JPMorgan Managed Futures Strategy ETF

Data updated: 2020-06-29

C000193827 — JPMorgan Managed Futures Strategy ETF. Commodity · $53.87M AUM · 0.59% expense ratio. Holdings, fees, performance and SEC filings.

C000193827 Fund Overview

JPMorgan Managed Futures Strategy ETF is a US ETF managed by J.P. Morgan Exchange-Traded Fund Trust, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

C000193827 Investment Objective and Strategy

JPMorgan Managed Futures Strategy ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by J.P. Morgan Exchange-Traded Fund Trust.

Investment objective

The Fund seeks to provide long-term total return.

Principal investment strategy

Through the advisers systematic investment process, the Fund seeks to achieve its investment objective by investing globally to exploit opportunities across a broad range of asset classes including, but not limited to, equities, fixed income, currency and commodities based on the advisers assessment of their attractiveness. Within these strategies, the adviser believes it has identified (and will continue to identify) a set of investment return sources that have a low correlation to each other and to traditional markets and have distinct risk and return profiles (each a return factor). Under normal market conditions, the Fund employs the Managed Futures strategy to access certain return factors. Each return factor represents a potential source of investment return that results from, among other things, assuming a risk relating to the return factors described below or taking advantage of a behavioral bias.

For example, a strategy relating to a momentum return factor would seek to exploit a behavioral bias present in the market, in which investors tend to purchase securities that have recently performed well, thereby helping to contribute to continued positive price movement, and sell securities that have recently performed poorly, thereby helping to contribute to continued negative price movement. The adviser believes that, in general, the Funds investment returns are attributable to the individual contributions of the various return factors. By employing this return factor based approach, the Fund seeks to provide positive total returns over time while maintaining a relatively low correlation with traditional markets. The exposure to individual return factors may vary based on the market opportunity of the individual return factors.

For example, the return factors that the adviser may utilize include, but are not limited to, the following: Momentum These strategies seek to capture the tendency that an assets recent performance based on its price will continue in the near future. The Fund seeks to choose investments that have performed relatively well over those that have underperformed over the medium-term. The Fund will implement the momentum return factor in the following ways: Looking at the relative value of prices of commodities and developed market currencies over time. The Fund intends to invest in futures or forward contracts to hold the best opportunities long while also shorting the worst opportunities within these asset classes. Looking across developed market fixed income, developed market equity indices and international (including emerging market) commodities, the Fund seeks to utilize futures contracts to exploit price momentum trends across the asset classes.

At any particular time, the Fund may hold only long or only short futures in a particular asset class as part of this strategy. Carry Trades In the carry strategies, the Fund seeks to take a short position in a low yielding instrument while also taking a long position in another instrument that is higher yielding. The strategies seek to capture the tendency for higher yielding assets to provide higher returns than lower-yielding assets. The Fund implements these strategies through derivatives instead of holding long and shorting securities physically. The Fund uses the following asset classes in implementing this strategy: Fixed Income the Fund seeks to benefit from differences in the yields of interest rates, caused by uncertainty in interest rates. The Fund invests in instruments with higher interest rate yields and shorts those with lower yields.

Currency the Fund seeks to benefit from differences in the relative yields of various currencies. The Fund invests in higher yielding currencies and shorts those with lower yields. Commodities the Fund seeks to benefit from differences in the price of commodities futures contracts trading below the expected market price at contract maturity and those trading above the expected market price at contract maturity. For example, the Fund may invest in the long-end of the government bond markets with the highest inflation adjusted yields and sell short the long-end of the government bond markets with the lowest inflation adjusted yields. As an alternative example, the Fund may seek to exploit supply and demand imbalances that occur in a given commodity market by utilizing long and short exposures achieved through different derivative instruments.

Not all return factors will necessarily be utilized at one time, and additional return factors may be identified over time. The Fund will generally invest its assets globally to gain exposure, either directly or through the use of derivatives, to equity securities (across market capitalizations) in developed markets, debt securities (including below investment grade or high yield securities), commodities (through its subsidiary as described below) and currencies (including in emerging markets). The Fund may invest in fixed income securities of any average weighted maturity or duration. The Fund may use both long and short positions (achieved primarily through the use of derivative instruments). The Fund may maintain a total net long market exposure, meaning that the Funds long exposure will be greater than its short exposure; neutral aggregate exposure, where the long and short exposure will be equal; or total net short exposure, meaning that the Funds short exposure will be greater than its long exposure.

In addition, the Fund may have aggregate long or aggregate short exposure to one or more industry sectors, individual markets and/or currencies based on the advisers view of whether a particular sector, market or currency is expected to outperform or underperform. To the extent that the Fund hedges its currency exposure into the U.S. dollar, it may reduce the effects of currency fluctuations. The adviser will make use of derivatives, including swaps, futures, options and forward contracts, 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.

Derivatives may also be used to increase gain, to effectively gain targeted 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, obligations of other sovereign governments or supranational entities, other short-term investments, including money market funds, and foreign currencies in which certain derivatives are denominated. The Fund will gain exposure to commodity markets indirectly by investing up to 20% of its total assets in the Managed Futures 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 will invest in commodity futures contracts and swaps. However, the Subsidiary (unlike the Fund) may invest without limitation in such commodity futures contracts. The Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Fund. The amount that may be invested in any one instrument will vary and generally depend on the return factors employed by the adviser at that 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 smaller number of instruments. Moreover, the Fund is generally unconstrained by any particular capitalization, style or sector and may invest in any region or country.

The Fund may have both long and short exposure to these instruments. Given the complexity of the investments and strategies of the Fund, the adviser will make use of quantitative models and information and data supplied by third parties to, among other things, help determine the portfolios weightings among various investments and construct sets of transactions and investments. 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 balance risk 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 Funds investment strategies may involve active and frequent trading resulting in high portfolio turnover. Since the Fund is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would.

C000193827 Holdings

Top 1 holdings of JPMorgan Managed Futures Strategy ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.

Holding% of net assets
JPMorgan Prime Money Market Fund80.20%

View all C000193827 holdings

C000193827 Portfolio Allocation

Asset-class allocation of JPMorgan Managed Futures Strategy ETF by percentage of net assets, from the latest SEC N-PORT filing.

Asset classAllocation
Cash & Equivalents80.2%
Real Estate1.6%

C000193827 Costs and Fees

C000193827 costs about $59 per $10,000 invested per year in fund expenses.

  • Net expense ratio: 0.59%
  • Gross expense ratio: 0.59%
  • Portfolio turnover: 0%
  • Brokerage commissions: 4.85 bps of average net assets (SEC N-CEN)

C000193827 Cashflows

Over the 12 months to 2020-04, JPMorgan Managed Futures Strategy ETF had net inflows of $12.92M, from monthly SEC N-PORT filings.

MonthNet flow
2020-04$0
2020-03−$3.20M
2020-02$0
2020-01−$3.52M
2019-12$19.59M
2019-11$0

C000193827 Debt Constituents

No individual debt constituents are reported in JPMorgan Managed Futures Strategy ETF's latest SEC N-PORT filing.

C000193827 Prospectus and SEC Filings

Official JPMorgan Managed Futures Strategy ETF 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.