash instruments. The Fund has no limits with respect to the credit rating, maturity or duration of the fixed income securities in which it may invest. Fixed income securities may include floating rate and variable rate products. Derivatives, including futures, forwards, options and swaps, are utilized for investment and for hedging purposes.
Derivatives are financial contracts whose value depends upon, or is derived from, the value of an underlying asset, reference rate, or index, and may relate to equity securities, fixed income securities, interest rates, commodities, or currency exchange rates and related indexes. Swaps may include, but are not limited to, currency swaps, equity index swaps, interest rate swaps and credit default index swaps. The Fund is managed with an aim to limit forward looking volatility to 12%, which is expected to be lower than the volatility of equity markets. Forward looking volatility refers to the estimated volatility that a portfolio is taking based on short term volatility forecasts, such as those implied from option prices. By aiming to limit forward looking volatility to 12%, exposure to equities, commodities and credit, for example, are as a result limited at times of market stress when volatility typically spikes and the probability of losses is especially high.
On an intra-day basis, forward looking volatility may exceed 12%, but a risk reduction is implemented such that it falls below 12% by the close of each trading day. The Fund may also invest up to 25% of its assets in a subsidiary that is invested in derivative instruments (the Subsidiary), which is wholly-owned by the Fund and is organized under the laws of the Cayman Islands. The Subsidiary pursues the same investment objective as the Fund. The Subsidiary invests primarily in commodity futures and options and other commodity-linked derivative instruments, but it may also invest in financial futures, option and swap contracts, fixed income securities, including those that are not registered pursuant to the Investment Company Act of 1940, as amended (the 1940 Act), and other investments intended to serve as margin or collateral for the Subsidiarys derivative positions.
The Fund invests in the Subsidiary with the intent of gaining exposure to the commodities markets while meeting the requirements applicable to regulated investment companies under U.S. federal income tax law. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivatives; however, the Subsidiary complies with the same 1940 Act asset coverage requirements with respect to its investments in commodity-linked derivatives that are applicable to the Funds transactions in derivatives. Under normal circumstances, the Fund anticipates that it could allocate 50% or more of its total assets in global securities outside of the United States (or derivatives with similar economic characteristics). In doing so, the Fund allocates its assets among various regions and countries, including emerging markets.
C000158697 Holdings
Top 10 holdings of Fulcrum Diversified Absolute Return Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| Treasury Bill | 5.89% |
| Treasury Bill | 5.74% |
| Treasury Bill | 5.50% |
| Treasury Bill | 5.21% |
| Treasury Bill | 5.04% |
| Treasury Bill | 5.02% |
| Treasury Bill | 4.48% |
| Treasury Bill | 4.41% |
| Treasury Bill | 3.71% |
| Treasury Bill | 3.49% |
C000158697 Portfolio Allocation
Asset-class allocation of Fulcrum Diversified Absolute Return Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Fixed Income | 59.2% |
| Equity | 5.3% |
| Real Estate | 0.8% |
C000158697 Performance
Total returns for C000158697 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 2.2% |
| 3 years (annualised) | 5.5% |
C000158697 Risk Information
Risk metrics for C000158697, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 3.9%
C000158697 Costs and Fees
C000158697 costs about $108 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.08%
- Gross expense ratio: 1.37%
- Portfolio turnover: 129%
- Brokerage commissions: 11.28 bps of average net assets (SEC N-CEN)
C000158697 Cashflows
Over the 12 months to 2022-12, Fulcrum Diversified Absolute Return Fund had net inflows of $327.21M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2022-12 | $67.32M |
| 2022-11 | $109.57M |
| 2022-10 | $21.17M |
| 2022-09 | $8.32M |
| 2022-08 | $10.61M |
| 2022-07 | $9.63M |
C000158697 Debt Constituents
Largest debt holdings of Fulcrum Diversified Absolute Return Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| Treasury Bill | 5.89% |
| Treasury Bill | 5.74% |
| Treasury Bill | 5.50% |
| Treasury Bill | 5.21% |
| Treasury Bill | 5.04% |
| Treasury Bill | 5.02% |
| Treasury Bill | 4.48% |
| Treasury Bill | 4.41% |
| Treasury Bill | 3.71% |
| Treasury Bill | 3.49% |
C000158697 Prospectus and SEC Filings
Official Fulcrum Diversified Absolute Return Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2022-10-27
- Prospectus (485BPOS) — filed 2021-10-28
- Prospectus (485BPOS) — filed 2020-10-28
- Portfolio holdings (N-PORT) — filed 2023-03-01
- Portfolio holdings (N-PORT) — filed 2022-11-29
- Annual census (N-CEN) — filed 2022-09-13
- Annual census (N-CEN) — filed 2021-09-10
- Portfolio holdings, amended (N-PORT/A) — filed 2022-09-21
Related Funds
Other Hedge-Fund Replication 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.