Absolute Convertible Arbitrage Fund
Data updated: 2023-08-28
C000226084 — Absolute Convertible Arbitrage Fund. Short Preferred / Convertible Bond · $1.09B AUM. Holdings, fees, performance and SEC filings.
C000226084 Fund Overview
Absolute Convertible Arbitrage Fund is a US mutual fund managed by Forum Funds, categorised as Short Preferred / Convertible Bond. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Forum Funds
- Category: Short Preferred / Convertible Bond
- Assets under management: $1.09B
- 1-year return: 5.8%
- SEC CIK: 0000315774
- SEC series ID: S000056818
- Share class ID: C000226084
C000226084 Investment Objective and Strategy
Absolute Convertible Arbitrage Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Forum Funds.
Investment objective
"The Absolute Convertible Arbitrage Fund (the ""Fund"") seeks to achieve positive absolute returns over the long-term with low volatility when compared to traditional market indices."
Principal investment strategy
"The Fund invests primarily in a diversified portfolio of convertible securities issued by both U.S. and foreign companies. These convertible securities are typically debt securities or preferred stocks that can be exchanged for, or convert automatically to, common stock. Although the Fund may invest in securities of issuers of any market capitalization, the Fund expects to invest primarily in small- and mid-capitalization companies. For these purposes, the Fund considers small capitalization companies to be those with a market capitalization of less than $2 billion at the time of investment and mid-capitalization companies to be those with a market capitalization between $2 billion and $10 billion at the time of investment. Convertible arbitrage involves purchasing a portfolio of convertible securities and hedging a portion of the equity and default risk inherent in such securities by selling short the common stock into which the securities may be converted.
In so doing, the Fund is designed to provide investors with a source of alternative income and non-correlated returns from investments in interest and dividend-paying convertible securities and trading based on the pricing inefficiencies of the options embedded in the convertible securities. Non-correlated returns fluctuate in value independent of the core financial markets, such as stocks and bonds, and are intended to neutralize or counterbalance the risk that one or more of the investments in a traditional portfolio of stocks and bonds declines in value. The Adviser works with a Subadviser to implement the Fund's investment strategy. The Adviser has primary responsibility for allocating Fund assets to the Subadviser and retains the discretion to invest the Fund's assets in securities and other instruments directly.
The Adviser also has the discretion to remove the Subadviser or, subject to board approval, add a subadviser at any time. The Subadviser analyzes the appreciation potential of the common stock underlying the convertible securities and the default risk of the convertible securities when investing the Fund's portfolio. In this regard, the Subadviser generally considers an issuer's financial soundness, ability to make interest and dividend payments, earnings and cash flow forecast, and quality of management. The Fund's convertible arbitrage strategy is intended to offer investors the potential for yield and capital appreciation with less risk than traditional stocks and bonds due to a portion of the default risk of the convertible securities being hedged by shorting the underlying common stock.
The Fund may invest in below investment grade securities with individual ratings ranging from AA to CCC. The average grade of bonds in the Fund's portfolio is typically below investment grade. Such ""junk bonds"" typically are rated below Baa3 by Moody's, BBB- by S&P or BBB- by Fitch. The Fund may purchase unrated securities if, at the time of purchase, the Adviser or Subadviser believes that they are of comparable quality to rated securities that the Fund may purchase. Other Strategies. In addition to the principal strategies, the Fund may invest in several other types of financial instruments that the Adviser or Subadviser believes are complimentary and, when combined, will produce risk-adjusted returns. ? The Fund may invest in equity securities of issuers of any market capitalization in the U.S.
or abroad, including convertible, private placement/restricted, initial public offering (""IPOs"") and emerging market securities, with certain exposures to non-U.S. issuers obtained through investments in American Depositary Receipts (""ADRs""). The Fund may also invest in pooled investment vehicles, including other registered investment companies and ETFs. ? The Fund may invest in fixed income securities of any credit quality and maturity, including those with fixed and variable terms. These securities can be rated below investment grade ( i.e. , ""junk bonds"") and thus rated below Baa3 by Moody's, BBB- by S&P or BBB- by Fitch Ratings Ltd. or unrated and securities in default. ? The Fund may invest in derivatives, which are financial instruments that have a value that depends upon, or is derived from, a reference asset, such as one or more underlying securities, pools of securities, options, futures, indexes or currencies.
