James Alpha Structured Credit Value Portfolio
Data updated: 2021-04-28
C000201855 — James Alpha Structured Credit Value Portfolio. Bond · $221.96M AUM · 2.50% expense ratio. Holdings, fees, performance and SEC filings.
C000201855 Fund Overview
James Alpha Structured Credit Value Portfolio is a US mutual fund managed by Saratoga Advantage Trust, categorised as Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Saratoga Advantage Trust
- Category: Bond
- Assets under management: $221.96M
- 1-year return: 13.4%
- SEC CIK: 0000924628
- SEC series ID: S000062280
- Share class ID: C000201855
C000201855 Investment Objective and Strategy
James Alpha Structured Credit Value Portfolio describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Saratoga Advantage Trust.
Investment objective
The Portfolio seeks to provide a high level of risk-adjusted current income and capital appreciation.
Principal investment strategy
The Portfolio seeks to achieve its investment objectives, under normal conditions, by investing at least 80% of the Portfolios net assets plus any borrowings for investment purposes in structured credit securities, and in other investments that have economic characteristics similar to such securities. Structured credit securities include, but are not limited to, mortgage backed-securities (MBS), including residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS); asset-backed securities (ABS); collateralized mortgage obligations (CMOs); collateralized loan obligations (CLOs); collateralized bond obligations (CBOs); collateralized debt obligations (CDOs); mortgage derivatives such as stripped RMBS and inverse floaters; and other securitized assets. A stripped RMBS is created when a traditional RMBS is split into an interest-only and a principal-only strip.
A stripped RMBS gives its holder the right to interest payments or principal payments, but not both. An inverse floater is a type of derivative instrument with a floating or variable interest rate that moves in the opposite direct of the interest rate on another security, usually a floating rate note. The use of inverse floaters by the Portfolio creates effective leverage. The Portfolios investments in RMBS may include agency and nonagency RMBS, including to-be-announced MBS (TBA), and non-U.S. dollar denominated RMBS. The Portfolios investments in CMOs may include whole loan CMOs backed by prime, Alt-A, and subprime collateral. The Sub-Adviser considers prime loans to represent borrowers with good to excellent credit; the Sub-Adviser considers subprime loans to represent borrowers with a higher risk of default than loans to prime borrowers and therefore carry higher interest rates; and the Sub-Adviser considers Alt-A loans to represent borrowers with a credit risk profile between that of prime and subprime loans.
The Portfolio may invest without limit in securitizations backed by loans, and expects that most Alt-A and subprime securitizations in which the Portfolio intends to invest will be composed entirely of such loans. The Portfolios investments in ABS include ABS backed by student loans, auto loans, or nontraditional collateral such as single family rentals and aircraft leases. The Portfolio concentrates its investments ( i.e. , invests more than 25% of its net assets) in RMBS, CMBS, and other mortgage-related securities (such as CMOs), and treats such investments as investments in a group of industries. The Portfolio may also invest in corporate bonds and other fixed income securities. The Portfolio seeks to outperform the Bloomberg Barclays U.S. Aggregate Bond Index with lower volatility than that index.
The Portfolio seeks to minimize interest rate risk by maintaining a short to intermediate average portfolio duration (i.e., within a zero to three (0 to 3) year range), as calculated by the Sub-Adviser, although the Portfolios average duration may be shorter or longer at any time or from time to time depending on market conditions and other factors. While the Portfolio seeks to maintain a short to intermediate average portfolio duration, there is no limit on the maturity or duration of any individual security in which the Portfolio may invest. In addition, the Sub-Adviser manages the liquidity of the Portfolios holdings at both the individual security level and the portfolio level, using a proprietary technique that attempts to optimize the tradeoff between the yield and liquidity of the portfolio.
In pursuing its objective, the Portfolio may sell securities short from time to time, predominately in conjunction with long positions with similar characteristics for the purposes of hedging or managing interest rate or credit spread risk, or occasionally for exploiting relative value differences between two securities, not for predicting the overall direction of the market. The Portfolio may also employ TBA for these short selling activities. TBA sales are forward-settling sales of agency MBS where the underlying pools of mortgage loans are not known at the time of the original transaction, but are announced just before settlement based on a cheapest-to-deliver algorithm. The Portfolio may invest in options, futures and swaps (including interest rate swaps, credit default swaps, total return swaps and swaptions).