The most common types of derivatives in which the Fund may invest are forwards, options, futures and swaps contracts. The Fund's forward contracts may include forward currency contracts. The Fund's swap agreements may include equity, interest rate, index, credit default and currency rate swap agreements. The Fund's futures contracts may include futures on securities, commodities, and securities indices. The Fund's options contracts may include options on securities, securities indices, commodities and futures. The Fund may purchase or write options. The Fund may invest in derivatives to hedge or reduce its exposure to a portfolio asset or risk, to obtain leverage for speculative purposes, to manage cash and/or as a substitute for taking a position in the reference asset or to gain exposure to certain asset classes, in which case the derivatives may have economic characteristics similar to those of the reference asset and the Fund's investment in the derivatives may be applied toward meeting a requirement to invest a certain percentage of its net assets in instruments with such characteristics.
Leverage generally involves the use of debt by the Fund to finance the purchase of investments and results in the Fund controlling substantially more assets than it has equity in an effort to increase returns. The Fund may also obtain leverage by investing an amount equivalent to short sale proceeds."
C000226084 Holdings
Top 10 holdings of Absolute Convertible Arbitrage Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| First American Treasury Obligations Fund | 4.72% |
| Absolute Flexible Fund | 1.69% |
| Allscripts Healthcare So | 1.63% |
| Ormat Technologies, Inc. | 1.44% |
| Mgp Ingredients, Inc. | 1.44% |
| Peabody Energy Corp. | 1.34% |
| Xometry, Inc. | 1.15% |
| Model N, Inc. | 1.12% |
| Parsons Corp. | 1.12% |
| Kbr, Inc. | 1.12% |
C000226084 Portfolio Allocation
Asset-class allocation of Absolute Convertible Arbitrage Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Fixed Income | 85.8% |
| Cash & Equivalents | 4.7% |
| Equity | 2.1% |
C000226084 Performance
Total returns for C000226084 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 5.8% |
| 3 years (annualised) | 1.9% |
C000226084 Risk Information
Risk metrics for C000226084, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 1.9%
C000226084 Costs and Fees
C000226084 costs about $160 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.60%
- Gross expense ratio: 1.84%
- Portfolio turnover: 34%
- Brokerage commissions: 2.63 bps of average net assets (SEC N-CEN)
C000226084 Cashflows
Over the 12 months to 2023-06, Absolute Convertible Arbitrage Fund had net inflows of $340.49M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2023-06 | $3.02M |
| 2023-05 | $28.38M |
| 2023-04 | $19.48M |
| 2023-03 | $11.30M |
| 2023-02 | $11.63M |
| 2023-01 | $9.91M |
C000226084 Debt Constituents
Largest debt holdings of Absolute Convertible Arbitrage Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| Allscripts Healthcare So | 1.63% |
| Ormat Technologies, Inc. | 1.44% |
| Mgp Ingredients, Inc. | 1.44% |
| Peabody Energy Corp. | 1.34% |
| Xometry, Inc. | 1.15% |
| Model N, Inc. | 1.12% |
| Parsons Corp. | 1.12% |
| Kbr, Inc. | 1.12% |
| Workiva, Inc. | 1.07% |
| Lumentum Holdings, Inc. | 1.07% |
C000226084 Prospectus and SEC Filings
Official Absolute Convertible Arbitrage Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2023-07-26
- Prospectus (485BPOS) — filed 2022-07-28
- Prospectus (485BPOS) — filed 2021-07-28
- Portfolio holdings (N-PORT) — filed 2023-08-28
- Portfolio holdings (N-PORT) — filed 2023-05-30
- Portfolio holdings (N-PORT) — filed 2023-03-01
- Annual census (N-CEN) — filed 2023-06-09
- Annual census (N-CEN) — filed 2022-06-13
Related Funds
Other Short Preferred / Convertible 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.