The Portfolio may invest in such instruments, without limitation, for hedging purposes designed to manage interest rate, credit spread and other risks. The Portfolio may invest without limit in debt securities that are rated below investment grade (also known as junk bonds). The Portfolio does not have a target allocation to investment grade or below investment grade securities, but may invest a significant portion of its assets in non-agency RMBS, which are below investment grade securities. The Sub-Adviser defines investment grade securities as those that are rated BBB or higher by Standard & Poors Ratings Services (S&P) or Baa or higher by Moodys Investors Service, Inc. (Moodys), for example, or are rated investment grade by any other Nationally Recognized Statistical Rating Organization (NRSRO), or if unrated, determined by the Sub-Adviser to be of comparable quality.
The Portfolio may invest a significant portion of its assets in Rule 144A securities, as a significant portion of current issuance in the ABS and MBS markets are Rule 144A securities. Rule 144A securities are not registered under the Securities Act of 1933 and can be traded only among large institutional buyers and sellers, including the Portfolio, that meet the requirements of Rule 144A. The Portfolio employs a value style investing approach that seeks to invest in securities providing undervalued cash flows within markets the Sub-Adviser deems inefficient. When investing Portfolio assets in all types of securities, the Sub-Adviser analyzes their expected future cash flows based on collateral composition and expected performance, deal structure including credit enhancement, state variables such as interest shortfalls and servicer advances and other factors in order to project expected return parameters such as yield and average life.
The Sub-Adviser employs a comprehensive risk management process tailored to the securities held in the Portfolio that considers systematic risk, cash flow risk and liquidity risk of the securities. The Sub-Adviser, using a proprietary quantitative analysis model, projects security cash flows and values such cash flows at what it deems to be the appropriate discount rate based on price discovery resulting from relatively active trading and publicly available pricing information. The Sub-Advisers proprietary quantitative analysis model to evaluate RMBS securities considers borrower and servicer behavior in projecting, at the loan-level, prepayment and default probability, default severity, and other factors affecting the cash flows of the security, which are then analyzed not only to identify undervalued securities, but also to stress test the credit risk of those securities.
The Sub-Adviser considers selling securities when such securities have reached their price/valuation targets. The Sub-Adviser may also consider selling securities when the Sub-Adviser believes securities have become overvalued, and replacing them with securities the Sub-Adviser believes to be undervalued to seek to offer the Portfolio better relative value and performance expectations. The Sub-Adviser may also sell and replace securities as necessary to rebalance and align the portfolio with its overall risk parameter targets.
C000201855 Performance
Total returns for C000201855 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 13.4% |
C000201855 Risk Information
Risk metrics for C000201855, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 9.2%
C000201855 Costs and Fees
C000201855 costs about $250 per $10,000 invested per year in fund expenses.
- Net expense ratio: 2.50%
- Gross expense ratio: 3.12%
- Portfolio turnover: 111%
- Brokerage commissions: 2.71 bps of average net assets (SEC N-CEN)
C000201855 Cashflows
Over the 12 months to 2021-02, James Alpha Structured Credit Value Portfolio had net inflows of $274.75M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2021-02 | $18.99M |
| 2021-01 | $19.25M |
| 2020-12 | $28.97M |
| 2020-11 | $45.49M |
| 2020-10 | $14.88M |
| 2020-09 | $14.40M |
C000201855 Debt Constituents
No individual debt constituents are reported in James Alpha Structured Credit Value Portfolio's latest SEC N-PORT filing.
C000201855 Prospectus and SEC Filings
Official James Alpha Structured Credit Value Portfolio filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2020-04-20
- Prospectus (485BPOS) — filed 2019-04-18
- Prospectus supplement (497) — filed 2019-06-13
- Portfolio holdings (N-PORT) — filed 2021-04-28
- Portfolio holdings (N-PORT) — filed 2021-01-28
- Portfolio holdings (N-PORT) — filed 2020-10-30
- Annual census (N-CEN) — filed 2021-02-12
- Annual census (N-CEN) — filed 2020-02-13
Related Funds
Other Bond 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.